# EDGAR Filing Document

**Accession Number:** 0001567101
**File Stem:** 0001003715-26-000477
**Filing Date:** 2026-2
**Character Count:** 2314469
**Document Hash:** b649ac3feb50f4f9ab09d7250a9ea0a6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001003715-26-000477.hdr.sgml**: 20260223

**ACCESSION NUMBER**: 0001003715-26-000477

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260223

**DATE AS OF CHANGE**: 20260223

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Bridge Builder Trust
- **CENTRAL INDEX KEY:** 0001567101

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22811
- **FILM NUMBER:** 26666324

**BUSINESS ADDRESS:**
- **STREET 1:** P.O. BOX 1920
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201
- **BUSINESS PHONE:** 414-287-3700

**MAIL ADDRESS:**
- **STREET 1:** P.O. BOX 1920
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201

## Series and Classes Contracts Data

### Bridge Builder Core Bond Fund (Series ID: S000040853)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000126648 | Bridge Builder Core Bond Fund | BBTBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Bridge Builder Trust

- **b. Investment Company Act file number:** 811-22811

- **c. CIK number of Registrant:** 0001567101

- **d. LEI of Registrant:** 549300MZGMJ1KD5SOK80

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

  - **Street Address 1:** 12555 Manchester Road

  - **City:** St. Louis

  - **State:** MO

  - **Foreign country:** US

  - **Zip / Postal Code:** 63131

  - **Telephone number:** 314-515-2000

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

- **a. Name of Series:** Bridge Builder Core Bond Fund

- **b. EDGAR series identifier (if any):** S000040853

- **c. LEI of Series:** 549300NYIQ6F8WXPBM25

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

- **a. Date of fiscal year-end:** 2026-06-30

- **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:** $26075960263.28

**Total Liabilities:** $941763496.92

**Net Assets:** $25134196766.36

**Delayed Delivery Securities:** $575471.64

**Cash Not Reported:** $23483398.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 26763.17813200 | **1-Year:** 652343.14494000 | **5-Year:** 2925302.74216400 | **10-Year:** 3532398.30802100 | **30-Year:** 1011788.00213900

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

- **3-Month:** 129.69581500 | **1-Year:** 1914.20044200 | **5-Year:** 6891.02534800 | **10-Year:** 3037.50574900 | **30-Year:** 45.41609000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000126648 | 0.59%                | 0.69%                | -0.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11304883.37             | $47362342.02                               |
| Month 2  | $-588126.40              | $81079120.88                               |
| Month 3  | $1773179.19              | $-152883551.96                             |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate (Returns Universe)

- **Index Identifier:** I00001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV V/R 06/16/27                          | ABN AMRO BANK NV REGD V/R 144A P/P 1.54200000                                                    | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $4939047.30   | 0.02%             | 2027-06-16      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 03/13/37                          | ABN AMRO BANK NV REGD V/R 144A P/P MTN 3.32400000                                                | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2500000 | PA      | $2286230.15   | 0.01%             | 2037-03-13      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 12/13/29                          | ABN AMRO BANK NV REGD V/R 144A P/P 2.47000000                                                    | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1300000 | PA      | $1238972.72   | 0.00%             | 2029-12-13      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 09/18/27                          | ABN AMRO BANK NV REGD V/R 144A P/P 6.33900000                                                    | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   8900000 | PA      | $9036600.40   | 0.04%             | 2027-09-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 12/03/35                          | ABN AMRO BANK NV REGD V/R 144A P/P 5.51500000                                                    | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2200000 | PA      | $2271836.38   | 0.01%             | 2035-12-03      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC 3.8% 10/01/47                            | AEP TEXAS INC REGD SER WI 3.80000000                                                             | CUSIP: 00108WAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3715000 | PA      | $2744441.65   | 0.01%             | 2047-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION C 4% 12/01/46                         | AEP TRANSMISSION CO LLC REGD SER WI 4.00000000                                                   | CUSIP: 00115AAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2020000 | PA      | $1618398.02   | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 3.75% 12/01/47                         | AEP TRANSMISSION CO LLC REGD SER WI 3.75000000                                                   | CUSIP: 00115AAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | PA      | $1990078.97   | 0.01%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 4.25% 09/15/48                         | AEP TRANSMISSION CO LLC REGD 4.25000000                                                          | CUSIP: 00115AAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4790000 | PA      | $3935049.04   | 0.02%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSIO 3.15% 09/15/49                         | AEP TRANSMISSION CO LLC REGD 3.15000000                                                          | CUSIP: 00115AAL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | PA      | $392082.75    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GA 5.875% 03/15/41                         | SOUTHERN CO GAS CAPITAL REGD 5.87500000                                                          | CUSIP: 001192AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1249073.13   | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS  4.4% 06/01/43                         | SOUTHERN CO GAS CAPITAL REGD 4.40000000                                                          | CUSIP: 001192AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $136966.01    | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS 3.25% 06/15/26                         | SOUTHERN CO GAS CAPITAL REGD 3.25000000                                                          | CUSIP: 001192AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $224199.45    | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AGL 2022-19A A1R V/R 07/21/38                          | AGL CLO 19 LTD SER 2022-19A CL A1R V/R REGD 144A P/P 5.16996000                                  | CUSIP: 001210AQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  25000000 | PA      | $25018850.00  | 0.10%             | 2038-07-21      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| AHS HOSPITAL CO 2.78% 07/01/51                         | AHS HOSPITAL CORP REGD SER 2021 2.78000000                                                       | CUSIP: 001306AC3<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $1687846.88   | 0.01%             | 2051-07-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE 5.8% 03/15/32                             | AES CORP/THE REGD 5.80000000                                                                     | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   3320000 | PA      | $3404623.08   | 0.01%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD 3.2% 09/16/40                            | AIA GROUP LTD REGD 144A P/P 3.20000000                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    915000 | PA      | $725066.83    | 0.00%             | 2040-09-16      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC V/R 09/13/29                             | AIB GROUP PLC REGD V/R 144A P/P 6.60800000                                                       | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   6070000 | PA      | $6446127.25   | 0.03%             | 2029-09-13      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC V/R 03/28/35                             | AIB GROUP PLC REGD V/R 144A P/P MTN 5.87100000                                                   | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   8300000 | PA      | $8759427.16   | 0.03%             | 2035-03-28      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC V/R 05/15/31                             | AIB GROUP PLC REGD V/R 144A P/P MTN 5.32000000                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   4370000 | PA      | $4509606.64   | 0.02%             | 2031-05-15      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB  4.9% 08/21/32                         | COREBRIDGE GLOB FUNDING REGD 144A P/P 4.90000000                                                 | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    670000 | PA      | $674032.19    | 0.00%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AIG SUNAMER GLOB 6.9% 03/15/32                         | AIG SUNAMER GLOB FIN X REGD P/P 6.90000000                                                       | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    955000 | PA      | $1058829.34   | 0.00%             | 2032-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1  2.9% 06/17/28                          | AMSR 2021-SFR1 TRUST SER 2021-SFR1 CL E2 REGD 144A P/P 2.90000000                                | CUSIP: 00179DAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3950000 | PA      | $3743556.02   | 0.01%             | 2038-06-17      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR 3.655% 06/17/30                          | AMSR 2025-SFR1 TRUST SER 2025-SFR1 CL B REGD 144A P/P 3.65500000                                 | CUSIP: 00182MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5080000 | PA      | $4856086.81   | 0.02%             | 2042-06-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| ASG 2011-1 2A35 V/R 09/28/36                           | ASG RESECURITIZATION TRUST 2011-1 SER 2011-1 CL 2A35 V/R REGD 144A P/P 6.00000000                | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26646 | PA      | $7971.24      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.5% 05/15/35                                 | AT&T INC REGD 4.50000000                                                                         | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   7570000 | PA      | $7271559.56   | 0.03%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC 6% 08/15/40                                   | AT&T INC REGD SER WI 6.00000000                                                                  | CUSIP: 00206RDF6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2369526.61   | 0.01%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.65% 06/01/44                                | AT&T INC REGD 4.65000000                                                                         | CUSIP: 00206RJK9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1857073.95   | 0.01%             | 2044-06-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.5% 06/01/41                                 | AT&T INC REGD 3.50000000                                                                         | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1353000 | PA      | $1064262.86   | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.65% 06/01/51                                | AT&T INC REGD 3.65000000                                                                         | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1099740.34   | 0.00%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC 1.65% 02/01/28                                | AT&T INC REGD 1.65000000                                                                         | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    525000 | PA      | $500443.79    | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC 2.25% 02/01/32                                | AT&T INC REGD 2.25000000                                                                         | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  15230000 | PA      | $13356807.02  | 0.05%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.5% 09/15/53                                 | AT&T INC REGD 3.50000000                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  11872000 | PA      | $7945029.82   | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.55% 09/15/55                                | AT&T INC REGD 3.55000000                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  10545000 | PA      | $7019197.11   | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.65% 09/15/59                                | AT&T INC REGD 3.65000000                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1111189.07   | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC 2.55% 12/01/33                                | AT&T INC REGD 2.55000000                                                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3038000 | PA      | $2592842.62   | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC 3.8% 12/01/57                                 | AT&T INC REGD 3.80000000                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    987000 | PA      | $678899.87    | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC 5.4% 02/15/34                                 | AT&T INC REGD 5.40000000                                                                         | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   7850000 | PA      | $8139315.52   | 0.03%             | 2034-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T INC 6.05% 08/15/56                                | AT&T INC REGD 6.05000000                                                                         | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4023505.60   | 0.02%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC 4.55% 11/01/32                                | AT&T INC REGD 4.55000000                                                                         | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3596459.03   | 0.01%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC 5.7% 11/01/54                                 | AT&T INC REGD 5.70000000                                                                         | CUSIP: 00206RNE8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2397915.05   | 0.01%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.4% 11/06/42                               | ABBVIE INC REGD SER WI 4.40000000                                                                | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1512153.01   | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.3% 05/14/36                               | ABBVIE INC REGD 4.30000000                                                                       | CUSIP: 00287YAV1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4495000 | PA      | $4312777.37   | 0.02%             | 2036-05-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.45% 05/14/46                              | ABBVIE INC REGD 4.45000000                                                                       | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    425000 | PA      | $369402.98    | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.05% 11/21/39                              | ABBVIE INC REGD SER WI 4.05000000                                                                | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   8092000 | PA      | $7223439.68   | 0.03%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.25% 11/21/49                              | ABBVIE INC REGD SER WI 4.25000000                                                                | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    741000 | PA      | $610254.19    | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.55% 03/15/35                              | ABBVIE INC REGD 4.55000000                                                                       | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   6025000 | PA      | $5931471.03   | 0.02%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 5.05% 03/15/34                              | ABBVIE INC REGD 5.05000000                                                                       | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4634866.34   | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL 2% 04/29/28                         | ABU DHABI NATIONAL ENERG REGD 144A P/P MTN 2.00000000                                            | CUSIP: 00388WAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   2015000 | PA      | $1921250.21   | 0.01%             | 2028-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALFT 2013-1A A V/R 12/26/44                            | ACADEMIC LOAN FUNDING TRUST 2013-1 SER 2013-1A CL A V/R 144A P/P 4.78867000                      | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    286374 | PA      | $281672.33    | 0.00%             | 2044-12-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| ABU DHABI CRUDE  4.6% 11/02/47                         | ABU DHABI CRUDE OIL REGD 144A P/P 4.60000000                                                     | CUSIP: 00401MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   3351000 | PA      | $3108464.00   | 0.01%             | 2047-11-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AALLC 2021-1H B 1.9% 10/20/40                          | ACCELERATED 2021-1H LLC SER 2021-1H CL B REGD 144A P/P 1.90000000                                | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1037816 | PA      | $974640.04    | 0.00%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPIT 4.25% 10/04/31                         | ACCENTURE CAPITAL INC REGD 4.25000000                                                            | CUSIP: 00440KAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2356846.79   | 0.01%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITA 4.5% 10/04/34                         | ACCENTURE CAPITAL INC REGD 4.50000000                                                            | CUSIP: 00440KAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1567367.02   | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC 4.5% 09/11/34                         | ADNOC MURBAN RSC LTD REGD 144A P/P 4.50000000                                                    | CUSIP: 00723L2B4<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   2860000 | PA      | $2819812.05   | 0.01%             | 2034-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN R 5.125% 09/11/54                         | ADNOC MURBAN RSC LTD REGD 144A P/P 5.12500000                                                    | CUSIP: 00723L2C2<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |   7859000 | PA      | $7384959.19   | 0.03%             | 2054-09-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND  2.45% 10/29/26                         | AERCAP IRELAND CAP/GLOBA REGD 2.45000000                                                         | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2345000 | PA      | $2313126.78   | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP 3% 10/29/28                         | AERCAP IRELAND CAP/GLOBA REGD 3.00000000                                                         | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  20150000 | PA      | $19535196.30  | 0.08%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 3.3% 01/30/32                         | AERCAP IRELAND CAP/GLOBA REGD 3.30000000                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  19935000 | PA      | $18406373.63  | 0.07%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 6.1% 01/15/27                         | AERCAP IRELAND CAP/GLOBA REGD 6.10000000                                                         | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3680000 | PA      | $3749574.85   | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 5.1% 01/19/29                         | AERCAP IRELAND CAP/GLOBA REGD 5.10000000                                                         | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    755000 | PA      | $771831.28    | 0.00%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP 5% 11/15/35                         | AERCAP IRELAND CAP/GLOBA REGD 5.00000000                                                         | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    885000 | PA      | $874419.32    | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEGON FUNDING CO 5.5% 04/16/27                         | AEGON FUNDING CO LLC REGD 144A P/P 5.50000000                                                    | CUSIP: 00775VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3555230.77   | 0.01%             | 2027-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AETNA INC 6.75% 12/15/37                               | AETNA INC REGD 6.75000000                                                                        | CUSIP: 00817YAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    341000 | PA      | $375406.64    | 0.00%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AETNA INC 4.5% 05/15/42                                | AETNA INC REGD 4.50000000                                                                        | CUSIP: 00817YAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4205000 | PA      | $3604448.04   | 0.01%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AETNA INC 4.75% 03/15/44                               | AETNA INC REGD 4.75000000                                                                        | CUSIP: 00817YAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1571965.49   | 0.01%             | 2044-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-1A  4.99% 02/15/33                          | AFFIRM MASTER TRUST SER 2025-1A CL A REGD 144A P/P 4.99000000                                    | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12100000 | PA      | $12220391.37  | 0.05%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A  4.67% 07/15/33                          | AFFIRM MASTER TRUST SER 2025-2A CL A REGD 144A P/P 4.67000000                                    | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12100000 | PA      | $12181835.93  | 0.05%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AFFRM 2024-A 1 5.61% 02/17/26                          | AFFIRM ASSET SECURITIZATION TRUST 2024-A SER 2024-A CL 1A REGD 144A P/P 5.61000000               | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15600000 | PA      | $15624334.44  | 0.06%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015 3.75% 12/15/27                         | AIR CANADA 2015-2AA PTT REGD 144A P/P 3.75000000                                                 | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    772202 | PA      | $761337.28    | 0.00%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017- 3.3% 01/15/30                         | AIR CANADA 2017-1AA PTT REGD 144A P/P 3.30000000                                                 | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   3667386 | PA      | $3504801.56   | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017 3.55% 01/15/30                         | AIR CANADA 2017-1A PTT REGD 144A P/P 3.55000000                                                  | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1894645 | PA      | $1813493.30   | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015- 3.6% 03/15/27                         | AIR CANADA 2015-1A PTT REGD P/P 3.60000000                                                       | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    473402 | PA      | $468044.53    | 0.00%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AIRBUS SE 3.95% 04/10/47                               | AIRBUS SE REGD 144A P/P 3.95000000                                                               | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | FR        |    150000 | PA      | $122707.68    | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRE 5.25% 03/15/30                         | AIRCASTLE / IRELAND DAC REGD 144A P/P 5.25000000                                                 | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2393945.71   | 0.01%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAN 5% 09/15/30                         | AIRCASTLE / IRELAND DAC REGD 144A P/P 5.00000000                                                 | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5345000 | PA      | $5394427.09   | 0.02%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 3.75% 01/15/30                             | AKER BP ASA REGD 144A P/P 3.75000000                                                             | CUSIP: 00973RAF0<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   3695000 | PA      | $3573680.14   | 0.01%             | 2030-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 5.6% 06/13/28                              | AKER BP ASA REGD 144A P/P 5.60000000                                                             | CUSIP: 00973RAL7<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   3380000 | PA      | $3479375.04   | 0.01%             | 2028-06-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 6% 06/13/33                                | AKER BP ASA REGD 144A P/P 6.00000000                                                             | CUSIP: 00973RAM5<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |  19565000 | PA      | $20473900.30  | 0.08%             | 2033-06-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 5.125% 10/01/34                            | AKER BP ASA REGD 144A P/P 5.12500000                                                             | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   1950000 | PA      | $1907488.40   | 0.01%             | 2034-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 5.8% 10/01/54                              | AKER BP ASA REGD 144A P/P 5.80000000                                                             | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    700000 | PA      | $636435.16    | 0.00%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 5.25% 10/30/35                             | AKER BP ASA REGD 144A P/P 5.25000000                                                             | CUSIP: 00973RAQ6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   4000000 | PA      | $3907761.24   | 0.02%             | 2035-10-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALABAMA ECON S 4.263% 09/15/32                         | ALABAMA ECON SETTLEMENT AUTH B REGD N/C B/E 4.26300000                                           | CUSIP: 01026CAD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | PA      | $609538.84    | 0.00%             | 2032-09-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER  6.125% 05/15/38                         | ALABAMA POWER CO REGD 6.12500000                                                                 | CUSIP: 010392EZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    219000 | PA      | $238112.88    | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO 4.1% 01/15/42                         | ALABAMA POWER CO REGD 4.10000000                                                                 | CUSIP: 010392FG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    233000 | PA      | $199092.80    | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER C 4.15% 08/15/44                         | ALABAMA POWER CO REGD 4.15000000                                                                 | CUSIP: 010392FL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $171231.22    | 0.00%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER C 3.75% 03/01/45                         | ALABAMA POWER CO REGD 3.75000000                                                                 | CUSIP: 010392FM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    182000 | PA      | $143166.97    | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RIO TINTO ALCAN 5.75% 06/01/35                         | RIO TINTO ALCAN INC REGD 5.75000000                                                              | CUSIP: 013716AW5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     54000 | PA      | $57528.85     | 0.00%             | 2035-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL  3.8% 04/15/26                         | ALEXANDRIA REAL ESTATE E REGD 3.80000000                                                         | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    338000 | PA      | $337575.29    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ES 4% 02/01/50                         | ALEXANDRIA REAL ESTATE E REGD 4.00000000                                                         | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1451000 | PA      | $1082230.98   | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ES 2% 05/18/32                         | ALEXANDRIA REAL ESTATE E REGD 2.00000000                                                         | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $1843219.15   | 0.01%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL  5.5% 10/01/35                         | ALEXANDRIA REAL ESTATE E REGD 5.50000000                                                         | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   5430000 | PA      | $5518249.66   | 0.02%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALFA DESARROLLO 4.55% 09/27/51                         | ALFA DESARROLLO SPA REGD 144A P/P 4.55000000                                                     | CUSIP: 01538TAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   2436583 | PA      | $1960323.86   | 0.01%             | 2051-09-27      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 1.5% JAN 26                              | UMBS TBA 30YR 1.5% JAN 26      TO BE ANNOUNCED 1.50000000                                        | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1530000 | PA      | $1179528.29   | 0.00%             | 2056-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 2% JAN 26                                | UMBS TBA 30YR 2% JAN 26        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  36440000 | PA      | $29447929.97  | 0.12%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 2.5% JAN 26                              | FNMA 30YR TBA 2.5% JAN 26     TO BE ANNOUNCED 2.50000000                                         | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  46465000 | PA      | $39273815.47  | 0.16%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNCI 15YR TBA 3.0% JAN 26                              | FNCI 15YR TBA 3.0% JAN 26      TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3070000 | PA      | $2953076.16   | 0.01%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30YR 3% JAN 26                                | FNMA TBA 30YR 3% JAN 26        TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28655000 | PA      | $25340646.36  | 0.10%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 3.5% FEB 26                              | FNCL 30YR TBA 3.5% FEB 26      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5675000 | PA      | $5228315.42   | 0.02%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.0% JAN 26                              | FNMA 30YR TBA 4.0% JAN 26      TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11740000 | PA      | $11134504.33  | 0.04%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% JAN 26                              | FNMA 30YR TBA 4.5% JAN 26      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14325000 | PA      | $13983236.59  | 0.06%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR TBA 5% JAN 26                                | FNMA 15YR TBA 5% JAN 26       TO BE ANNOUNCED 5.00000000                                         | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5445000 | PA      | $5514304.56   | 0.02%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% JAN 26                                | FNMA 30YR TBA 5% JAN 26        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14155000 | PA      | $14115189.06  | 0.06%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5.5% JAN 26                              | FNMA 30YR TBA 5.5% JAN 26      TO BE ANNOUNCED 5.50000000                                        | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27510000 | PA      | $27894661.05  | 0.11%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% JAN 26                                | FNMA 30YR TBA 6% JAN 26        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8405000 | PA      | $8629644.39   | 0.03%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% JAN 26                                | FNMA 30YR TBA 6% JAN 26        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -500000 | PA      | $-513363.74   | -0.00%            | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% JAN 26                              | FNMA 30YR TBA 6.5% JAN 26      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3950000 | PA      | $4105000.29   | 0.02%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30YR 7.0% JAN 26                              | FNMA TBA 30YR 7.0% JAN 26      TO BE ANNOUNCED 7.00000000                                        | CUSIP: 01F070617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11500000 | PA      | $12100545.41  | 0.05%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL IN V/R 01/03/30                         | ALLY FINANCIAL INC REGD V/R 6.84800000                                                           | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3182997.21   | 0.01%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL IN V/R 01/17/31                         | ALLY FINANCIAL INC REGD V/R 5.54300000                                                           | CUSIP: 02005NBW9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2046369.98   | 0.01%             | 2031-01-17      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC 4.1% 11/15/30                             | ALPHABET INC REGD 4.10000000                                                                     | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |  19622000 | PA      | $19682219.53  | 0.08%             | 2030-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC 4.375% 11/15/32                           | ALPHABET INC REGD 4.37500000                                                                     | CUSIP: 02079KAX5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1449902.77   | 0.01%             | 2032-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC 4.7% 11/15/35                             | ALPHABET INC REGD 4.70000000                                                                     | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |  14048000 | PA      | $14051440.35  | 0.06%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC 5.45% 11/15/55                            | ALPHABET INC REGD 5.45000000                                                                     | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   6753000 | PA      | $6624467.52   | 0.03%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC 5.7% 11/15/75                             | ALPHABET INC REGD 5.70000000                                                                     | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2173000 | PA      | $2138776.64   | 0.01%             | 2075-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CWALT 2006-28CB A 6% 10/25/36                          | ALTERNATIVE LOAN TRUST 2006-28CB SER 2006-28CB CL A17 REGD 6.00000000                            | CUSIP: 02147TAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46691 | PA      | $21265.12     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP IN 2.45% 02/04/32                         | ALTRIA GROUP INC REGD 2.45000000                                                                 | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   3845000 | PA      | $3400062.94   | 0.01%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC 4.5% 08/06/30                         | ALTRIA GROUP INC REGD 4.50000000                                                                 | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   6432000 | PA      | $6483289.60   | 0.03%             | 2030-08-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 3.95% 04/13/52                          | AMAZON.COM INC REGD 3.95000000                                                                   | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3121754.04   | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 3.9% 11/20/28                           | AMAZON.COM INC REGD 3.90000000                                                                   | CUSIP: 023135CS3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  12902000 | PA      | $12941480.51  | 0.05%             | 2028-11-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 4.1% 11/20/30                           | AMAZON.COM INC REGD 4.10000000                                                                   | CUSIP: 023135CT1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  10146000 | PA      | $10157061.37  | 0.04%             | 2030-11-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP 5.7% 12/01/26                              | AMEREN CORP REGD 5.70000000                                                                      | CUSIP: 023608AP7<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   5761000 | PA      | $5839670.83   | 0.02%             | 2026-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERN AIRLINE 1 3.65% 06/15/28                         | AMERN AIRLINE 16-2 A PTT REGD SER A 3.65000000                                                   | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    701400 | PA      | $680407.17    | 0.00%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16- 3.2% 06/15/28                         | AMER AIRLINE 16-2 AA PTT REGD SER AA 3.20000000                                                  | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    888440 | PA      | $868628.68    | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15- 3.375% 05/01/27                         | AMER AIRLN 15-1 A PTT REGD 3.37500000                                                            | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4852269 | PA      | $4789539.38   | 0.02%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3  3% 10/15/28                         | AMER AIRLINE 16-3 AA PTT REGD 3.00000000                                                         | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    862813 | PA      | $833879.22    | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1  3.7% 10/01/26                         | AMER AIRLN 14-1 A PTT REGD SER A 3.70000000                                                      | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    219566 | PA      | $218700.42    | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2  3.6% 09/22/27                         | AMER AIRLN 15-2 AA PTT REGD 3.60000000                                                           | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390438 | PA      | $386637.92    | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRI 4.3% 12/01/28                         | AMERICAN ELECTRIC POWER REGD SER J 4.30000000                                                    | CUSIP: 025537AM3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   2833000 | PA      | $2853150.14   | 0.01%             | 2028-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATION 5.75% 10/01/29                         | AMERICAN NATIONAL GROUP REGD 5.75000000                                                          | CUSIP: 025676AN7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1552212.63   | 0.01%             | 2029-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL  6% 07/15/35                         | AMERICAN NATIONAL GROUP REGD 6.00000000                                                          | CUSIP: 025676AQ0<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7098192.08   | 0.03%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO V/R /PERP/                         | AMERICAN EXPRESS CO REGD V/R /PERP/ 3.55000000                                                   | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3427166.28   | 0.01%             | 2174-09-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS  V/R 01/30/36                         | AMERICAN EXPRESS CO REGD V/R 5.44200000                                                          | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2684961.15   | 0.01%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS  V/R 07/20/33                         | AMERICAN EXPRESS CO REGD V/R 4.91800000                                                          | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $2111720.05   | 0.01%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS  V/R 10/24/36                         | AMERICAN EXPRESS CO REGD V/R 4.80400000                                                          | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3140053.95   | 0.01%             | 2036-10-24      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| AMXCA 2025-3 A 4.51% 04/15/30                          | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SER 2025-3 CL A REGD 4.51000000                     | CUSIP: 02582JKR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14032000 | PA      | $14335944.35  | 0.06%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AMXCA 2025-5 A 4.51% 07/15/30                          | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SERIES 2025-5 SER 2025-5 CL A REGD 4.51000000       | CUSIP: 02582JKT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8053000 | PA      | $8225275.41   | 0.03%             | 2032-07-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AGFMT 2006-1 A5 V/R 12/25/35                           | AMERICAN GENERAL MORTGAGE LOAN TRUST 2006-1 SER 2006-1 CL A5 V/R REGD 144A P/P 5.75000000        | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       122 | PA      | $139.21       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI  7.499% 02/15/50                         | AMERICAN MUNI PWR-OHIO INC OH REGD N/C B/E 7.49900000                                            | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   1310000 | PA      | $1521511.55   | 0.01%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATION 5.55% 01/28/30                         | AMERICAN NATIONAL GF REGD 144A P/P MTN 5.55000000                                                | CUSIP: 02771D2A1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8214501.20   | 0.03%             | 2030-01-28      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER 3.375% 10/15/26                         | AMERICAN TOWER CORP REGD 3.37500000                                                              | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    506000 | PA      | $503301.93    | 0.00%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 3.7% 10/15/49                         | AMERICAN TOWER CORP REGD 3.70000000                                                              | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1533240.88   | 0.01%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 2.1% 06/15/30                         | AMERICAN TOWER CORP REGD 2.10000000                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1179802.38   | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER C 3.1% 06/15/50                         | AMERICAN TOWER CORP REGD 3.10000000                                                              | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $880273.66    | 0.00%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER 1.875% 10/15/30                         | AMERICAN TOWER CORP REGD 1.87500000                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2219725.43   | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER  2.95% 01/15/51                         | AMERICAN TOWER CORP REGD 2.95000000                                                              | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    875000 | PA      | $556628.81    | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER 6.593% 10/15/37                         | AMERICAN WATER CAPITAL C REGD 6.59300000                                                         | CUSIP: 03040WAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    386000 | PA      | $436770.29    | 0.00%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAP 4% 12/01/46                         | AMERICAN WATER CAPITAL C REGD 4.00000000                                                         | CUSIP: 03040WAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2350000 | PA      | $1889950.79   | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER  5.45% 03/01/54                         | AMERICAN WATER CAPITAL C REGD 5.45000000                                                         | CUSIP: 03040WBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5041597.96   | 0.02%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REAL 5.409% 09/12/34                         | AMERICOLD REALTY OPER PA REGD 5.40900000                                                         | CUSIP: 03063UAA9<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |   8015000 | PA      | $7821561.42   | 0.03%             | 2034-09-12      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY 5.6% 05/15/32                         | AMERICOLD REALTY OPER PA REGD 5.60000000                                                         | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5033817.85   | 0.02%             | 2032-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-3 C 1.41% 09/18/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3 CL C REGD 1.41000000                  | CUSIP: 03066JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2632916 | PA      | $2614657.71   | 0.01%             | 2027-08-18      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| AMCAR 2021-2 C 1.01% 04/21/25                          | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2 SER 2021-2 CL C REGD 1.01000000                  | CUSIP: 03066RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97079 | PA      | $96928.70     | 0.00%             | 2027-01-19      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| AMCAR 2023-1 C 5.8% 12/18/28                           | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1 SER 2023-1 CL C REGD 5.80000000                  | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6800000 | PA      | $6906702.88   | 0.03%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CENCORA INC 5.15% 02/15/35                             | CENCORA INC REGD 5.15000000                                                                      | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   4835000 | PA      | $4941636.36   | 0.02%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS 2.805% 03/11/31                         | AMFAM HOLDINGS INC REGD 144A P/P 2.80500000                                                      | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4391680.65   | 0.02%             | 2031-03-11      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 4.663% 06/15/51                              | AMGEN INC REGD SER WI 4.66300000                                                                 | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1048100.02   | 0.00%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 3.15% 02/21/40                               | AMGEN INC REGD 3.15000000                                                                        | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4733000 | PA      | $3730407.76   | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 1.65% 08/15/28                               | AMGEN INC REGD 1.65000000                                                                        | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1088634.66   | 0.00%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 5.6% 03/02/43                                | AMGEN INC REGD 5.60000000                                                                        | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   2889000 | PA      | $2905041.61   | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC 5.65% 03/02/53                               | AMGEN INC REGD 5.65000000                                                                        | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   7525000 | PA      | $7368462.54   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP 3.8% 11/15/27                            | AMPHENOL CORP REGD 3.80000000                                                                    | CUSIP: 032095AW1<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   5094000 | PA      | $5087192.89   | 0.02%             | 2027-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP 3.9% 11/15/28                            | AMPHENOL CORP REGD 3.90000000                                                                    | CUSIP: 032095AX9<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   4589000 | PA      | $4583956.51   | 0.02%             | 2028-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP 5.3% 11/15/55                            | AMPHENOL CORP REGD 5.30000000                                                                    | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   3970000 | PA      | $3792597.14   | 0.02%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES  2.95% 10/01/51                         | ANALOG DEVICES INC REGD 2.95000000                                                               | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   2122000 | PA      | $1376663.52   | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES  4.25% 06/15/28                         | ANALOG DEVICES INC REGD 4.25000000                                                               | CUSIP: 032654BD6<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   6742000 | PA      | $6797589.81   | 0.03%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ANCHR 2025-RTL1  V/R 11/25/27                          | ANCHOR MORTGAGE TRUST 2025-RTL1 SER 2025-RTL1 CL A1 V/R REGD 144A P/P 5.71800000                 | CUSIP: 03290CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8615000 | PA      | $8660596.61   | 0.03%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| AOMT 2025-11 A1 V/R 10/25/29                           | ANGEL OAK MORTGAGE TRUST 2025-11 SER 2025-11 CL A1 V/R REGD 144A P/P 4.97500000                  | CUSIP: 03466FAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5889246 | PA      | $5897347.52   | 0.02%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN  4.75% 04/10/27                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 4.75000000                                                  | CUSIP: 034863AR1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   3980000 | PA      | $4010495.91   | 0.02%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN 5.625% 04/01/30                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 5.62500000                                                  | CUSIP: 034863AW0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4300000 | PA      | $4490232.60   | 0.02%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN  5.75% 04/05/34                         | ANGLO AMERICAN CAPITAL REGD 144A P/P 5.75000000                                                  | CUSIP: 034863BE9<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |  15385000 | PA      | $16137418.96  | 0.06%             | 2034-04-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH C 4.7% 02/01/36                         | ANHEUSER-BUSCH CO/INBEV REGD SER * 4.70000000                                                    | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7057000 | PA      | $6985336.52   | 0.03%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH C 4.9% 02/01/46                         | ANHEUSER-BUSCH CO/INBEV REGD SER * 4.90000000                                                    | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5555000 | PA      | $5137760.89   | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH  5.45% 01/23/39                         | ANHEUSER-BUSCH INBEV WOR REGD 5.45000000                                                         | CUSIP: 03523TBU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1242303.62   | 0.00%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH  4.95% 01/15/42                         | ANHEUSER-BUSCH INBEV WOR REGD 4.95000000                                                         | CUSIP: 035240AG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2735000 | PA      | $2611436.91   | 0.01%             | 2042-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.375% 12/01/47                         | ELEVANCE HEALTH INC REGD 4.37500000                                                              | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3735175.59   | 0.01%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.101% 03/01/28                         | ELEVANCE HEALTH INC REGD 4.10100000                                                              | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    920000 | PA      | $920866.44    | 0.00%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PL 5.625% 05/13/32                         | ANTOFAGASTA PLC REGD 144A P/P 5.62500000                                                         | CUSIP: 03718NAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   1101000 | PA      | $1145150.10   | 0.00%             | 2032-05-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PL 5.625% 09/09/35                         | ANTOFAGASTA PLC REGD 144A P/P 5.62500000                                                         | CUSIP: 03718NAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   1096000 | PA      | $1128332.00   | 0.00%             | 2035-09-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLO 3.9% 02/28/52                         | AON CORP/AON GLOBAL HOLD REGD 3.90000000                                                         | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4250000 | PA      | $3179577.92   | 0.01%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERI 5.45% 03/01/34                         | AON NORTH AMERICA INC REGD 5.45000000                                                            | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3880000 | PA      | $4032156.53   | 0.02%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERI 5.75% 03/01/54                         | AON NORTH AMERICA INC REGD 5.75000000                                                            | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1676448.12   | 0.01%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APA CORP 5.1% 09/01/40                                 | APA CORP REGD SER . 5.10000000                                                                   | CUSIP: 03743QBB3<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |   5883000 | PA      | $5227475.61   | 0.02%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOL 5.15% 09/13/34                         | APTIV SWISS HOLDINGS LTD REGD 5.15000000                                                         | CUSIP: 03837AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   7495000 | PA      | $7563226.46   | 0.03%             | 2034-09-13      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AQFIT 2025-A B 5.56% 12/19/50                          | AQUA FINANCE ISSUER TRUST 2025-A SER 2025-A CL B REGD 144A P/P 5.56000000                        | CUSIP: 038394AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6920281 | PA      | $7028946.82   | 0.03%             | 2050-12-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL 6.75% 03/01/41                           | ARCELORMITTAL REGD 6.75000000                                                                    | CUSIP: 03938LAS3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   6462000 | PA      | $7063559.92   | 0.03%             | 2041-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA 6.8% 11/29/32                         | ARCELORMITTAL SA REGD 6.80000000                                                                 | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   3000000 | PA      | $3359273.97   | 0.01%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTRE 7.25% 04/01/30                         | WESTERN MIDSTREAM OPERAT REGD 144A P/P 7.25000000                                                | CUSIP: 04041NAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6405007.74   | 0.03%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC  5.05% 09/01/41                         | ARIZONA PUBLIC SERVICE REGD 5.05000000                                                           | CUSIP: 040555CM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    349000 | PA      | $336135.08    | 0.00%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC  3.75% 05/15/46                         | ARIZONA PUBLIC SERVICE REGD 3.75000000                                                           | CUSIP: 040555CU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2290000 | PA      | $1735612.80   | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER 5% 02/15/32                         | ARTHUR J GALLAGHER & CO REGD 5.00000000                                                          | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3495000 | PA      | $3572927.95   | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEAL 3.106% 11/15/39                         | ASCENSION HEALTH REGD SER B 3.10600000                                                           | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2124619.13   | 0.01%             | 2039-11-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL  5.8% 04/15/34                         | ASHTEAD CAPITAL INC REGD 144A P/P 5.80000000                                                     | CUSIP: 045054AS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5242035.60   | 0.02%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC 6.45% 09/15/37                         | ASTRAZENECA PLC REGD 6.45000000                                                                  | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $569898.48    | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC 4% 09/18/42                            | ASTRAZENECA PLC REGD 4.00000000                                                                  | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    540000 | PA      | $465061.72    | 0.00%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL F 2.95% 11/12/26                         | ATHENE GLOBAL FUNDING REGD 144A P/P 2.95000000                                                   | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   8845000 | PA      | $8752919.04   | 0.03%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING  6.25% 04/01/54                         | ATHENE HOLDING LTD REGD 6.25000000                                                               | CUSIP: 04686JAH4<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |   3865000 | PA      | $3758610.58   | 0.01%             | 2054-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AT&T REIGN II  6.088% 12/15/44                         | AT&T REIGN II LB PTT REGD 144A P/P 6.08800000                                                    | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8079821.60   | 0.03%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| ATLANTA GA IND 5.557% 03/01/26                         | ATLANTA GA INDEP SCH SYS COPS REGD N/C B/E 5.55700000                                            | CUSIP: 04778CAF2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    535000 | PA      | $536316.64    | 0.00%             | 2026-03-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| ATCLO 2024-23A A V/R 07/20/37                          | ATLAS SENIOR LOAN FUND XXIII LTD SER 2024-23A CL A1 V/R REGD 144A P/P 5.41444000                 | CUSIP: 04942HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  28975000 | PA      | $29004989.13  | 0.12%             | 2037-07-20      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CO 4.15% 01/15/43                         | ATMOS ENERGY CORP REGD 4.15000000                                                                | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    830000 | PA      | $705054.05    | 0.00%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY C 4.125% 10/15/44                         | ATMOS ENERGY CORP REGD 4.12500000                                                                | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1568384.48   | 0.01%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CO 5.45% 01/15/56                         | ATMOS ENERGY CORP REGD 5.45000000                                                                | CUSIP: 049560BE4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2176730.10   | 0.01%             | 2056-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1  S/UP 08/25/28                          | ATLX 2024-RPL1 TRUST SER 2024-RPL1 CL A1 S/UP REGD 144A P/P 3.85000000                           | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3172250 | PA      | $3101544.76   | 0.01%             | 2064-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 A V/R 04/25/63                          | ATLX 2024-RPL2 TRUST SER 2024-RPL2 CL A1 V/R REGD 144A P/P 3.85000000                            | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3975737 | PA      | $3883652.54   | 0.02%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| AUSGRID FINANCE 4.35% 08/01/28                         | AUSGRID FINANCE PTY LTD REGD P/P 4.35000000                                                      | CUSIP: 052113AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |  10275000 | PA      | $10306242.37  | 0.04%             | 2028-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKIN 4.4% 05/19/26                         | AUST & NZ BANKING GROUP REGD 144A P/P 4.40000000                                                 | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1816000 | PA      | $1817899.86   | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING V/R 11/25/35                         | AUST & NZ BANKING GROUP REGD V/R P/P 2.57000000                                                  | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   4590000 | PA      | $4127608.17   | 0.02%             | 2035-11-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING V/R 09/30/35                         | AUST & NZ BANKING GROUP REGD V/R 144A P/P 5.20400000                                             | CUSIP: 052528AT3<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   3500000 | PA      | $3516630.18   | 0.01%             | 2035-09-30      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC 4.45% 01/15/29                          | AUTONATION INC REGD 4.45000000                                                                   | CUSIP: 05329WAU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7690000 | PA      | $7711160.27   | 0.03%             | 2029-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC 1.65% 01/15/31                            | AUTOZONE INC REGD 1.65000000                                                                     | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1349315.89   | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPIT 5.375% 07/15/29                         | AVIATION CAPITAL GROUP REGD 144A P/P 5.37500000                                                  | CUSIP: 05369AAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1433145.53   | 0.01%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPIT 5.125% 04/10/30                         | AVIATION CAPITAL GROUP REGD 144A P/P 5.12500000                                                  | CUSIP: 05369AAS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2335000 | PA      | $2370816.82   | 0.01%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL 4.8% 10/24/30                         | AVIATION CAPITAL GROUP REGD 144A P/P 4.80000000                                                  | CUSIP: 05369AAT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6002268.90   | 0.02%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AESOP 2021-2A  1.66% 02/20/27                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2021-2A CL A REGD 144A P/P 1.66000000               | CUSIP: 05377RER1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  33318000 | PA      | $32562947.48  | 0.13%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| AESOP 2022-1A  3.83% 08/20/27                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2022-1A CL A REGD 144A P/P 3.83000000               | CUSIP: 05377REZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17300000 | PA      | $17230464.38  | 0.07%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| AESOP 2024-1A  5.36% 06/20/29                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2024-1A CL A REGD 144A P/P 5.36000000               | CUSIP: 05377RHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12003000 | PA      | $12376035.24  | 0.05%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| AESOP 2024-2A  5.57% 10/20/27                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2024-2A CL B REGD 144A P/P 5.57000000               | CUSIP: 05377RJH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1400000 | PA      | $1424841.88   | 0.01%             | 2028-10-20      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| AESOP 2024-3A  5.23% 12/20/29                          | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2024-3A CL A REGD 144A P/P 5.23000000               | CUSIP: 05377RJK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5400000 | PA      | $5567421.60   | 0.02%             | 2030-12-20      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 4.375% 05/01/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.37500000                                                | CUSIP: 05401AAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    790000 | PA      | $790241.08    | 0.00%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 3.25% 02/15/27                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 3.25000000                                                | CUSIP: 05401AAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3700000 | PA      | $3658875.24   | 0.01%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 4.25% 04/15/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.25000000                                                | CUSIP: 05401AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1710000 | PA      | $1709588.04   | 0.01%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 2.125% 02/21/26                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.12500000                                                | CUSIP: 05401AAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1430000 | PA      | $1425332.97   | 0.01%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDING 2.528% 11/18/27                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.52800000                                                | CUSIP: 05401AAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4647000 | PA      | $4505127.51   | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 4.95% 01/15/28                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.95000000                                                | CUSIP: 05401AAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3604000 | PA      | $3646257.08   | 0.01%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 5.15% 01/15/30                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.15000000                                                | CUSIP: 05401AAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4295000 | PA      | $4365341.19   | 0.02%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS  4.9% 10/10/30                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.90000000                                                | CUSIP: 05401ABA8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1480000 | PA      | $1487849.91   | 0.01%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS 4.95% 10/15/32                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.95000000                                                | CUSIP: 05401ABC4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   6518000 | PA      | $6446983.78   | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS  4.7% 01/30/31                         | AVOLON HOLDINGS FNDG LTD REGD 144A P/P 4.70000000                                                | CUSIP: 05401ABD2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2545000 | PA      | $2528618.04   | 0.01%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-C2 4.047% 10/15/28                          | BBCMS MORTGAGE TRUST 2018-C2 SER 2018-C2 CL A4 REGD 4.04700000                                   | CUSIP: 05491UBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19844050.00  | 0.08%             | 2051-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BAMLL 2024-FRR4  V/R 01/27/26                          | BAMLL RE-REMIC TRUST 2024-FRR4 SER 2024-FRR4 CL C V/R REGD 144A P/P 0.01717800                   | CUSIP: 05493VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1926231 | PA      | $1918582.03   | 0.01%             | 2048-11-27      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49  V/R 03/15/35                          | BANK 2025-BNK49 SER 2025-BNK49 CL A5 V/R REGD 5.62300000                                         | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7289634 | PA      | $7697578.68   | 0.03%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR 5.27% 12/15/30                          | BANK5 2025-5YR19 SER 2025-5YR19 CL A3 REGD 5.27000000                                            | CUSIP: 05494RBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3525995 | PA      | $3644176.13   | 0.01%             | 2058-12-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 4.625% 03/22/33                         | BAT CAPITAL CORP REGD 4.62500000                                                                 | CUSIP: 054989AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8420000 | PA      | $8371964.15   | 0.03%             | 2033-03-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 5.8% 10/11/41                          | BAE SYSTEMS PLC REGD P/P 5.80000000                                                              | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $416719.60    | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 3% 09/15/50                            | BAE SYSTEMS PLC REGD 144A P/P 3.00000000                                                         | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    754000 | PA      | $503320.26    | 0.00%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 1.9% 02/15/31                          | BAE SYSTEMS PLC REGD 144A P/P 1.90000000                                                         | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   6886000 | PA      | $6107872.64   | 0.02%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BAMLL 2014-520M  V/R 08/15/34                          | BAMLL COMMERCIAL MORTGAGE SECURITIES  SER 2014-520M CL C V/R REGD 144A P/P 4.21390000            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $831174.96    | 0.00%             | 2046-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 3.557% 08/15/27                         | BAT CAPITAL CORP REGD 3.55700000                                                                 | CUSIP: 05526DBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    952000 | PA      | $944677.85    | 0.00%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL COR 4.39% 08/15/37                         | BAT CAPITAL CORP REGD SER WI 4.39000000                                                          | CUSIP: 05526DBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10160000 | PA      | $9358987.94   | 0.04%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL COR 4.54% 08/15/47                         | BAT CAPITAL CORP REGD SER WI 4.54000000                                                          | CUSIP: 05526DBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1742006.09   | 0.01%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CO 2.726% 03/25/31                         | BAT CAPITAL CORP REGD 2.72600000                                                                 | CUSIP: 05526DBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6820000 | PA      | $6287907.08   | 0.03%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FI 4.75% 02/28/28                         | BHP BILLITON FIN USA LTD REGD 4.75000000                                                         | CUSIP: 055451AZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |  10202000 | PA      | $10360996.74  | 0.04%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN U 5% 02/21/30                         | BHP BILLITON FIN USA LTD REGD 5.00000000                                                         | CUSIP: 055451BJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   2885000 | PA      | $2976648.55   | 0.01%             | 2030-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN 5.3% 02/21/35                         | BHP BILLITON FIN USA LTD REGD 5.30000000                                                         | CUSIP: 055451BL1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    900000 | PA      | $929192.86    | 0.00%             | 2035-02-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BBCMS 2021-C1 2.421% 10/15/31                          | BBCMS MORTGAGE TRUST 2021-C12 SER 2021-C12 CL A4 REGD 2.42100000                                 | CUSIP: 05552XBF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25600000 | PA      | $23067824.64  | 0.09%             | 2054-11-15      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| BBCMS 2022-C16 A V/R 05/15/32                          | BBCMS MORTGAGE TRUST 2022-C16 SER 2022-C16 CL A5 V/R REGD 4.60000000                             | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8750000 | PA      | $8695890.88   | 0.03%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BBCMS 2023-C21 A V/R 09/15/28                          | BBCMS MORTGAGE TRUST 2023-C21 SER 2023-C21 CL A2 V/R REGD 6.29602100                             | CUSIP: 05553WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10235933 | PA      | $10741034.92  | 0.04%             | 2056-09-15      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL L 4.5% 08/11/30                         | BMW US CAPITAL LLC REGD 144A P/P 4.50000000                                                      | CUSIP: 05565EDC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12345000 | PA      | $12406881.53  | 0.05%             | 2030-08-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 10/19/29                                   | BPCE SA REGD V/R 144A P/P 6.71400000                                                             | CUSIP: 05571AAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3300000 | PA      | $3500727.88   | 0.01%             | 2029-10-19      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/18/30                                   | BPCE SA REGD V/R 144A P/P 5.71600000                                                             | CUSIP: 05571AAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1400000 | PA      | $1449374.43   | 0.01%             | 2030-01-18      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 05/30/35                                   | BPCE SA REGD V/R 144A P/P 5.93600000                                                             | CUSIP: 05571AAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   6611000 | PA      | $6894384.68   | 0.03%             | 2035-05-30      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/14/31                                   | BPCE SA REGD V/R 144A P/P 5.87600000                                                             | CUSIP: 05571AAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1566879.96   | 0.01%             | 2031-01-14      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/14/36                                   | BPCE SA REGD V/R 144A P/P 6.29300000                                                             | CUSIP: 05571ABA2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2710000 | PA      | $2892396.77   | 0.01%             | 2036-01-14      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BPCE SA 3.25% 01/11/28                                 | BPCE SA REGD 144A P/P MTN 3.25000000                                                             | CUSIP: 05578AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   7815000 | PA      | $7684703.08   | 0.03%             | 2028-01-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 10/19/32                                   | BPCE SA REGD V/R 144A P/P 3.11600000                                                             | CUSIP: 05578QAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   6500000 | PA      | $5832770.26   | 0.02%             | 2032-10-19      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 06/12/29                               | BNP PARIBAS REGD V/R 144A P/P 5.33500000                                                         | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $6155942.04   | 0.02%             | 2029-06-12      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/09/30                               | BNP PARIBAS REGD V/R 144A P/P 5.17600000                                                         | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    750000 | PA      | $768155.41    | 0.00%             | 2030-01-09      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/20/32                                   | BPCE SA REGD V/R 144A P/P 2.27700000                                                             | CUSIP: 05583JAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   8350000 | PA      | $7398417.72   | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 07/19/33                                   | BPCE SA REGD V/R 144A P/P 5.74800000                                                             | CUSIP: 05583JAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1200000 | PA      | $1247611.04   | 0.00%             | 2033-07-19      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 01/18/27                                   | BPCE SA REGD V/R 144A P/P MTN 5.97500000                                                         | CUSIP: 05583JAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   4300000 | PA      | $4302587.70   | 0.02%             | 2027-01-18      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| BMO 2024-C8 A5 V/R 03/15/34                            | BMO 2024-C8 MORTGAGE TRUST SER 2024-C8 CL A5 V/R REGD 5.59801000                                 | CUSIP: 05593HAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5168300 | PA      | $5431113.74   | 0.02%             | 2057-03-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD 6.28% 07/16/54                           | BG BETA I LTD SERIES 2024-1    CLASS B-1 REGS 144A 6.28000000                                    | CUSIP: 05593PAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CY        |   6045000 | PA      | $6178189.49   | 0.02%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6  5.316% 09/15/29                          | BMO 2024-5C6 MORTGAGE TRUST SER 2024-5C6 CL A3 REGD 5.31610000                                   | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $7198664.90   | 0.03%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 05/28/31                                   | BPCE SA REGD V/R 144A P/P 5.38900000                                                             | CUSIP: 056121AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |  10175000 | PA      | $10444342.43  | 0.04%             | 2031-05-28      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 05/28/36                                   | BPCE SA REGD V/R 144A P/P 6.02700000                                                             | CUSIP: 056121AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |  13210000 | PA      | $13853184.46  | 0.06%             | 2036-05-28      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| BX 2024-VLT5 A V/R 11/13/34                            | BX COMMERCIAL MORTGAGE TRUST 2024-VLT5 SER 2024-VLT5 CL A V/R REGD 144A P/P 5.41043000           | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3411000 | PA      | $3453701.63   | 0.01%             | 2046-11-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| BVRT 2025-1 A V/R 05/10/33                             | BVRT 2025-1 LLC SER 2025-1 CL A V/R REGD 144A P/P 3.98483000                                     | CUSIP: 05614UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8032121 | PA      | $7821011.58   | 0.03%             | 2033-05-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| BPR 2025-STAR A V/R 11/05/30                           | BPR COMMERCIAL MORTGAGE TRUST 2025-STAR SER 2025-STAR CL A V/R REGD 144A P/P 4.94706000          | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1941000 | PA      | $1952301.47   | 0.01%             | 2042-11-05      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  3.5% 08/15/46                         | BALTIMORE GAS & ELECTRIC REGD 3.50000000                                                         | CUSIP: 059165EH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $277794.14    | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  3.2% 09/15/49                         | BALTIMORE GAS & ELECTRIC REGD 3.20000000                                                         | CUSIP: 059165EL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1105000 | PA      | $746650.67    | 0.00%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS &  2.9% 06/15/50                         | BALTIMORE GAS & ELECTRIC REGD 2.90000000                                                         | CUSIP: 059165EM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $607663.72    | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & 5.65% 06/01/54                         | BALTIMORE GAS & ELECTRIC REGD SER . 5.65000000                                                   | CUSIP: 059165ES5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1916404.60   | 0.01%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-8 30PO ZCP 01/25/36                          | BANC OF AMERICA FUNDING 2005-8 TRUST SER 2005-8 CL 30PO ZCP REGD 0.00000000                      | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2536 | PA      | $1665.66      | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAFC 2004-1 PO ZCP 03/25/34                            | BANC OF AMERICA FUNDING 2004-1 TRUST SER 2004-1 CL PO ZCP REGD 0.00000000                        | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7937 | PA      | $5687.97      | 0.00%             | 2034-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-6 2A7 5.5% 10/25/35                          | BANC OF AMERICA FUNDING 2005-6 TRUST SER 2005-6 CL 2A7 REGD 5.50000000                           | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11900 | PA      | $10790.68     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAFC 2005-7 30PO ZCP 11/25/35                          | BANC OF AMERICA FUNDING 2005-7 TRUST SER 2005-7 CL 30PO ZCP REGD 0.00000000                      | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6697 | PA      | $6692.84      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOAA 2004-6 15PO ZCP 07/25/49                          | BANC OF AMERICA ALTERNATIVE LOAN TRUST 2004-6 SER 2004-6 CL 15PO ZCP REGD 0.00000000             | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       868 | PA      | $375.54       | 0.00%             | 2049-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAFC 2006-1 XPO ZCP 01/25/36                           | BANC OF AMERICA FUNDING 2006-1 TRUST SER 2006-1 CL XPO ZCP REGD 0.00000000                       | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3147 | PA      | $2043.21      | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL D 2.5% 08/11/30                         | BANCO NACIONAL DE PANAMA REGD 144A P/P 2.50000000                                                | CUSIP: 059626AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |   2750000 | PA      | $2436168.57   | 0.01%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 09/14/27                         | BANCO SANTANDER SA REGD V/R 1.72200000                                                           | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3000000 | PA      | $2949104.94   | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 6.607% 11/07/28                         | BANCO SANTANDER SA REGD 6.60700000                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   4400000 | PA      | $4693566.68   | 0.02%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 03/14/30                         | BANCO SANTANDER SA REGD V/R SER * 5.53800000                                                     | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3400000 | PA      | $3518212.63   | 0.01%             | 2030-03-14      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER 6.35% 03/14/34                         | BANCO SANTANDER SA REGD 6.35000000                                                               | CUSIP: 05964HBD6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  13400000 | PA      | $14437381.90  | 0.06%             | 2034-03-14      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 4.551% 11/06/30                         | BANCO SANTANDER SA REGD 4.55100000                                                               | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  15600000 | PA      | $15616543.80  | 0.06%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 5.127% 11/06/35                         | BANCO SANTANDER SA REGD 5.12700000                                                               | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  10000000 | PA      | $9996521.30   | 0.04%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BOAMS 2003-C 3A1 V/R 04/25/33                          | BANC OF AMERICA MORTGAGE 2003-C TRUST SER 2003-C CL 3A1 V/R REGD 6.99648000                      | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1403 | PA      | $1304.15      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BAFC 2004-2 1C 5.75% 09/20/34                          | BANC OF AMERICA FUNDING 2004-2 TRUST SER 2004-2 CL 1CB1 REGD 5.75000000                          | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    356704 | PA      | $348897.30    | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 4.45% 03/03/26                         | BANK OF AMERICA CORP REGD MTN 4.45000000                                                         | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7140000 | PA      | $7145145.16   | 0.03%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/20/28                         | BANK OF AMERICA CORP REGD V/R MTN 3.82400000                                                     | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9976022.90   | 0.04%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/21/28                         | BANK OF AMERICA CORP REGD V/R MTN SER GMTN 3.59300000                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7800000 | PA      | $7746239.36   | 0.03%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/29                         | BANK OF AMERICA CORP REGD V/R MTN 4.27100000                                                     | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1506875.21   | 0.01%             | 2029-07-23      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/30                         | BANK OF AMERICA CORP REGD V/R MTN 3.19400000                                                     | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11108000 | PA      | $10728979.49  | 0.04%             | 2030-07-23      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/22/30                         | BANK OF AMERICA CORP REGD V/R MTN 2.88400000                                                     | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5130000 | PA      | $4881711.54   | 0.02%             | 2030-10-22      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/29/31                         | BANK OF AMERICA CORP REGD V/R 2.59200000                                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2997000 | PA      | $2792546.91   | 0.01%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 06/19/41                         | BANK OF AMERICA CORP REGD V/R MTN 2.67600000                                                     | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7418000 | PA      | $5469504.67   | 0.02%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/31                         | BANK OF AMERICA CORP REGD V/R MTN 1.89800000                                                     | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1154250.23   | 0.00%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/22/27                         | BANK OF AMERICA CORP REGD V/R 1.73400000                                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7170000 | PA      | $7078533.10   | 0.03%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/22/32                         | BANK OF AMERICA CORP REGD V/R 2.68700000                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  17025000 | PA      | $15623061.73  | 0.06%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 06/14/29                         | BANK OF AMERICA CORP REGD V/R MTN 2.08700000                                                     | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  15630000 | PA      | $14909499.36  | 0.06%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/21/32                         | BANK OF AMERICA CORP REGD V/R 2.29900000                                                         | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  16345000 | PA      | $14615011.86  | 0.06%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 10/20/32                         | BANK OF AMERICA CORP REGD V/R 2.57200000                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4072092.77   | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/04/28                         | BANK OF AMERICA CORP REGD V/R MTN 2.55100000                                                     | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3024700.84   | 0.01%             | 2028-02-04      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/04/33                         | BANK OF AMERICA CORP REGD V/R MTN 2.97200000                                                     | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6450000 | PA      | $5898553.31   | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 11/10/28                         | BANK OF AMERICA CORP REGD V/R 6.20400000                                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3117335.01   | 0.01%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/24/36                         | BANK OF AMERICA CORP REGD V/R 5.51100000                                                         | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $4066131.65   | 0.02%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA COR V/R /PERP/                         | BANK OF AMERICA CORP REGD V/R /PERP/ 6.25000000                                                  | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3765000 | PA      | $3824133.09   | 0.02%             | 2174-10-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND G V/R 09/30/27                         | BANK OF IRELAND GROUP REGD V/R 144A P/P 2.02900000                                               | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   6132000 | PA      | $6035371.76   | 0.02%             | 2027-09-30      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND G V/R 03/20/30                         | BANK OF IRELAND GROUP REGD V/R 144A P/P 5.60100000                                               | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  15120000 | PA      | $15703574.09  | 0.06%             | 2030-03-20      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL V/R 12/15/32                          | BANK OF MONTREAL REGD V/R 3.80300000                                                             | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   6500000 | PA      | $6422838.76   | 0.03%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL V/R 09/10/27                          | BANK OF MONTREAL REGD V/R SER F2F 4.56700000                                                     | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5018703.45   | 0.02%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL V/R 09/22/31                          | BANK OF MONTREAL REGD V/R 4.35000000                                                             | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   4755000 | PA      | $4748945.79   | 0.02%             | 2031-09-22      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON V/R 10/25/34                         | BANK OF NY MELLON CORP REGD V/R MTN 6.47400000                                                   | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2662517.42   | 0.01%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOT V/R 05/04/37                         | BANK OF NOVA SCOTIA REGD V/R 4.58800000                                                          | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $7794397.92   | 0.03%             | 2037-05-04      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SC 4.85% 02/01/30                         | BANK OF NOVA SCOTIA REGD 4.85000000                                                              | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1057000 | PA      | $1081728.38   | 0.00%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOT V/R 02/14/29                         | BANK OF NOVA SCOTIA REGD V/R 4.93200000                                                          | CUSIP: 06418GAP2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $10192084.60  | 0.04%             | 2029-02-14      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BN1 3.688% 01/15/28                          | BANK 2018-BNK10 SER 2018-BN10 CL A5 REGD 3.68800000                                              | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3964375.20   | 0.02%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN2 2.851% 10/17/52                          | BANK 2019-BNK21 SER 2019-BN21 CL A5 REGD 2.85100000                                              | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10450000 | PA      | $9899347.70   | 0.04%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK 5.716% 05/15/34                          | BANK 2024-BNK47 SER 2024-BNK47 CL A5 REGD 5.71600000                                             | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6364742 | PA      | $6751851.97   | 0.03%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN37 2.37% 10/15/31                          | BANK 2021-BNK37 SER 2021-BN37 CL A4 REGD 2.37000000                                              | CUSIP: 06540LBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22400000 | PA      | $19737459.84  | 0.08%             | 2064-11-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.538% 12/15/27                          | BANK 2017-BNK9 SER 2017-BNK9 CL A4 REGD 3.53800000                                               | CUSIP: 06540RAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6041643 | PA      | $5962889.99   | 0.02%             | 2054-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN24 2.96% 11/15/62                          | BANK 2019-BNK24 SER 2019-BN24 CL A3 REGD 2.96000000                                              | CUSIP: 06540VBB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3391000 | PA      | $3212748.69   | 0.01%             | 2062-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.625% 03/15/27                          | BANK 2017-BNK4 SER 2017-BNK4 CL A4 REGD 3.62500000                                               | CUSIP: 06541FBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6790000 | PA      | $6724943.65   | 0.03%             | 2050-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK 5.053% 09/15/34                          | BANK 2024-BNK48 SER 2024-BNK48 CL A5 REGD 5.05300000                                             | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2266830 | PA      | $2304710.32   | 0.01%             | 2057-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK5 5.29% 12/25/67                          | BANK 2025-BNK51 SER 2025-BNK51 CL A5 REGD 5.29000000                                             | CUSIP: 06541HAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5797486 | PA      | $5966338.94   | 0.02%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN2 1.997% 11/15/30                          | BANK 2020-BNK29 SER 2020-BN29 CL A4 REGD 1.99700000                                              | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11175000 | PA      | $9882473.80   | 0.04%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5Y 5.302% 10/15/29                          | BANK5 2024-5YR10 SER 2024-5YR10 CL A3 REGD 5.30200000                                            | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5152463.50   | 0.02%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5Y 5.646% 04/15/30                          | BANK5 2025-5YR14 SER 2025-5YR14 CL A3 REGD 5.64600000                                            | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7410000 | PA      | $7749220.17   | 0.03%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12 V/R 12/15/29                          | BANK5 2024-5YR12 SER 2024-5YR12 CL A3 V/R REGD 5.90200000                                        | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5257472.00   | 0.02%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK 3.488% 10/15/27                          | BANK 2017-BNK8 SER 2017-BNK8 CL A4 REGD 3.48800000                                               | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12745000 | PA      | $12471906.51  | 0.05%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5Y 5.032% 12/15/29                          | BANK5 TRUST 2025-5YR13 SER 2025-5YR13 CL A2 REGD 5.03200000                                      | CUSIP: 06650CAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11450000 | PA      | $11698428.36  | 0.05%             | 2058-01-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRE 5.538% 01/22/30                         | BANQUE FED CRED MUTUEL REGD 144A P/P 5.53800000                                                  | CUSIP: 06675DCN0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2835000 | PA      | $2945298.42   | 0.01%             | 2030-01-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED 5.79% 07/13/28                         | BANQUE FED CRED MUTUEL REGD 144A P/P 5.79000000                                                  | CUSIP: 06675FBB2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   5080000 | PA      | $5275589.40   | 0.02%             | 2028-07-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BAPTIST HEALTHC 3.54% 08/15/50                         | BAPTIST HEALTHCARE REGD SER 20B 3.54000000                                                       | CUSIP: 06684QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2280000 | PA      | $1620359.34   | 0.01%             | 2050-08-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 11/24/32                              | BARCLAYS PLC REGD V/R 2.89400000                                                                 | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1572000 | PA      | $1432401.87   | 0.01%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 11/02/33                              | BARCLAYS PLC REGD V/R 7.43700000                                                                 | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5717275.60   | 0.02%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 05/09/34                              | BARCLAYS PLC REGD V/R 6.22400000                                                                 | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   8288000 | PA      | $8912121.63   | 0.04%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/13/27                              | BARCLAYS PLC REGD V/R 6.49600000                                                                 | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   6615000 | PA      | $6717849.49   | 0.03%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/10/28                              | BARCLAYS PLC REGD V/R 4.83700000                                                                 | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2450000 | PA      | $2478742.81   | 0.01%             | 2028-09-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/10/30                              | BARCLAYS PLC REGD V/R 4.94200000                                                                 | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  11803000 | PA      | $12036879.63  | 0.05%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/10/35                              | BARCLAYS PLC REGD V/R 5.33500000                                                                 | CUSIP: 06738ECV5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $9145707.12   | 0.04%             | 2035-09-10      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 02/25/31                              | BARCLAYS PLC REGD V/R 5.36700000                                                                 | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2115000 | PA      | $2185998.18   | 0.01%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 02/25/36                              | BARCLAYS PLC REGD V/R 5.78500000                                                                 | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1835000 | PA      | $1920853.67   | 0.01%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| MMAF 2025-B A3 4.13% 09/13/30                          | BARINGS EQUIPMENT FINANCE LLC 2025-B SER 2025-B CL A3 REGD 144A P/P 4.13000000                   | CUSIP: 06764YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6500000 | PA      | $6513328.25   | 0.03%             | 2032-10-13      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| RAISA 2023-1A 7.119% 10/25/30                          | BASTION FUNDING I LLC SER 2023-1A CL A2 REGD 144A P/P 7.11900000                                 | CUSIP: 07030UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4053015 | PA      | $4087530.25   | 0.02%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAXALTA INC 5.25% 06/23/45                             | BAXALTA INC REGD 5.25000000                                                                      | CUSIP: 07177MAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $47719.13     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TO 6.263% 04/01/49                         | BAY AREA CA TOLL AUTH TOLL BRI REGD N/C B/E 6.26300000                                           | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1650000 | PA      | $1740624.77   | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BAYV 2007-B 1A2 V/R 08/28/37                           | BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST 2007-B SER 2007-B CL 1A2 V/R REGD 7.33100000       | CUSIP: 07324FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72857 | PA      | $64889.76     | 0.00%             | 2047-08-28      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| BBCMS 2017-C1 3.674% 02/15/27                          | BBCMS MORTGAGE TRUST 2017-C1 SER 2017-C1 CL A4 REGD 3.67400000                                   | CUSIP: 07332VBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1625000 | PA      | $1608701.25   | 0.01%             | 2050-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| BSARM 2004-2 14A V/R 05/25/34                          | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 14A V/R REGD 4.48065000                              | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18652 | PA      | $17358.32     | 0.00%             | 2034-05-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-2 A5 V/R 01/25/33                           | BEAR STEARNS ARM TRUST 2003-2 SER 2003-2 CL A5 V/R REGD 144A P/P 5.73806000                      | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37432 | PA      | $37156.95     | 0.00%             | 2033-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-7 3A V/R 10/25/33                           | BEAR STEARNS ARM TRUST 2003-7 SER 2003-7 CL 3A V/R REGD 6.82878000                               | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1266 | PA      | $1269.26      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| BSABS 2003-2 A3 V/R 03/25/43                           | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-2 SER 2003-2 CL A3 V/R REGD 5.34621000           | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1310251 | PA      | $1320794.60   | 0.01%             | 2043-03-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BSABS 2004-AC2 2A 5% 05/25/34                          | BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC2 SER 2004-AC2 CL 2A REGD 5.00000000         | CUSIP: 073879AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12555 | PA      | $10343.35     | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BSARM 2006-1 A1 V/R 02/25/36                           | BEAR STEARNS ARM TRUST 2006-1 SER 2006-1 CL A1 V/R REGD 5.95000000                               | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40108 | PA      | $38866.26     | 0.00%             | 2036-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| BSCMS 2007-T26 X V/R 01/12/45                          | BEAR STEARNS COMMERCIAL MORTGAGE SEC SER 2007-T26 CL X1 V/R REGD 144A P/P 0.95364400             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21778 | PA      | $0.22         | 0.00%             | 2045-01-12      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVEST 6.581% 05/30/49                         | BEIGNET INVESTOR LLC REGD 144A P/P 6.58100000                                                    | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  20646000 | PA      | $21812398.25  | 0.09%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BELL CANADA 5.1% 05/11/33                              | BELL CANADA REGD 5.10000000                                                                      | CUSIP: 0778FPAL3<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3042959.07   | 0.01%             | 2033-05-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BELROSE FUNDIN 6.792% 05/15/55                         | BELROSE FUNDING TRUST II REGD 144A P/P 6.79200000                                                | CUSIP: 08079KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5191713.85   | 0.02%             | 2055-05-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MTG TR 0% 12/15/72                           | BENCHMARK 2019-B15 MORTGAGE TRUST SER 2019-B15 CL A4 REGD 2.67300000                             | CUSIP: 08160KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  30000000 | PA      | $28007829.00  | 0.11%             | 2072-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BMARK 2018-B3 3.761% 01/10/28                          | BENCHMARK 2018-B3 MORTGAGE TRUST SER 2018-B3 CL A4 REGD 3.76100000                               | CUSIP: 08161BAX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16254780 | PA      | $16122171.94  | 0.06%             | 2051-04-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BMARK 2018-B6 4.261% 08/10/28                          | BENCHMARK 2018-B6 MORTGAGE TRUST SER 2018-B6 CL A4 REGD 4.26100000                               | CUSIP: 08162CAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8862000 | PA      | $8830990.09   | 0.04%             | 2051-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B1 2.289% 02/15/30                          | BENCHMARK 2020-B17 MORTGAGE TRUST SER 2020-B17 CL A5 REGD 2.28900000                             | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2770000 | PA      | $2503875.85   | 0.01%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B1 1.546% 12/15/29                          | BENCHMARK 2020-B19 MORTGAGE TRUST SER 2020-B19 CL A4 REGD 1.54600000                             | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21500000 | PA      | $19507276.80  | 0.08%             | 2053-09-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B24 2.01% 11/15/28                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A3 REGD 2.01030000                             | CUSIP: 08163CBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9076414.00   | 0.04%             | 2054-03-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.263% 02/15/31                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A4 REGD 2.26380000                             | CUSIP: 08163CBB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $13555570.50  | 0.05%             | 2054-03-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.584% 03/15/31                          | BENCHMARK 2021-B24 MORTGAGE TRUST SER 2021-B24 CL A5 REGD 2.58430000                             | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2400000 | PA      | $2150812.32   | 0.01%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BMARK 2021-B2 2.103% 05/15/31                          | BENCHMARK 2021-B27 MORTGAGE TRUST SER 2021-B27 CL A4 REGD 2.10300000                             | CUSIP: 08163HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $18010430.00  | 0.07%             | 2054-07-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BMARK 2020-B21 A V/R 11/15/30                          | BENCHMARK 2020-B21 MORTGAGE TRUST SER 2020-B21 CL A5 V/R REGD 1.97750000                         | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3252000 | PA      | $2876887.00   | 0.01%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BMARK 2022-B3 3.041% 02/15/29                          | BENCHMARK 2022-B32 MORTGAGE TRUST SER 2022-B32 CL A3 REGD 3.04160000                             | CUSIP: 08163NBG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23000000 | PA      | $21626824.10  | 0.09%             | 2055-01-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BMARK 2024-V1 4.801% 08/15/29                          | BENCHMARK 2024-V10 MORTGAGE TRUST SER 2024-V10 CL A2 REGD 4.80130000                             | CUSIP: 08163UAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7675000 | PA      | $7790476.52   | 0.03%             | 2057-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BMARK 2023-V3 5.896% 06/15/28                          | BENCHMARK 2023-V3 MORTGAGE TRUST SER 2023-V3 CL A2 REGD 5.89630000                               | CUSIP: 08163VAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3135000 | PA      | $3240457.01   | 0.01%             | 2056-07-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-V19 A V/R 12/15/30                          | BENCHMARK 2025-V19 MORTGAGE TRUST SER 2025-V19 CL A3 V/R REGD 5.24900000                         | CUSIP: 08164DAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20600000 | PA      | $21278263.24  | 0.08%             | 2058-01-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-V1 4.957% 06/15/30                          | BENCHMARK 2025-V16 MORTGAGE TRUST SER 2025-V16 CL A2 REGD 4.95700000                             | CUSIP: 08164RAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11225000 | PA      | $11433626.73  | 0.05%             | 2058-08-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| BSP 2020-21A A1R V/R 01/15/39                          | BENEFIT STREET PARTNERS CLO XXI LTD SER 2020-21A CL A1R2 V/R REGD 144A P/P 5.16291000            | CUSIP: 08186RAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30500000 | PA      | $30500000.00  | 0.12%             | 2039-01-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BMARK 2025-V1 4.357% 07/15/30                          | BENCHMARK 2025-V17 MORTGAGE TRUST SER 2025-V17 CL A2 REGD 4.35711000                             | CUSIP: 081934AQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10400000 | PA      | $10358168.08  | 0.04%             | 2058-09-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| BERKLEY (WR) CO 4.75% 08/01/44                         | BERKLEY (WR) CORPORATION REGD 4.75000000                                                         | CUSIP: 084423AT9<br>LEI: SQOAGCLKBDWNVYV1OV80 | Long             | DBT              | CORP              | US        |   3445000 | PA      | $3085666.90   | 0.01%             | 2044-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHA 2.85% 05/15/51                         | BERKSHIRE HATHAWAY ENERG REGD SER WI 2.85000000                                                  | CUSIP: 084659BC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7650000 | PA      | $4745452.44   | 0.02%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHA 3.85% 03/15/52                         | BERKSHIRE HATHAWAY FIN REGD 3.85000000                                                           | CUSIP: 084664DB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2265000 | PA      | $1742924.00   | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUD 2.375% 08/20/30                         | GOVT OF BERMUDA REGD 144A P/P 2.37500000                                                         | CUSIP: 085209AG9<br>LEI: N/A                  | Long             | DBT              | USGA              | BM        |   1765000 | PA      | $1599090.00   | 0.01%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC 5.8% 06/15/31                         | BERRY GLOBAL INC REGD 5.80000000                                                                 | CUSIP: 08576BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4600000 | PA      | $4856006.38   | 0.02%             | 2031-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL IN 1.57% 01/15/26                         | BERRY GLOBAL INC REGD 1.57000000                                                                 | CUSIP: 08576PAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17410000 | PA      | $17392561.27  | 0.07%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA 4% 05/17/51                         | BIMBO BAKERIES USA INC REGD 144A P/P 4.00000000                                                  | CUSIP: 09031WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3755000 | PA      | $2860184.07   | 0.01%             | 2051-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES  6.05% 01/15/29                         | BIMBO BAKERIES USA INC REGD 144A P/P 6.05000000                                                  | CUSIP: 09031WAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    238000 | PA      | $248823.70    | 0.00%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES 5.375% 01/09/36                         | BIMBO BAKERIES USA INC REGD 144A P/P 5.37500000                                                  | CUSIP: 09031WAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    535000 | PA      | $548488.00    | 0.00%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC 5.75% 05/15/35                              | BIOGEN INC REGD 5.75000000                                                                       | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2699757.05   | 0.01%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS COR 4.55% 01/31/31                         | BLACK HILLS CORP REGD 4.55000000                                                                 | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   6681000 | PA      | $6682328.85   | 0.03%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLD 4.45% 07/15/45                         | BLACKSTONE HOLDINGS FINA REGD P/P 4.45000000                                                     | CUSIP: 09256BAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $146693.18    | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 08/12/35                               | BNP PARIBAS REGD V/R P/P 2.58800000                                                              | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $1808221.38   | 0.01%             | 2035-08-12      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 11/19/35                               | BNP PARIBAS REGD V/R 144A P/P 5.90600000                                                         | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4425000 | PA      | $4594523.87   | 0.02%             | 2035-11-19      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 09/30/28                               | BNP PARIBAS REGD V/R 144A P/P 1.90400000                                                         | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6280000 | PA      | $6042736.07   | 0.02%             | 2028-09-30      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/13/27                               | BNP PARIBAS REGD V/R 144A P/P 1.32300000                                                         | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $3996212.32   | 0.02%             | 2027-01-13      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 04/19/32                               | BNP PARIBAS REGD V/R P/P 2.87100000                                                              | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3560000 | PA      | $3249903.39   | 0.01%             | 2032-04-19      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 06/30/27                               | BNP PARIBAS REGD V/R 144A P/P 1.67500000                                                         | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2660000 | PA      | $2626712.15   | 0.01%             | 2027-06-30      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/20/33                               | BNP PARIBAS REGD V/R P/P 3.13200000                                                              | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    550000 | PA      | $501638.07    | 0.00%             | 2033-01-20      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 05/20/30                               | BNP PARIBAS REGD V/R 144A P/P 5.49700000                                                         | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4509000 | PA      | $4664381.81   | 0.02%             | 2030-05-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 11/19/30                               | BNP PARIBAS REGD V/R 144A P/P 5.28300000                                                         | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   7335000 | PA      | $7550280.20   | 0.03%             | 2030-11-19      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/13/33                               | BNP PARIBAS REGD V/R 144A P/P MTN 5.78600000                                                     | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3590000 | PA      | $3768547.72   | 0.01%             | 2033-01-13      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 05/09/29                               | BNP PARIBAS REGD V/R 144A P/P 4.79200000                                                         | CUSIP: 09659W3C6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4225000 | PA      | $4271925.47   | 0.02%             | 2029-05-09      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS V/R 05/09/31                               | BNP PARIBAS REGD V/R 144A P/P 5.08500000                                                         | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  14620000 | PA      | $14924422.90  | 0.06%             | 2031-05-09      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPEL 5.95% 06/01/26                         | BOARDWALK PIPELINES LP REGD 5.95000000                                                           | CUSIP: 096630AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3009170.34   | 0.01%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELI 3.6% 09/01/32                         | BOARDWALK PIPELINES LP REGD 3.60000000                                                           | CUSIP: 096630AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4664013.00   | 0.02%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.3% 03/01/35                                | BOEING CO REGD 3.30000000                                                                        | CUSIP: 097023BK0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1223965.74   | 0.00%             | 2035-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.65% 03/01/47                               | BOEING CO REGD 3.65000000                                                                        | CUSIP: 097023BV6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $3785419.72   | 0.02%             | 2047-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.25% 03/01/28                               | BOEING CO REGD 3.25000000                                                                        | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2061000 | PA      | $2022813.69   | 0.01%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.625% 03/01/48                              | BOEING CO REGD 3.62500000                                                                        | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1373000 | PA      | $980324.49    | 0.00%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.825% 03/01/59                              | BOEING CO REGD 3.82500000                                                                        | CUSIP: 097023CF0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3695000 | PA      | $2564950.65   | 0.01%             | 2059-03-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.1% 05/01/26                                | BOEING CO REGD 3.10000000                                                                        | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1529000 | PA      | $1522939.50   | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.6% 05/01/34                                | BOEING CO REGD 3.60000000                                                                        | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5762000 | PA      | $5235034.85   | 0.02%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.9% 05/01/49                                | BOEING CO REGD 3.90000000                                                                        | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5784000 | PA      | $4308107.77   | 0.02%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.25% 02/01/35                               | BOEING CO REGD 3.25000000                                                                        | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1015678.53   | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.95% 08/01/59                               | BOEING CO REGD 3.95000000                                                                        | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4825000 | PA      | $3414541.77   | 0.01%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.04% 05/01/27                               | BOEING CO REGD 5.04000000                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1197131.26   | 0.00%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.705% 05/01/40                              | BOEING CO REGD 5.70500000                                                                        | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1587309.95   | 0.01%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO 5.15% 05/01/30                               | BOEING CO REGD 5.15000000                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $4341230.38   | 0.02%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO 2.75% 02/01/26                               | BOEING CO REGD 2.75000000                                                                        | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1413335.52   | 0.01%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO 3.25% 02/01/28                               | BOEING CO REGD 3.25000000                                                                        | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3207000 | PA      | $3151995.17   | 0.01%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO 2.196% 02/04/26                              | BOEING CO REGD 2.19600000                                                                        | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  34828000 | PA      | $34761707.34  | 0.14%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 6.298% 05/01/29                          | BOEING CO/THE REGD SER WI 6.29800000                                                             | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   8939000 | PA      | $9488286.53   | 0.04%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 6.388% 05/01/31                          | BOEING CO/THE REGD SER WI 6.38800000                                                             | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1551826.79   | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 6.528% 05/01/34                          | BOEING CO/THE REGD SER WI 6.52800000                                                             | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2360000 | PA      | $2611007.15   | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 6.858% 05/01/54                          | BOEING CO/THE REGD SER WI 6.85800000                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6167000 | PA      | $6926395.81   | 0.03%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 7.008% 05/01/64                          | BOEING CO/THE REGD SER WI 7.00800000                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2222000 | PA      | $2524748.39   | 0.01%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| BVABS 2023-CA 6.291% 06/25/27                          | BOF VII AL FUNDING TRUST I SER 2023-CAR3 CL A2 REGD 144A P/P 6.29100000                          | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2978183 | PA      | $3030081.97   | 0.01%             | 2032-07-26      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BVABS 2023-CA 6.632% 06/25/27                          | BOF VII AL FUNDING TRUST I SER 2023-CAR3 CL B REGD 144A P/P 6.63200000                           | CUSIP: 097093AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1092921 | PA      | $1110755.29   | 0.00%             | 2032-07-26      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BORGWARNER INC 4.95% 08/15/29                          | BORGWARNER INC REGD 4.95000000                                                                   | CUSIP: 099724AP1<br>LEI: 549300DSFX2IE88NSX47 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3069520.44   | 0.01%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COM 4.487% 02/15/42                         | BOSTON GAS COMPANY REGD P/P 4.48700000                                                           | CUSIP: 100743AJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    253000 | PA      | $216588.04    | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COM 5.843% 01/10/35                         | BOSTON GAS COMPANY REGD 144A P/P 5.84300000                                                      | CUSIP: 100743AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2471453.07   | 0.01%             | 2035-01-10      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTI 6.5% 11/15/35                           | BOSTON SCIENTIFIC CORP REGD 6.25000000                                                           | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    845000 | PA      | $946757.28    | 0.00%             | 2035-11-15      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIF 4.55% 03/01/39                         | BOSTON SCIENTIFIC CORP REGD 4.55000000                                                           | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    356000 | PA      | $338964.73    | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS 2.939% 06/04/51                         | BP CAP MARKETS AMERICA REGD 2.93900000                                                           | CUSIP: 10373QBP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3935000 | PA      | $2503742.40   | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS 4.893% 09/11/33                         | BP CAP MARKETS AMERICA REGD 4.89300000                                                           | CUSIP: 10373QBV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2034630.74   | 0.01%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| BRAVO 2025-CES2  V/R 07/26/55                          | BRAVO RESIDENTIAL FUNDING TRUST 2025-CES2 SER 2025-CES2 CL A1 V/R REGD 144A P/P 4.96000000       | CUSIP: 10568RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6350191 | PA      | $6342732.42   | 0.03%             | 2055-07-26      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BRAVO 2024-RPL1  V/R 10/25/63                          | BRAVO RESIDENTIAL FUNDING TRUST 2024 RPL1 SER 2024-RPL1 CL A1 V/R REGD 144A P/P 3.25000000       | CUSIP: 10568TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5998902 | PA      | $5597497.62   | 0.02%             | 2063-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BRAVO 2023-RPL1  V/R 05/25/63                          | BRAVO RESIDENTIAL FUNDING TRUST 2023-RPL1 SER 2023-RPL1 CL A1 V/R REGD 144A P/P 5.00000000       | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3100740 | PA      | $3115178.09   | 0.01%             | 2063-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO 2025-NQM7  V/R 07/25/29                          | BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM7 SER 2025-NQM7 CL A1 V/R REGD 144A P/P 5.45900000       | CUSIP: 10570TAP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15973738 | PA      | $16115455.48  | 0.06%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BABS 2025-RM11 A V/R 05/25/65                          | BREAN ASSET BACKED SECURITIES TRUST 2025-RM11 SER 2025-RM11 CL A1 V/R REGD 144A P/P 4.75000000   | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5886066 | PA      | $5804764.46   | 0.02%             | 2065-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BABS 2025-RM12 A V/R 07/25/30                          | BREAN ASSET BACKED SECURITIES TRUST 2025-RM12 SER 2025-RM12 CL A1 V/R REGD 144A P/P 4.50000000   | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6940041 | PA      | $6776793.15   | 0.03%             | 2065-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BABS 2025-RM13 4.25% 01/25/30                          | BREAN ASSET BACKED SECURITIES TRUST 2025-RM13 SER 2025-RM13 CL A1 REGD 144A P/P 4.25000000       | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6167722 | PA      | $5968910.57   | 0.02%             | 2065-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BLAST 2024-1 C 5.65% 01/15/27                          | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 SER 2024-1 CL C REGD 5.65000000             | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5403000 | PA      | $5456760.93   | 0.02%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BRDGE 2025-SFR1 4.2% 09/17/30                          | BRIDGE 2025-SFR1 TRUST SER 2025-SFR1 CL C REGD 144A P/P 4.20000000                               | CUSIP: 10807GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3678122 | PA      | $3482802.72   | 0.01%             | 2042-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BLAST 2025-2 D 5.62% 02/15/29                          | BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-2 SER 2025-2 CL D REGD 5.62000000             | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13220000 | PA      | $13427825.01  | 0.05%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS  4.125% 06/15/39                         | BRISTOL-MYERS SQUIBB CO REGD 4.12500000                                                          | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1512000 | PA      | $1372598.02   | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 4.25% 10/26/49                         | BRISTOL-MYERS SQUIBB CO REGD 4.25000000                                                          | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1973000 | PA      | $1612054.76   | 0.01%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 4.55% 02/20/48                         | BRISTOL-MYERS SQUIBB CO REGD 4.55000000                                                          | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1374000 | PA      | $1188687.59   | 0.00%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQ 3.7% 03/15/52                         | BRISTOL-MYERS SQUIBB CO REGD 3.70000000                                                          | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1704000 | PA      | $1252019.54   | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS S 5.55% 02/22/54                         | BRISTOL-MYERS SQUIBB CO REGD 5.55000000                                                          | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    268000 | PA      | $263195.76    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 3.8% 09/20/31                         | BRITISH AIR 18-1 AA PTT REGD 144A P/P 3.80000000                                                 | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    610572 | PA      | $598932.56    | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18 4.125% 09/20/31                         | BRITISH AIR 18-1 A PTT REGD 144A P/P 4.12500000                                                  | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1303196 | PA      | $1263195.03   | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 3.3% 12/15/32                         | BRITISH AIR 19-1 AA PTT REGD 144A P/P 3.30000000                                                 | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1123208 | PA      | $1060580.89   | 0.00%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRITISH TEL 8.625% 12/15/30                            | BRITISH TELECOMMUNICATIO REGD 9.62500000                                                         | CUSIP: 111021AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $10986403.05  | 0.04%             | 2030-12-15      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 5.75% 02/15/35                         | BRIXMOR OPERATING PART REGD 5.75000000                                                           | CUSIP: 11120BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2363556.15   | 0.01%             | 2035-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 4.05% 07/01/30                         | BRIXMOR OPERATING PART REGD 4.05000000                                                           | CUSIP: 11120VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2286000 | PA      | $2253700.99   | 0.01%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 2.25% 04/01/28                         | BRIXMOR OPERATING PART REGD 2.25000000                                                           | CUSIP: 11120VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1853093.17   | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATIN 2.5% 08/16/31                         | BRIXMOR OPERATING PART REGD 2.50000000                                                           | CUSIP: 11120VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1080000 | PA      | $970744.31    | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATI 4.85% 02/15/33                         | BRIXMOR OPERATING PART REGD 4.85000000                                                           | CUSIP: 11120VAP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3577554.05   | 0.01%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 4.75% 04/15/29                            | BROADCOM INC REGD 4.75000000                                                                     | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6850000 | PA      | $6978566.42   | 0.03%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 3.137% 11/15/35                           | BROADCOM INC REGD 144A P/P 3.13700000                                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  12942000 | PA      | $11145468.18  | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 3.187% 11/15/36                           | BROADCOM INC REGD 144A P/P 3.18700000                                                            | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  17915000 | PA      | $15193576.96  | 0.06%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 5.05% 07/12/29                            | BROADCOM INC REGD 5.05000000                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   8415000 | PA      | $8663893.15   | 0.03%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 5.15% 11/15/31                            | BROADCOM INC REGD 5.15000000                                                                     | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3112347.48   | 0.01%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 3.5% 02/15/41                             | BROADCOM INC REGD SER WI 3.50000000                                                              | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   8120000 | PA      | $6605498.04   | 0.03%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 4.8% 02/15/36                             | BROADCOM INC REGD 4.80000000                                                                     | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1618000 | PA      | $1596556.00   | 0.01%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINAN 4.7% 09/20/47                         | BROOKFIELD FINANCE INC REGD 4.70000000                                                           | CUSIP: 11271LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    158000 | PA      | $136716.07    | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINAN 3.9% 01/25/28                         | BROOKFIELD FINANCE INC REGD 3.90000000                                                           | CUSIP: 11271LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    770000 | PA      | $767288.26    | 0.00%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINA 4.85% 03/29/29                         | BROOKFIELD FINANCE INC REGD 4.85000000                                                           | CUSIP: 11271LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    875000 | PA      | $888814.38    | 0.00%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 4.504% 03/10/46                         | BROOKLYN UNION GAS CO REGD 144A P/P 4.50400000                                                   | CUSIP: 114259AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1645788.84   | 0.01%             | 2046-03-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 4.273% 03/15/48                         | BROOKLYN UNION GAS CO REGD 144A P/P 4.27300000                                                   | CUSIP: 114259AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4438000 | PA      | $3538557.64   | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 3.865% 03/04/29                         | BROOKLYN UNION GAS CO REGD 144A P/P 3.86500000                                                   | CUSIP: 114259AT1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1108735.91   | 0.00%             | 2029-03-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION 4.487% 03/04/49                         | BROOKLYN UNION GAS CO REGD 144A P/P 4.48700000                                                   | CUSIP: 114259AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    338000 | PA      | $273104.02    | 0.00%             | 2049-03-04      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN  2.375% 03/15/31                         | BROWN & BROWN INC REGD 2.37500000                                                                | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   4150000 | PA      | $3720941.83   | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN IN 4.2% 03/17/32                         | BROWN & BROWN INC REGD 4.20000000                                                                | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5805818.70   | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN IN 4.9% 06/23/30                         | BROWN & BROWN INC REGD 4.90000000                                                                | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   9995000 | PA      | $10133226.35  | 0.04%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN I 5.25% 06/23/32                         | BROWN & BROWN INC REGD 5.25000000                                                                | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   4785000 | PA      | $4893286.51   | 0.02%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN I 6.25% 06/23/55                         | BROWN & BROWN INC REGD 6.25000000                                                                | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3628961.89   | 0.01%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 2.75% 05/14/31                         | BUNGE LTD FINANCE CORP REGD 2.75000000                                                           | CUSIP: 120568BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3580942.25   | 0.01%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 4.65% 09/17/34                         | BUNGE LTD FINANCE CORP REGD 4.65000000                                                           | CUSIP: 120568BF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2840512.25   | 0.01%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANC 3.2% 04/21/31                         | BUNGE LTD FINANCE CORP REGD 3.20000000                                                           | CUSIP: 120568BN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10250000 | PA      | $9645149.24   | 0.04%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 5.25% 04/21/32                         | BUNGE LTD FINANCE CORP REGD SER WI 5.25000000                                                    | CUSIP: 120568BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5295000 | PA      | $5440827.32   | 0.02%             | 2032-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 5.15% 08/04/35                         | BUNGE LTD FINANCE CORP REGD 5.15000000                                                           | CUSIP: 120568BR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14340000 | PA      | $14566611.87  | 0.06%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORT 4.375% 09/01/42                         | BURLINGTN NORTH SANTA FE REGD 4.37500000                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462000 | PA      | $409627.25    | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 3.55% 02/15/50                         | BURLINGTN NORTH SANTA FE REGD 3.55000000                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    517000 | PA      | $378619.17    | 0.00%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH  3.3% 09/15/51                         | BURLINGTN NORTH SANTA FE REGD 3.30000000                                                         | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530000 | PA      | $365870.01    | 0.00%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 4.45% 01/15/53                         | BURLINGTN NORTH SANTA FE REGD 4.45000000                                                         | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1517777.64   | 0.01%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH 5.55% 03/15/56                         | BURLINGTN NORTH SANTA FE REGD 5.55000000                                                         | CUSIP: 12189LBN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2216000 | PA      | $2184402.72   | 0.01%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BXGNT 2022-A C 5.35% 09/28/37                          | BXG RECEIVABLES NOTE TRUST 2022-A SER 2022-A CL C REGD 144A P/P 5.35000000                       | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3694617 | PA      | $3653365.49   | 0.01%             | 2037-09-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES IN 4.9% 01/15/33                         | CBRE SERVICES INC REGD 4.90000000                                                                | CUSIP: 12505BAL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6028826.52   | 0.02%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FIN 2.67% 12/01/26                         | CDW LLC/CDW FINANCE REGD 2.67000000                                                              | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14070000 | PA      | $13883102.28  | 0.06%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 A 2.657% 07/15/29                          | CD 2019-CD8 MORTGAGE TRUST SER 2019-CD8 CL A3 REGD 2.65700000                                    | CUSIP: 12515BAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19087100 | PA      | $18142289.02  | 0.07%             | 2057-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| CCG 2025-2 A2 4.14% 10/14/28                           | CCG RECEIVABLES TRUST 2025-2 SER 2025-2 CL A2 REGD 144A P/P 4.14000000                           | CUSIP: 12516XAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8300000 | PA      | $8317884.84   | 0.03%             | 2034-08-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES I 4.95% 06/01/43                         | CF INDUSTRIES INC REGD 4.95000000                                                                | CUSIP: 12527GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3055000 | PA      | $2735471.37   | 0.01%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES IN 5.3% 11/26/35                         | CF INDUSTRIES INC REGD 5.30000000                                                                | CUSIP: 12527GAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1664213.52   | 0.01%             | 2035-11-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1  S/UP 02/16/26                          | CFIN 2022-RTL1 ISSUER LLC SER 2022-RTL1 CL AA S/UP REGD 144A P/P 4.75000000                      | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1225434 | PA      | $1221758.02   | 0.00%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CFCRE 2017-C8 3.304% 03/15/27                          | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 SER 2017-C8 CL A3 REGD 3.30480000                        | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20195109 | PA      | $19981838.25  | 0.08%             | 2050-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CGI INC 1.45% 09/14/26                                 | CGI INC REGD SER WI 1.45000000                                                                   | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   2182000 | PA      | $2143700.10   | 0.01%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CGI INC 2.3% 09/14/31                                  | CGI INC REGD 2.30000000                                                                          | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   3919000 | PA      | $3473155.51   | 0.01%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CH ROBINSON WORL 4.2% 04/15/28                         | CH ROBINSON WORLDWIDE REGD 4.20000000                                                            | CUSIP: 12541WAA8<br>LEI: 529900WNWN5L0OVDHA79 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6013635.24   | 0.02%             | 2028-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/TH 4.375% 10/15/28                         | CIGNA GROUP/THE REGD SER WI 4.37500000                                                           | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   8650000 | PA      | $8728629.45   | 0.03%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE 4.8% 07/15/46                          | CIGNA GROUP/THE REGD SER * 4.80000000                                                            | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    218000 | PA      | $193825.44    | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/TH 4.875% 09/15/32                         | CIGNA GROUP/THE REGD 4.87500000                                                                  | CUSIP: 125523CY4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |  11725000 | PA      | $11877570.74  | 0.05%             | 2032-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE 5.25% 01/15/36                         | CIGNA GROUP/THE REGD 5.25000000                                                                  | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   6200000 | PA      | $6311637.51   | 0.03%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM 2022-R3 A1 V/R 03/25/62                            | CIM TRUST 2022-R3 SER 2022-R3 CL A1 V/R REGD 144A P/P 4.50000000                                 | CUSIP: 12569DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1813626 | PA      | $1795513.07   | 0.01%             | 2062-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP 3% 05/15/26                            | CMS ENERGY CORP REGD 3.00000000                                                                  | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109610.44    | 0.00%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP 2.95% 02/15/27                         | CMS ENERGY CORP REGD 2.95000000                                                                  | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    348000 | PA      | $343303.87    | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 3.126% 03/15/27                          | CSAIL 2017-C8 COMMERCIAL MORTGAGE TRUST SER 2017-C8 CL A3 REGD 3.12658000                        | CUSIP: 12595BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5622307 | PA      | $5538714.65   | 0.02%             | 2050-06-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL C 3.45% 08/15/27                         | CNA FINANCIAL CORP REGD 3.45000000                                                               | CUSIP: 126117AU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    820000 | PA      | $812101.14    | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CO 5.5% 06/15/33                         | CNA FINANCIAL CORP REGD 5.50000000                                                               | CUSIP: 126117AX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8225000 | PA      | $8519371.19   | 0.03%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA IN 5.125% 05/18/45                         | CRH AMERICA INC REGD P/P 5.12500000                                                              | CUSIP: 12626PAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $215117.78    | 0.00%             | 2045-05-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COOF 2014-1 A V/R 06/25/40                             | COOF SECURITIZATION TRUST 2014-1 LTD SER 2014-1 CL A V/R REGD 144A P/P 3.19830300                | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150200 | PA      | $10337.07     | 0.00%             | 2040-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINA 3.4% 05/09/27                         | CRH AMERICA FINANCE INC REGD 144A P/P 3.40000000                                                 | CUSIP: 12636YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $198421.77    | 0.00%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CSX CORP 5.5% 04/15/41                                 | CSX CORP REGD 5.50000000                                                                         | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    402000 | PA      | $410236.76    | 0.00%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.1% 03/15/44                                 | CSX CORP REGD 4.10000000                                                                         | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    175000 | PA      | $146529.41    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.65% 03/01/68                                | CSX CORP REGD 4.65000000                                                                         | CUSIP: 126408HL0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1638129.40   | 0.01%             | 2068-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CSX CORP 4.75% 11/15/48                                | CSX CORP REGD 4.75000000                                                                         | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1137951.21   | 0.00%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSX CORP 3.35% 09/15/49                                | CSX CORP REGD 3.35000000                                                                         | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    305000 | PA      | $214410.36    | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CSMC 2014-USA 4.373% 09/15/25                          | CSMC 2014-USA OA LLC SER 2014-USA CL D REGD 144A P/P 4.37330000                                  | CUSIP: 12649AAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2548025.10   | 0.01%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL4 P V/R 04/25/58                          | CSMC 2018-RPL4 TRUST SER 2018-RPL4 CL PT V/R REGD 144A P/P 4.71636800                            | CUSIP: 12653MAM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1199241 | PA      | $1148558.37   | 0.00%             | 2058-04-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 A V/R 01/25/46                          | CSMC 2018-RPL9 TRUST SER 2018-RPL9 CL A V/R REGD 144A P/P 3.85000000                             | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2771546 | PA      | $2684112.11   | 0.01%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 P V/R 01/25/46                          | CSMC 2018-RPL9 TRUST SER 2018-RPL9 CL PT V/R REGD 144A P/P 3.91857200                            | CUSIP: 12654PAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1553565 | PA      | $1333562.23   | 0.01%             | 2057-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4 A V/R 03/01/62                          | CSMC 2022-RPL4 TRUST SER 2022-RPL4 CL A1 V/R REGD 144A P/P 3.90435000                            | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3124269 | PA      | $3007294.56   | 0.01%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CPS 2022-C C 5.28% 08/15/25                            | CPS AUTO RECEIVABLES TRUST 2022-C SER 2022-C CL C REGD 144A P/P 5.28000000                       | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7433 | PA      | $7435.53      | 0.00%             | 2030-04-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 7.507% 01/10/32                         | CVS PASS-THROUGH TRUST REGD   144A P/P 7.50700000                                                | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    522482 | PA      | $554550.66    | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 5.773% 01/31/33                         | CVS PASS-THROUGH TRUST REGD   144A P/P 5.77300000                                                | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    493549 | PA      | $503199.76    | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 5.926% 01/10/34                         | CVS PASS-THROUGH TRUST REGD   144A P/P 5.92600000                                                | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    389155 | PA      | $398921.80    | 0.00%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH COR 4.875% 07/20/35                         | CVS HEALTH CORP REGD 4.87500000                                                                  | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491919.94    | 0.00%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 4.78% 03/25/38                         | CVS HEALTH CORP REGD 4.78000000                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   8370000 | PA      | $7900540.59   | 0.03%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.05% 03/25/48                         | CVS HEALTH CORP REGD 5.05000000                                                                  | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4407749.30   | 0.02%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 1.75% 08/21/30                         | CVS HEALTH CORP REGD 1.75000000                                                                  | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    785000 | PA      | $697253.01    | 0.00%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.25% 02/21/33                         | CVS HEALTH CORP REGD 5.25000000                                                                  | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3191700.76   | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.7% 06/01/34                          | CVS HEALTH CORP REGD 5.70000000                                                                  | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   8863000 | PA      | $9287685.27   | 0.04%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 6% 06/01/44                            | CVS HEALTH CORP REGD 6.00000000                                                                  | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   9170000 | PA      | $9215063.03   | 0.04%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 6.05% 06/01/54                         | CVS HEALTH CORP REGD 6.05000000                                                                  | CUSIP: 126650EF3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1541063.71   | 0.01%             | 2054-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 5% 09/15/32                            | CVS HEALTH CORP REGD 5.00000000                                                                  | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   4525000 | PA      | $4618534.65   | 0.02%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 8.353% 07/10/31                         | CVS PASS-THROUGH TRUST REGD   144A P/P 8.35300000                                                | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    520035 | PA      | $566247.90    | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROU 4.704% 01/10/36                         | CVS PASS-THROUGH TR 2013 REGD P/P 4.70400000                                                     | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    644128 | PA      | $597875.64    | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CWL 2005-10 AF6 4.915%12/25/35                         | CWL 2005-10 AF6 4.915%12/25/35 4.91500000                                                        | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       477 | PA      | $474.58       | 0.00%             | 2036-02-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CWL 2005-17 1AF5 V/R 03/25/36                          | CWABS ASSET-BACKED CERTIFICATES TRUST 2005-17 SER 2005-17 CL 1AF5 V/R REGD 5.56400000            | CUSIP: 126670QV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3356 | PA      | $3199.36      | 0.00%             | 2036-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| CWL 2004-1 3A V/R 04/25/34                             | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2004-1 SER 2004-1 CL 3A V/R REGD 4.40621000           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1112 | PA      | $1073.93      | 0.00%             | 2034-04-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CWL 2004-1 M1 V/R 03/25/34                             | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2004-1 SER 2004-1 CL M1 V/R REGD 4.59621000           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4109 | PA      | $4243.22      | 0.00%             | 2034-03-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| CWL 2004-6 M1 V/R 10/25/34                             | COUNTRYWIDE ASSET-BACKED CEFTIFICATES SERIES 2004-6 CLASS M1 REGD VARIABLE 4.74621000            | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3025 | PA      | $3012.53      | 0.00%             | 2034-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CWL 2004-6 2A5 V/R 11/25/34                            | CWABS INC ASSET-BACKED CERTIFICATES TRUST 2004-6 SER 2004-6 CL 2A5 V/R REGD 4.62621000           | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307465 | PA      | $300722.73    | 0.00%             | 2034-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| CWL 2004-S1 A3 V/R 02/25/35                            | COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2004-S1 CL A3 V/R REGD 5.11500000                      | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4100 | PA      | $4093.37      | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-1CB 1 V/R 03/25/35                          | ALTERNATIVE LOAN TRUST 2005-1CB SER 2005-1CB CL 1A6 V/R REGD 3.25379000                          | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53913 | PA      | $6356.67      | 0.00%             | 2035-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CWALT 2004-2CB  5.75% 03/25/34                         | COUNTRYWIDE ALTERNATIVE LOAN T  RUST SER 2004-2CB CL 1A9 REGD 5.75000000                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176759 | PA      | $180641.76    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-37T1  V/R 09/25/35                          | ALTERNATIVE LOAN TRUST 2005-37T1 SER 2005-37T1 CL A2 V/R REGD 1.20379000                         | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1227624 | PA      | $93265.17     | 0.00%             | 2035-09-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-22T1  V/R 06/25/35                          | ALTERNATIVE LOAN TRUST 2005-22T1 SER 2005-22T1 CL A2 V/R REGD 1.22379000                         | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    375425 | PA      | $31443.34     | 0.00%             | 2035-06-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-20CB  V/R 07/25/35                          | ALTERNATIVE LOAN TRUST 2005-20CB SER 2005-20CB CL 3A8 V/R REGD 0.90379000                        | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    238022 | PA      | $12914.38     | 0.00%             | 2035-07-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-28CB 5.5% 08/25/35                          | ALTERNATIVE LOAN TRUST 2005-28CB SER 2005-28CB CL 1A4 REGD 5.50000000                            | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94068 | PA      | $80337.38     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-28CB 3 6% 08/25/35                          | ALTERNATIVE LOAN TRUST 2005-28CB SER 2005-28CB CL 3A5 REGD 6.00000000                            | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4709 | PA      | $1749.69      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-54CB  V/R 11/25/35                          | ALTERNATIVE LOAN TRUST 2005-54CB SER 2005-54CB CL 1A2 V/R REGD 1.00379000                        | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    309549 | PA      | $18219.77     | 0.00%             | 2035-11-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| CWALT INC 05-43 5.5% 11/25/35                          | CWALT INC SERIES 2005-43 SER 54CB 5.50000000                                                     | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1157 | PA      | $892.52       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-54CB 5.5% 11/25/35                          | ALTERNATIVE LOAN TRUST 2005-54CB SER 2005-54CB CL 1A11 REGD 5.50000000                           | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78327 | PA      | $59773.84     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-64CB 5.5% 12/25/35                          | ALTERNATIVE LOAN TRUST 2005-64CB SER 2005-64CB CL 1A9 REGD 5.50000000                            | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33085 | PA      | $29402.92     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-22 2A1 V/R 11/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-22 SER 2005-22 CL 2A1 V/R REGD 4.79185500                   | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65938 | PA      | $54321.48     | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CWHL 2002-18 PO ZCP 11/25/32                           | CHL MORTGAGE PASS-THROUGH TRUST 2002-18 SER 2002-18 CL PO ZCP REGD 0.00000000                    | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3151 | PA      | $2540.46      | 0.00%             | 2032-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB1 2 V/R 05/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB1 SER 2004-HYB1 CL 2A V/R REGD 5.10894900                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4555 | PA      | $4369.18      | 0.00%             | 2034-05-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-3 A4 5.75% 04/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-3 SER 2004-3 CL A4 REGD 5.75000000                          | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6598 | PA      | $6585.87      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-3 A26 5.5% 04/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-3 SER 2004-3 CL A26 REGD 5.50000000                         | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9685 | PA      | $9704.39      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-5 1A4 5.5% 06/25/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-5 SER 2004-5 CL 1A4 REGD 5.50000000                         | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38303 | PA      | $37983.63     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-7 2A1 V/R 06/25/34                           | COUNTRYWIDE HOME LOAN MORTGAGE  PASS THROUGH TRUST 2004-7 2A1 V/R REGD__ 5.24183000              | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2815 | PA      | $2588.78      | 0.00%             | 2034-06-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB3 2 V/R 06/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB3 SER 2004-HYB3 CL 2A V/R REGD 4.63569000                | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17454 | PA      | $16546.15     | 0.00%             | 2034-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-16 A2 5.5% 09/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-16 SER 2005-16 CL A23 REGD 5.50000000                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4491 | PA      | $2692.16      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2004-HYB6 A V/R 11/20/34                          | CHL MORTGAGE PASS-THROUGH TRUST 2004-HYB6 SER 2004-HYB6 CL A3 V/R REGD 5.27604300                | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14182 | PA      | $13649.90     | 0.00%             | 2034-11-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-14 A2 5.5% 07/25/35                          | CHL MORTGAGE PASS-THROUGH TRUST 2005-14 SER 2005-14 CL A2 REGD 5.50000000                        | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8267 | PA      | $3051.49      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-R1 2AP ZCP 03/25/35                          | REPERFORMING LOAN REMIC TRUST 2005-R1 SER 2005-R1 CL 2APO ZCP REGD 144A P/P 0.00000000           | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2528 | PA      | $1503.30      | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COOPR 2025-CES2  V/R 06/25/29                          | COOPR RESIDENTIAL MORTGAGE TRUST 2025-CES2 SER 2025-CES2 CL A1A V/R REGD 144A P/P 5.50200000     | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8994979 | PA      | $9072499.56   | 0.04%             | 2060-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CSTL 2025-GATE2  V/R 11/10/30                          | CSTL COMMERCIAL MORTGAGE TRUST 2025- SER 2025-GATE2 CL B V/R REGD 144A P/P 4.85229000            | CUSIP: 12676JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2310000 | PA      | $2300792.80   | 0.01%             | 2042-11-10      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CSTL 2025-GATE2  V/R 11/10/30                          | CSTL COMMERCIAL MORTGAGE TRUST 2025- SER 2025-GATE2 CL C V/R REGD 144A P/P 5.14378000            | CUSIP: 12676JAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2860000 | PA      | $2848679.55   | 0.01%             | 2042-11-10      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY I 3.9% 05/15/27                         | COTERRA ENERGY INC REGD SER WI 3.90000000                                                        | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $3033500.07   | 0.01%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY I 5.4% 02/15/35                         | COTERRA ENERGY INC REGD 5.40000000                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   2575000 | PA      | $2613608.80   | 0.01%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN S 4.3% 09/10/29                         | CADENCE DESIGN SYS INC REGD 4.30000000                                                           | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1698647.34   | 0.01%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAFL 2025-RRTL2  V/R 05/25/28                          | CAFL 2025-RRTL2 ISSUER LP SER 2025-RRTL2 CL A1 V/R REGD 144A P/P 5.17900000                      | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6485000 | PA      | $6502988.74   | 0.03%             | 2040-11-28      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA V/R 09/13/34                              | CAIXABANK SA REGD V/R 144A P/P 6.84000000                                                        | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  22354000 | PA      | $24930865.17  | 0.10%             | 2034-09-13      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA V/R 03/15/30                              | CAIXABANK SA REGD V/R 144A P/P MTN 5.67300000                                                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1470000 | PA      | $1525895.79   | 0.01%             | 2030-03-15      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA V/R 06/15/35                              | CAIXABANK SA REGD V/R 144A P/P 6.03700000                                                        | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   5065000 | PA      | $5398231.77   | 0.02%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA V/R 07/03/36                              | CAIXABANK SA REGD V/R 144A P/P 5.58100000                                                        | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  16209000 | PA      | $16653934.30  | 0.07%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST M 3.28% 02/01/46                         | CALIFORNIA ST MUNI FIN AUTH RE REGD B/E AG 3.28000000                                            | CUSIP: 13048VZW1<br>LEI: 5493000UQOV6R4ZWS346 | Long             | DBT              | MUN               | US        |   4000000 | PA      | $3119255.60   | 0.01%             | 2046-02-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST  7.155% 03/01/27                         | CALIFORNIA ST QUALIFIED SCH BO REGD N/C B/E 7.15500000                                           | CUSIP: 13055CAC4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    270000 | PA      | $275509.19    | 0.00%             | 2027-03-01      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST 7.5% 04/01/34                            | CALIFORNIA ST REGD N/C B/E 7.50000000                                                            | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |   5540000 | PA      | $6463286.98   | 0.03%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST 7.3% 10/01/39                            | CALIFORNIA ST REGD N/C B/E 7.30000000                                                            | CUSIP: 13063A7D0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    275000 | PA      | $320037.49    | 0.00%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL V/R 03/30/29                         | CANADIAN IMPERIAL BANK REGD V/R SER . 4.85700000                                                 | CUSIP: 13607PH98<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $10165313.10  | 0.04%             | 2029-03-30      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL V/R 09/08/31                         | CANADIAN IMPERIAL BANK REGD V/R 4.58000000                                                       | CUSIP: 13607QFE7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   8617000 | PA      | $8682675.76   | 0.03%             | 2031-09-08      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RE 6.5% 02/15/37                         | CANADIAN NATL RESOURCES REGD 6.50000000                                                          | CUSIP: 136385AJ0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    118000 | PA      | $126697.15    | 0.00%             | 2037-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL R 6.25% 03/15/38                         | CANADIAN NATL RESOURCES REGD 6.25000000                                                          | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5303110.65   | 0.02%             | 2038-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESO 5% 12/15/29                         | CANADIAN NATL RESOURCES REGD 5.00000000                                                          | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   4055000 | PA      | $4158672.60   | 0.02%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERAL 7.2% 12/12/28                         | CANTOR FITZGERALD LP REGD 144A P/P 7.20000000                                                    | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |  11915000 | PA      | $12656826.71  | 0.05%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 11/02/27                         | CAPITAL ONE FINANCIAL CO REGD V/R 1.87800000                                                     | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    361000 | PA      | $354201.77    | 0.00%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 11/02/32                         | CAPITAL ONE FINANCIAL CO REGD V/R 2.61800000                                                     | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2495000 | PA      | $2235933.37   | 0.01%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 06/08/29                         | CAPITAL ONE FINANCIAL CO REGD V/R 6.31200000                                                     | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  11130000 | PA      | $11680385.29  | 0.05%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 10/30/31                         | CAPITAL ONE FINANCIAL CO REGD V/R SER . 7.62400000                                               | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7911021.09   | 0.03%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 02/01/30                         | CAPITAL ONE FINANCIAL CO REGD V/R 5.70000000                                                     | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2505680.13   | 0.01%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 09/11/31                         | CAPITAL ONE FINANCIAL CO REGD V/R 4.49300000                                                     | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3994133.08   | 0.02%             | 2031-09-11      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 09/11/36                         | CAPITAL ONE FINANCIAL CO REGD V/R 5.19700000                                                     | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1492433.88   | 0.01%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| COMET 2025-A2  4.02% 09/15/30                          | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2025-A2 CL A REGD 4.02000000                         | CUSIP: 14041NGG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5546000 | PA      | $5547120.29   | 0.02%             | 2032-09-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| COPAR 2023-2 A 5.82% 06/15/28                          | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2023-2 SER 2023-2 CL A3 REGD 5.82000000                 | CUSIP: 14044EAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1677127 | PA      | $1696486.70   | 0.01%             | 2028-06-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P4  4.62% 07/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2024-P4 SER 2024-P4 CL A2 REGD 4.62000000                         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    722240 | PA      | $722736.30    | 0.00%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-4 A 4.67% 12/15/27                          | CARMAX AUTO OWNER TRUST 2024-4 SER 2024-4 CL A2A REGD 4.67000000                                 | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    753390 | PA      | $754543.92    | 0.00%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 C 2.2% 01/15/27                           | CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL C REGD 2.20000000                                   | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4200000 | PA      | $4180502.76   | 0.02%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-1 D 2.47% 06/15/27                          | CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL D REGD 2.47000000                                   | CUSIP: 14317CAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1990765.20   | 0.01%             | 2028-07-17      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2 C 5.16% 03/15/29                          | CARMAX AUTO OWNER TRUST 2025-2 SER 2025-2 CL C REGD 5.16000000                                   | CUSIP: 14320AAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1595000 | PA      | $1619668.43   | 0.01%             | 2031-01-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| CMXS 2025-B A2 4.19% 06/15/27                          | CARMAX SELECT RECEIVABLES TRUST 2025-B SER 2025-B CL A2 REGD 4.19000000                          | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6681000 | PA      | $6688600.97   | 0.03%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.1% 05/15/42                         | DUKE ENERGY PROGRESS LLC REGD 4.10000000                                                         | CUSIP: 144141DB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    217000 | PA      | $184476.57    | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.1% 03/15/43                         | DUKE ENERGY PROGRESS LLC REGD 4.10000000                                                         | CUSIP: 144141DD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    181000 | PA      | $152553.87    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CRVNA 2021-P3  1.03% 03/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2021-P3 SER 2021-P3 CL A4 REGD 1.03000000                         | CUSIP: 14687JAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1266502 | PA      | $1257323.23   | 0.01%             | 2027-06-10      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P3  4.07% 06/10/27                          | CARVANA AUTO RECEIVABLES TRUST 2025-P3 SER 2025-P3 CL A2 REGD 4.07000000                         | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11764000 | PA      | $11765385.80  | 0.05%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| CRVNA 2023-N1  5.92% 06/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2023-N1 SER 2023-N1 CL C REGD 144A P/P 5.92000000                 | CUSIP: 14688FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6625000 | PA      | $6658440.35   | 0.03%             | 2029-07-10      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CRVNA 2023-P3  5.82% 11/10/26                          | CARVANA AUTO RECEIVABLES TRUST 2023-P3 SER 2023-P3 CL A3 REGD 144A P/P 5.82000000                | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1354577 | PA      | $1363637.17   | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CMHAT 2024-MH1 A V/R 09/25/34                          | CASCADE MH ASSET TRUST 2024-MH1 SER 2024-MH1 CL A1 V/R REGD 144A P/P 5.69500000                  | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6887652 | PA      | $7090663.80   | 0.03%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI 5.875% 04/30/29                         | CASSA DEPOSITI E PRESTIT REGD 144A P/P 5.87500000                                                | CUSIP: 147918AC0<br>LEI: N/A                  | Long             | DBT              | USGA              | IT        |   2000000 | PA      | $2107067.20   | 0.01%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI 4.375% 10/01/30                         | CASSA DEPOSITI E PRESTIT REGD 144A P/P 4.37500000                                                | CUSIP: 147918AF3<br>LEI: N/A                  | Long             | DBT              | USGA              | IT        |   3000000 | PA      | $3000690.00   | 0.01%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FIN 3.95% 11/14/28                         | CATERPILLAR FINL SERVICE REGD 3.95000000                                                         | CUSIP: 14913UBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5930000 | PA      | $5943940.30   | 0.02%             | 2028-11-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CD 2006-CD3 XS V/R 10/15/48                            | CD 2006-CD3 MORTGAGE TRUST SER 2006-CD3 CL XS V/R REGD 144A P/P 0.18683700                       | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67026 | PA      | $413.12       | 0.00%             | 2048-10-15      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANC 3.875% 07/07/41                         | CELLNEX FINANCE REGD 144A P/P 3.87500000                                                         | CUSIP: 15118JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   3000000 | PA      | $2379850.68   | 0.01%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP 3.375% 02/15/30                           | CENTENE CORP REGD SER WI 3.37500000                                                              | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  12500000 | PA      | $11502930.00  | 0.05%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY  6.75% 11/15/39                         | CENOVUS ENERGY INC REGD 6.75000000                                                               | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   2987000 | PA      | $3288764.45   | 0.01%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY  5.25% 06/15/37                         | CENOVUS ENERGY INC REGD SER WI 5.25000000                                                        | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   1977000 | PA      | $1919523.71   | 0.01%             | 2037-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY I 5.4% 06/15/47                         | CENOVUS ENERGY INC REGD SER WI 5.40000000                                                        | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    192000 | PA      | $174991.91    | 0.00%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENE 3.95% 03/01/48                         | CENTERPOINT ENER HOUSTON REGD 3.95000000                                                         | CUSIP: 15189XAS7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    151000 | PA      | $120121.69    | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 6.384% 10/23/35                         | CHARTER COMM OPT LLC/CAP REGD SER WI 6.38400000                                                  | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4128222.56   | 0.02%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 6.834% 10/23/55                         | CHARTER COMM OPT LLC/CAP REGD SER WI 6.83400000                                                  | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    690000 | PA      | $662296.13    | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM O 5.375% 04/01/38                         | CHARTER COMM OPT LLC/CAP REGD 5.37500000                                                         | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    835000 | PA      | $769870.27    | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 5.75% 04/01/48                         | CHARTER COMM OPT LLC/CAP REGD 5.75000000                                                         | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6254000 | PA      | $5334573.44   | 0.02%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 5.05% 03/30/29                         | CHARTER COMM OPT LLC/CAP REGD 5.05000000                                                         | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2023230.28   | 0.01%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.7% 04/01/51                         | CHARTER COMM OPT LLC/CAP REGD 3.70000000                                                         | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2580000 | PA      | $1623934.22   | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.5% 06/01/41                         | CHARTER COMM OPT LLC/CAP REGD 3.50000000                                                         | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13115000 | PA      | $9328553.79   | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT 3.5% 03/01/42                         | CHARTER COMM OPT LLC/CAP REGD 3.50000000                                                         | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8745000 | PA      | $6066763.04   | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 6.55% 06/01/34                         | CHARTER COMM OPT LLC/CAP REGD 6.55000000                                                         | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12845000 | PA      | $13509799.53  | 0.05%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OP 5.85% 12/01/35                         | CHARTER COMM OPT LLC/CAP REGD 5.85000000                                                         | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1531276.52   | 0.01%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-4 1A5 V/R 05/25/33                           | CHASE FUNDING TRUST SERIES 2003-4 SER 2003-4 CL 1A5 V/R REGD 5.91600000                          | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45089 | PA      | $44432.80     | 0.00%             | 2033-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-6 1A5 V/R 11/25/34                           | CHASE FUNDING TRUST SERIES 2003-6 SER 2003-6 CL 1A5 V/R REGD 5.85000000                          | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55820 | PA      | $55471.80     | 0.00%             | 2034-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| CFAB 2003-6 1A7 S/UP 11/25/34                          | CHASE FUNDING TRUST SERIES 2003-6 SER 2003-6 CL 1A7 S/UP REGD 5.27700000                         | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95041 | PA      | $94493.22     | 0.00%             | 2034-11-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHASE 2023-RPL1  V/R 06/25/62                          | CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1 SER 2023-RPL1 CL A1 V/R REGD 144A P/P 3.50000000     | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5648381 | PA      | $5221608.18   | 0.02%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL1  V/R 12/25/42                          | CHASE HOME LENDING MORTGAGE TRUST SERIES SER 2024-RPL1 CL A1A V/R REGD 144A P/P 3.25000000       | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8724029 | PA      | $7808191.25   | 0.03%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHASE 2025-RPL1  V/R 08/25/47                          | CHASE HOME LENDING MORTGAGE TRUST 2025-RPL1 SER 2025-RPL1 CL A1A V/R REGD 144A P/P 3.37500000    | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18600060 | PA      | $16811809.62  | 0.07%             | 2065-04-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 1A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 1A3 V/R REGD 6.73067200               | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4013 | PA      | $4028.50      | 0.00%             | 2037-02-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 2A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 2A1 V/R REGD 5.88415000               | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13776 | PA      | $13258.96     | 0.00%             | 2037-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 7A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 7A1 V/R REGD 6.86845200               | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       314 | PA      | $314.88       | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A1 9A V/R 02/25/37                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 9A1 V/R REGD 6.31214700               | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10230 | PA      | $10131.69     | 0.00%             | 2037-02-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A2 1A V/R 05/25/08                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A2 SER 2007-A2 CL 1A1 V/R REGD 6.88565900               | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1572 | PA      | $1585.63      | 0.00%             | 2035-06-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| CHASE 2007-A2 2A V/R 11/25/08                          | CHASE MORTGAGE FINANCE TRUST SERIES 2007-A2 SER 2007-A2 CL 2A1 V/R REGD 6.15900200               | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10955 | PA      | $10982.47     | 0.00%             | 2035-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL3  V/R 06/25/42                          | CHASE HOME LENDING MORTGAGE TRUST SERIES SER 2024-RPL3 CL A1A V/R REGD 144A P/P 3.25000000       | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1527093 | PA      | $1363931.71   | 0.01%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL2  V/R 08/25/43                          | CHASE HOME LENDING MORTGAGE TRUST SERIES SER 2024-RPL2 CL A1A V/R REGD 144A P/P 3.25000000       | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21649817 | PA      | $19305204.72  | 0.08%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY 5.95% 06/30/33                         | CHENIERE ENERGY PARTNERS REGD 5.95000000                                                         | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3181118.52   | 0.01%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY 5.75% 08/15/34                         | CHENIERE ENERGY PARTNERS REGD 5.75000000                                                         | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4176471.60   | 0.02%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY 5.55% 10/30/35                         | CHENIERE ENERGY PARTNERS REGD 144A P/P 5.55000000                                                | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   6615000 | PA      | $6763031.53   | 0.03%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY 5.65% 04/15/34                         | CHENIERE ENERGY INC REGD SER WI 5.65000000                                                       | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1690929.37   | 0.01%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOS 2.585% 02/01/50                         | CHILDREN'S HOSPITAL CORP REGD SER 2020 2.58500000                                                | CUSIP: 16876BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1290000 | PA      | $783984.86    | 0.00%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOS 2.928% 07/15/50                         | CHILDREN'S HOSPITAL/DC REGD SER 2020 2.92800000                                                  | CUSIP: 16876DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1340000 | PA      | $860494.44    | 0.00%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HEA 2.511% 08/15/50                         | CHILDREN'S HEATH SYS TX REGD 2.51100000                                                          | CUSIP: 16876HAB5<br>LEI: 254900FK4IY1J5YO2L69 | Long             | DBT              | CORP              | US        |   2270000 | PA      | $1337092.18   | 0.01%             | 2050-08-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICI 5.58% 10/20/35                         | CHILE ELECTRICITY LUX REGD 144A P/P 5.58000000                                                   | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   4747742 | PA      | $4865557.76   | 0.02%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRIC 5.672% 10/20/35                         | CHILE ELECTRICITY LUX REGD 144A P/P 5.67200000                                                   | CUSIP: 16882LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   5070859 | PA      | $5266290.16   | 0.02%             | 2035-10-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHI 2.55% 01/27/32                         | REPUBLIC OF CHILE REGD 2.55000000                                                                | CUSIP: 168863DN5<br>LEI: N/A                  | Long             | DBT              | USGA              | CL        |   1398000 | PA      | $1252677.90   | 0.00%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDIN 4.9% 08/15/35                         | CHUBB INA HOLDINGS LLC REGD 4.90000000                                                           | CUSIP: 171239AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9517000 | PA      | $9557358.74   | 0.04%             | 2035-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CIM 2024-R1 A1 V/R 06/25/64                            | CIM TRUST 2024-R1 SER 2024-R1 CL A1 V/R REGD 144A P/P 4.75000000                                 | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5046379 | PA      | $5021037.30   | 0.02%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CIM 2023-R2 A1 V/R 08/25/64                            | CIM TRUST 2023-R2 SER 2023-R2 CL A1 V/R REGD 144A P/P 5.50000000                                 | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7704884 | PA      | $7788012.85   | 0.03%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-C1 2.944% 04/10/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 SER 2016-C1 CL A3 REGD 2.94400000                    | CUSIP: 17290YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5226515 | PA      | $5211342.64   | 0.02%             | 2049-05-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CGCMT 2018-C5 A4 V/R 05/10/28                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-C5 SER 2018-C5 CL A4 V/R REGD 4.22800000                | CUSIP: 17291DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3750000 | PA      | $3744651.38   | 0.01%             | 2051-06-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CGCMT 2016-P6 A5 V/R 11/10/26                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 SER 2016-P6 CL A5 V/R REGD 3.72000000                | CUSIP: 17291EAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2783000 | PA      | $2735187.50   | 0.01%             | 2049-12-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 4.3% 11/20/26                            | CITIGROUP INC REGD 4.30000000                                                                    | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1573855.67   | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 4.45% 09/29/27                           | CITIGROUP INC REGD 4.45000000                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8213000 | PA      | $8265832.26   | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 3.7% 01/12/26                            | CITIGROUP INC REGD 3.70000000                                                                    | CUSIP: 172967KG5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9150000 | PA      | $9148891.02   | 0.04%             | 2026-01-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/10/28                             | CITIGROUP INC REGD V/R 3.88700000                                                                | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9100000 | PA      | $9082643.48   | 0.04%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 07/24/28                             | CITIGROUP INC REGD V/R 3.66800000                                                                | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7895000 | PA      | $7844788.67   | 0.03%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 10/27/28                             | CITIGROUP INC REGD V/R 3.52000000                                                                | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2973122.73   | 0.01%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 04/23/29                             | CITIGROUP INC REGD V/R 4.07500000                                                                | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1111000 | PA      | $1110236.13   | 0.00%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/20/30                             | CITIGROUP INC REGD V/R 3.98000000                                                                | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3458362.21   | 0.01%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/29/31                             | CITIGROUP INC REGD V/R 2.66600000                                                                | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    515000 | PA      | $482061.47    | 0.00%             | 2031-01-29      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 06/03/31                             | CITIGROUP INC REGD V/R 2.57200000                                                                | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1111838.27   | 0.00%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/01/32                             | CITIGROUP INC REGD V/R 2.56100000                                                                | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  19270000 | PA      | $17488041.63  | 0.07%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/17/33                             | CITIGROUP INC REGD V/R 3.78500000                                                                | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $953478.63    | 0.00%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 02/13/30                             | CITIGROUP INC REGD V/R 5.17400000                                                                | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2565378.00   | 0.01%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/24/36                             | CITIGROUP INC REGD V/R 6.02000000                                                                | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10042000 | PA      | $10517898.11  | 0.04%             | 2036-01-24      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/07/31                             | CITIGROUP INC REGD V/R 4.95200000                                                                | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8240000 | PA      | $8416209.52   | 0.03%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 09/11/31                             | CITIGROUP INC REGD V/R 4.50300000                                                                | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  21577000 | PA      | $21643776.08  | 0.09%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CCCIT 2025-A2  4.49% 06/18/30                          | CITIBANK CREDIT CARD ISSUANCE TRUST SER 2025-A2 CL A REGD 4.49000000                             | CUSIP: 17305EHB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4792000 | PA      | $4884602.52   | 0.02%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 2 5.25% 10/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL 2A5 REGD 5.25000000                              | CUSIP: 17307GBH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3262 | PA      | $3147.02      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 PO2 ZCP 10/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL PO2 ZCP REGD 0.00000000                          | CUSIP: 17307GBP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         5 | PA      | $4.34         | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2003-1 PO3 ZCP 09/25/33                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2003-1 CL PO3 ZCP REGD 0.00000000                          | CUSIP: 17307GCA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       853 | PA      | $610.93       | 0.00%             | 2033-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2004-UST1  V/R 08/25/34                          | CITIGROUP MORTGAGE LOAN TRUST 2004-UST1 SER 2004-UST1 CL A6 V/R REGD 6.22503600                  | CUSIP: 17307GLD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3080 | PA      | $2945.34      | 0.00%             | 2034-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-9 2A2 V/R 11/25/35                          | CITIGROUP MORTGAGE LOAN TRUST 2005-9 SER 2005-9 CL 2A2 V/R REGD 5.50000000                       | CUSIP: 17307GM62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       676 | PA      | $474.92       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-1 2A1 V/R 02/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-1 CL 2A1A V/R REGD 3.18626300                         | CUSIP: 17307GPS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12664 | PA      | $11054.88     | 0.00%             | 2035-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-2 2A 5.5% 05/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-2 CL 2A11 REGD 5.50000000                             | CUSIP: 17307GRM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31969 | PA      | $32015.00     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-5 1A2 V/R 08/25/35                          | CITIGROUP MORTGAGE LOAN TRUST INC SER 2005-5 CL 1A2 V/R REGD 4.33207800                          | CUSIP: 17307GXU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35323 | PA      | $29802.87     | 0.00%             | 2035-08-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| CMSI 2006-4 1A2 6% 08/25/36                            | CITICORP MORTGAGE SECURITIES TRUST SERIES 2006-4 SER 2006-4 CL 1A2 REGD 6.00000000               | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16309 | PA      | $14929.84     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2009-10 1A V/R 09/25/33                          | CITIGROUP MORTGAGE LOAN TRUST 2009-10 SER 2009-10 CL 1A1 V/R REGD 144A P/P 5.44712800            | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17832 | PA      | $17760.32     | 0.00%             | 2033-09-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CMLTI 2015-A B2 V/R 06/25/58                           | CITIGROUP MORTGAGE LOAN TRUST 2015-A SER 2015-A CL B2 V/R REGD 144A P/P 4.50000000               | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83968 | PA      | $82803.47     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CGCMT 2017-P7 3.442% 01/14/27                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 SER 2017-P7 CL A3 REGD 3.44200000                    | CUSIP: 17325HBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14163299 | PA      | $14067570.99  | 0.06%             | 2050-04-14      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| CGCMT 2017-P8 3.203% 07/15/27                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 SER 2017-P8 CL A3 REGD 3.20300000                    | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21000000 | PA      | $20701180.50  | 0.08%             | 2050-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/28/27                             | CITIGROUP INC REGD V/R 1.12200000                                                                | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  19320000 | PA      | $19275879.11  | 0.08%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 01/25/33                             | CITIGROUP INC REGD V/R 3.05700000                                                                | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6852000 | PA      | $6276873.06   | 0.02%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 09/19/30                             | CITIGROUP INC REGD V/R 4.54200000                                                                | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3924000 | PA      | $3955204.20   | 0.02%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/27/36                             | CITIGROUP INC REGD V/R SER . 5.33300000                                                          | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  21655000 | PA      | $22151978.14  | 0.09%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CGCMT 2018-B2 3.744% 01/10/28                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 SER 2018-B2 CL A3 REGD 3.74400000                    | CUSIP: 17327FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21252863 | PA      | $21052395.85  | 0.08%             | 2051-03-10      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| CGCMT 2018-B2 4.009% 02/10/28                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 SER 2018-B2 CL A4 REGD 4.00900000                    | CUSIP: 17327FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14360000 | PA      | $14290534.94  | 0.06%             | 2051-03-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| CGCMT 2019-C7  2.86% 11/15/29                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 SER 2019-C7 CL A3 REGD 2.86000000                    | CUSIP: 17328CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1969296 | PA      | $1870258.75   | 0.01%             | 2072-12-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| CGCMT 2019-GC 3.038% 10/10/29                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-GC43 SER 2019-GC43 CL A4 REGD 3.03800000                | CUSIP: 17328HBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7217000 | PA      | $6808606.57   | 0.03%             | 2052-11-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| CITZN 2024-1 A 5.11% 10/15/26                          | CITIZENS AUTO RECEIVABLES TRUST 2024-1 SER 2024-1 CL A3 REGD 144A P/P 5.11000000                 | CUSIP: 17331QAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4590263 | PA      | $4615478.68   | 0.02%             | 2028-04-17      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANC 3.25% 04/30/30                         | CITIZENS FINANCIAL GROUP REGD 3.25000000                                                         | CUSIP: 174610AT2<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4772344.30   | 0.02%             | 2030-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIA V/R 01/23/30                         | CITIZENS FINANCIAL GROUP REGD V/R 5.84100000                                                     | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |  16514000 | PA      | $17224158.64  | 0.07%             | 2030-01-23      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIA V/R 04/25/35                         | CITIZENS FINANCIAL GROUP REGD V/R 6.64500000                                                     | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2199142.56   | 0.01%             | 2035-04-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC 5.3% 01/15/36                          | CLECO POWER LLC REGD 144A P/P 5.30000000                                                         | CUSIP: 185508AJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4347000 | PA      | $4387573.20   | 0.02%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTR 3.5% 04/01/28                         | CLEVELAND ELECTRIC ILLUM REGD 144A P/P 3.50000000                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1311033.43   | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUN 5.875% 06/04/27                         | CNO GLOBAL FUNDING REGD 144A P/P MTN 5.87500000                                                  | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5110514.75   | 0.02%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUND 4.95% 09/09/29                         | CNO GLOBAL FUNDING REGD 144A P/P MTN 4.95000000                                                  | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4060319.00   | 0.02%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA 1.85% 09/01/32                         | COCA-COLA FEMSA SAB CV REGD 1.85000000                                                           | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   1500000 | PA      | $1266900.45   | 0.01%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMB 8% 04/20/33                         | REPUBLIC OF COLOMBIA REGD 8.00000000                                                             | CUSIP: 195325EF8<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        |   2723000 | PA      | $2927225.00   | 0.01%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HSG 6.25% 11/01/55                         | COLORADO ST HSG & FIN AUTH REGD B/E GNMA/FN 6.25000000                                           | CUSIP: 19648GH88<br>LEI: 5493005GIROYQAWBMC18 | Long             | DBT              | MUN               | US        |   9965000 | PA      | $10581693.99  | 0.04%             | 2055-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELIN 5.8% 06/01/45                         | COLUMBIA PIPELINE GROUP REGD SER WI 5.80000000                                                   | CUSIP: 198280AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2666908.75   | 0.01%             | 2045-06-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPEL 5.097% 10/01/31                         | COLUMBIA PIPELINE HOLDCO REGD 144A P/P 5.09700000                                                | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    992000 | PA      | $1008741.13   | 0.00%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPEL 6.036% 11/15/33                         | COLUMBIA PIPELINES OPCO REGD 144A P/P 6.03600000                                                 | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1070457.52   | 0.00%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPEL 5.439% 02/15/35                         | COLUMBIA PIPELINES OPCO REGD 144A P/P 5.43900000                                                 | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7295000 | PA      | $7446059.83   | 0.03%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPEL 5.962% 02/15/55                         | COLUMBIA PIPELINES OPCO REGD 144A P/P 5.96200000                                                 | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4940000 | PA      | $4866282.65   | 0.02%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| COLUMBIA UNIVE 4.355% 10/01/35                         | COLUMBIA UNIVERSITY REGD SER 2024 4.35500000                                                     | CUSIP: 198643AD0<br>LEI: 54930058W39DHS3GTG15 | Long             | DBT              | CORP              | US        |   2462000 | PA      | $2409108.76   | 0.01%             | 2035-10-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.25% 01/15/33                            | COMCAST CORP REGD 4.25000000                                                                     | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3107000 | PA      | $3038111.22   | 0.01%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.2% 08/15/34                             | COMCAST CORP REGD 4.20000000                                                                     | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    555000 | PA      | $530316.88    | 0.00%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.969% 11/01/47                           | COMCAST CORP REGD SER WI 3.96900000                                                              | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    154000 | PA      | $115343.97    | 0.00%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.999% 11/01/49                           | COMCAST CORP REGD SER WI 3.99900000                                                              | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    638000 | PA      | $470451.00    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 4.049% 11/01/52                           | COMCAST CORP REGD SER WI 4.04900000                                                              | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    156000 | PA      | $114108.48    | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.9% 03/01/38                             | COMCAST CORP REGD 3.90000000                                                                     | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    455000 | PA      | $396326.89    | 0.00%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.25% 11/01/39                            | COMCAST CORP REGD 3.25000000                                                                     | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $2574474.67   | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.75% 04/01/40                            | COMCAST CORP REGD 3.75000000                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $1809155.17   | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.887% 11/01/51                           | COMCAST CORP REGD SER WI 2.88700000                                                              | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2519000 | PA      | $1473094.60   | 0.01%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.937% 11/01/56                           | COMCAST CORP REGD SER WI 2.93700000                                                              | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    845000 | PA      | $474784.30    | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 2.987% 11/01/63                           | COMCAST CORP REGD SER WI 2.98700000                                                              | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $1611874.37   | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 5.35% 05/15/53                            | COMCAST CORP REGD 5.35000000                                                                     | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   7275000 | PA      | $6534886.89   | 0.03%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 5.168% 01/15/37                           | COMCAST CORP REGD 144A P/P 5.16800000                                                            | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1277000 | PA      | $1259081.98   | 0.01%             | 2037-01-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| COMISION FEDER 4.688% 05/15/29                         | COMISION FEDERAL DE ELEC REGD 144A P/P 4.68800000                                                | CUSIP: 200447AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3900000 | PA      | $3863280.95   | 0.02%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HOME A V/R 04/10/28                          | COMM 2018-HOME MORTGAGE TRUST SER 2018-HOME CL A V/R REGD 144A P/P 3.81507000                    | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10975000 | PA      | $10807418.34  | 0.04%             | 2033-04-10      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT H 2.782% 10/01/30                         | COMMONSPIRIT HEALTH REGD 2.78200000                                                              | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   5925000 | PA      | $5513878.23   | 0.02%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HE 3.91% 10/01/50                         | COMMONSPIRIT HEALTH REGD 3.91000000                                                              | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $944785.77    | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH ED 3.65% 06/15/46                         | COMMONWEALTH EDISON CO REGD 3.65000000                                                           | CUSIP: 202795JJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    364000 | PA      | $278084.43    | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH ED 3.75% 08/15/47                         | COMMONWEALTH EDISON CO REGD SER 123 3.75000000                                                   | CUSIP: 202795JL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $764418.91    | 0.00%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISO 4% 03/01/48                         | COMMONWEALTH EDISON CO REGD 4.00000000                                                           | CUSIP: 202795JM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4615000 | PA      | $3665626.20   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC 7% 10/01/28                         | CONAGRA BRANDS INC REGD 7.00000000                                                               | CUSIP: 205887AR3<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3464675.70   | 0.01%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONCENTRIX CORP 6.6% 08/02/28                          | CONCENTRIX CORP REGD 6.60000000                                                                  | CUSIP: 20602DAB7<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3094217.67   | 0.01%             | 2028-08-02      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R05 2A1 V/R 07/25/45                          | CONNECTICUT AVENUE SECURITIES TRUST 2025-R05 SER 2025-R05 CL 2A1 V/R REGD 144A P/P 4.87419000    | CUSIP: 20753CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8889953 | PA      | $8902290.75   | 0.04%             | 2045-07-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CAS 2024-R01 1M1 V/R 01/25/44                          | CONNECTICUT AVENUE SECURITIES TRUST 2024-R01 SER 2024-R01 CL 1M1 V/R REGD 144A P/P 4.92419000    | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    599986 | PA      | $599236.45    | 0.00%             | 2044-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CAS 2021-R03 1M1 V/R 12/25/41                          | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 SER 2021-R03 CL 1M1 V/R REGD 144A P/P 4.72419000    | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    329749 | PA      | $329563.30    | 0.00%             | 2041-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| CAS 2023-R06 1M1 V/R 07/25/43                          | CONNECTICUT AVENUE SECURITIES TRUST 2023-R06 SER 2023-R06 CL 1M1 V/R REGD 144A P/P 5.57419000    | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1080499 | PA      | $1084738.16   | 0.00%             | 2043-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R06 1M1 V/R 09/25/45                          | CONNECTICUT AVENUE SECURITIES TRUST 2025-R06 SER 2025-R06 CL 1M1 V/R REGD 144A P/P 4.82419000    | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3595869 | PA      | $3597793.23   | 0.01%             | 2045-09-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CAS 2023-R08 1M1 V/R 10/25/43                          | CONNECTICUT AVENUE SECURITIES TRUST 2023-R08 SER 2023-R08 CL 1M1 V/R REGD 144A P/P 5.37419000    | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1597891 | PA      | $1600584.45   | 0.01%             | 2043-10-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| CAS 2025-R04 1A1 V/R 05/25/45                          | CONNECTICUT AVENUE SECURITIES TRUST 2025-R04 SER 2025-R04 CL 1A1 V/R REGD 144A P/P 4.87419000    | CUSIP: 20755TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4035398 | PA      | $4039424.93   | 0.02%             | 2045-05-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CAS 2023-R05 1M1 V/R 06/25/43                          | CONNECTICUT AVENUE SECURITIES TRUST 2023-R05 SER 2023-R05 CL 1M1 V/R REGD 144A P/P 5.77419000    | CUSIP: 207942AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2497879 | PA      | $2517481.71   | 0.01%             | 2043-06-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS C 5.5% 01/15/55                         | CONOCOPHILLIPS COMPANY REGD 5.50000000                                                           | CUSIP: 20826FBM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3090000 | PA      | $2955743.76   | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 5.7% 06/15/40                         | CON EDISON CO OF NY INC REGD 5.70000000                                                          | CUSIP: 209111FA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318000 | PA      | $331241.30    | 0.00%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO O 3.85% 06/15/46                         | CON EDISON CO OF NY INC REGD 3.85000000                                                          | CUSIP: 209111FH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2306378.64   | 0.01%             | 2046-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 4.3% 12/01/56                         | CON EDISON CO OF NY INC REGD SER C 4.30000000                                                    | CUSIP: 209111FK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2406940.96   | 0.01%             | 2056-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO  3.875% 06/15/47                         | CON EDISON CO OF NY INC REGD SER 2017 3.87500000                                                 | CUSIP: 209111FL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1396318.93   | 0.01%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF 4.5% 05/15/58                         | CON EDISON CO OF NY INC REGD 4.50000000                                                          | CUSIP: 209111FQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | PA      | $440183.73    | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BR 4.5% 05/09/47                         | CONSTELLATION BRANDS INC REGD 4.50000000                                                         | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    180000 | PA      | $150488.13    | 0.00%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION  2.875% 05/01/30                         | CONSTELLATION BRANDS INC REGD 2.87500000                                                         | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3405748.09   | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION B 4.75% 05/09/32                         | CONSTELLATION BRANDS INC REGD 4.75000000                                                         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401675.13    | 0.00%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BR 4.8% 05/01/30                         | CONSTELLATION BRANDS INC REGD 4.80000000                                                         | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $3334776.79   | 0.01%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN 5.8% 03/01/33                         | CONSTELLATION EN GEN LLC REGD 5.80000000                                                         | CUSIP: 210385AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    621000 | PA      | $662715.47    | 0.00%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN 6.5% 10/01/53                         | CONSTELLATION EN GEN LLC REGD 6.50000000                                                         | CUSIP: 210385AE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2189839.87   | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION G 4.85% 10/22/30                         | CONSTELLATION GLO FNDG REGD 144A P/P 4.85000000                                                  | CUSIP: 21038N2A8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4957782.10   | 0.02%             | 2030-10-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERG 4.35% 08/31/64                         | CONSUMERS ENERGY CO REGD 4.35000000                                                              | CUSIP: 210518CX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    191000 | PA      | $148316.12    | 0.00%             | 2064-08-31      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERG 3.25% 08/15/46                         | CONSUMERS ENERGY CO REGD 3.25000000                                                              | CUSIP: 210518CZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $137305.41    | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RE 2.268% 11/15/26                         | CONTINENTAL RESOURCES REGD 144A P/P 2.26800000                                                   | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   3235000 | PA      | $3167497.75   | 0.01%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINA 3.65% 04/05/27                         | COREBRIDGE FINANCIAL INC REGD 3.65000000                                                         | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2055000 | PA      | $2041993.68   | 0.01%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINA 3.85% 04/05/29                         | COREBRIDGE FINANCIAL INC REGD 3.85000000                                                         | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1431330.90   | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 A 2.705% 07/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL A REGD 144A P/P 2.70500000                  | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    372775 | PA      | $372035.98    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 B 3.163% 09/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL B REGD 144A P/P 3.16300000                  | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2250000 | PA      | $2162539.58   | 0.01%             | 2052-10-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CAFL 2019-3 C 3.265% 09/15/29                          | COREVEST AMERICAN FINANCE 2019-3 TRUST SER 2019-3 CL C REGD 144A P/P 3.26500000                  | CUSIP: 21872NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5862000 | PA      | $5548034.21   | 0.02%             | 2052-10-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CAFL 2020-3 B 2.203% 07/15/30                          | COREVEST AMERICAN FINANCE 2020-3 TRUST SER 2020-3 CL B REGD 144A P/P 2.20300000                  | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6314000 | PA      | $5994142.23   | 0.02%             | 2053-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIVER 4.169% 06/15/30                         | CORNELL UNIVERSITY REGD SER 2025 4.16900000                                                      | CUSIP: 219207AD9<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2695011.43   | 0.01%             | 2030-06-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIVER 4.733% 06/15/35                         | CORNELL UNIVERSITY REGD SER 2025 4.73300000                                                      | CUSIP: 219207AF4<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |   3926000 | PA      | $3934940.92   | 0.02%             | 2035-06-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| CORNING INC 3.9% 11/15/49                              | CORNING INC REGD 3.90000000                                                                      | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    960000 | PA      | $738906.58    | 0.00%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOM 5% 01/24/29                         | CORP ANDINA DE FOMENTO REGD 5.00000000                                                           | CUSIP: 219868CJ3<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |   4770000 | PA      | $4913071.62   | 0.02%             | 2029-01-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CODELCO INC 6.44% 01/26/36                             | CODELCO INC REGD 144A P/P 6.44000000                                                             | CUSIP: 21987BBK3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   2076000 | PA      | $2251162.92   | 0.01%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR TBA 2% JAN 26                            | GNMA II 30 YR TBA 2% JAN 26    TO BE ANNOUNCED 2.00000000                                        | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3120000 | PA      | $2583250.08   | 0.01%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA TBA 30 UR 2.5% JAN 26                             | GNMA TBA 30 UR 2.5% JAN 26     TO BE ANNOUNCED 2.50000000                                        | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5165000 | PA      | $4454409.01   | 0.02%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| G2SF 30YR TBA 3.00% JAN 26                             | G2SF 30YR TBA 3.00% JAN 26     TO BE ANNOUNCED 3.00000000                                        | CUSIP: 21H030617<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -22500000 | PA      | $-20213964.90 | -0.08%            | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| G2SF 30YR TBA 3.00% JAN 26                             | G2SF 30YR TBA 3.00% JAN 26     TO BE ANNOUNCED 3.00000000                                        | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27080000 | PA      | $24328629.76  | 0.10%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 3.5% JAN 26                             | G2SF 30 YR TBA 3.5% JAN 26   TO BE ANNOUNCED 3.50000000                                          | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8795000 | PA      | $8002413.86   | 0.03%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 3.5% JAN 26                             | G2SF 30 YR TBA 3.5% JAN 26   TO BE ANNOUNCED 3.50000000                                          | CUSIP: 21H032613<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -7500000 | PA      | $-6824116.43  | -0.03%            | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 4% JAN 26                               | G2SF 30 YR TBA 4% JAN 26       TO BE ANNOUNCED 4.00000000                                        | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8770000 | PA      | $8283196.51   | 0.03%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 4% JAN 26                               | G2SF 30 YR TBA 4% JAN 26       TO BE ANNOUNCED 4.00000000                                        | CUSIP: 21H040616<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3000000 | PA      | $-2833476.57  | -0.01%            | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| G2SF  30 YR TBA 4.5% JAN 26                            | G2SF  30 YR TBA 4.5% JAN 26    TO BE ANNOUNCED 4.50000000                                        | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3410000 | PA      | $3321020.31   | 0.01%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| G2SF  30 YR TBA 5% JAN 26                              | G2SF  30 YR TBA 5% JAN 26     TO BE ANNOUNCED 5.00000000                                         | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22485000 | PA      | $22431855.13  | 0.09%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| G2SF 30 YR TBA 5.5% JAN 26                             | G2SF 30 YR TBA 5.5% JAN 26     TO BE ANNOUNCED 5.50000000                                        | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24870000 | PA      | $25111149.22  | 0.10%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| G2SF 30YR TBA 6.0% JAN 26                              | G2SF 30YR TBA 6.0% JAN 26      TO BE ANNOUNCED 6.00000000                                        | CUSIP: 21H060614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11435000 | PA      | $11652533.04  | 0.05%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR TBA 6.5% JAN 55                             | GNMA 30 YR TBA 6.5% JAN 55     TO BE ANNOUNCED 6.50000000                                        | CUSIP: 21H062610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13305000 | PA      | $13753004.36  | 0.05%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PR 2.75% 04/15/31                         | COPT DEFENSE PROP LP REGD 2.75000000                                                             | CUSIP: 22003BAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1418373.73   | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP  2% 01/15/29                         | COPT DEFENSE PROP LP REGD 2.00000000                                                             | CUSIP: 22003BAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    860000 | PA      | $803202.44    | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PRO 2.9% 12/01/33                         | COPT DEFENSE PROP LP REGD 2.90000000                                                             | CUSIP: 22003BAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4120000 | PA      | $3515064.23   | 0.01%             | 2033-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COTTAGE HEALTH 3.304% 11/01/49                         | COTTAGE HEALTH SYSTEM REGD SER 2020 3.30400000                                                   | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1079521.44   | 0.00%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 4.8% 02/01/35                         | COX COMMUNICATIONS INC REGD P/P 4.80000000                                                       | CUSIP: 224044CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5585165.70   | 0.02%             | 2035-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATI 3.35% 09/15/26                         | COX COMMUNICATIONS INC REGD 144A P/P 3.35000000                                                  | CUSIP: 224044CG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    369000 | PA      | $367050.77    | 0.00%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 3.5% 08/15/27                         | COX COMMUNICATIONS INC REGD 144A P/P 3.50000000                                                  | CUSIP: 224044CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8245000 | PA      | $8150549.65   | 0.03%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATI 2.95% 10/01/50                         | COX COMMUNICATIONS INC REGD 144A P/P 2.95000000                                                  | CUSIP: 224044CM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | PA      | $709431.69    | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 2.6% 06/15/31                         | COX COMMUNICATIONS INC REGD 144A P/P 2.60000000                                                  | CUSIP: 224044CN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15920000 | PA      | $14178965.72  | 0.06%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIO 3.6% 06/15/51                         | COX COMMUNICATIONS INC REGD 144A P/P 3.60000000                                                  | CUSIP: 224044CP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $765257.10    | 0.00%             | 2051-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CAALT 2023-3A  6.39% 07/15/26                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-3 SER 2023-3A CL A REGD 144A P/P 6.39000000               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3387514 | PA      | $3404398.00   | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/10/33                         | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 4.00000000                                              | CUSIP: 225313AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   5000000 | PA      | $4949362.75   | 0.02%             | 2033-01-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/10/35                         | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 6.25100000                                              | CUSIP: 225313AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $3185137.35   | 0.01%             | 2035-01-10      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CAALT 2022-3A  8.45% 06/15/26                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2022-3 SER 2022-3A CL C REGD 144A P/P 8.45000000               | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4424588 | PA      | $4441031.35   | 0.02%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| CAALT 2024-3A  4.85% 01/17/28                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2024-3 SER 2024-3A CL B REGD 144A P/P 4.85000000               | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6285000 | PA      | $6304632.45   | 0.03%             | 2034-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CAALT 2023-5A  6.13% 10/15/26                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-5 SER 2023-5A CL A REGD 144A P/P 6.13000000               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8875000 | PA      | $8936918.21   | 0.04%             | 2033-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/26/27                         | CREDIT AGRICOLE SA REGD V/R 144A P/P 1.24700000                                                  | CUSIP: 22535WAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3500000 | PA      | $3492654.80   | 0.01%             | 2027-01-26      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 10/03/29                         | CREDIT AGRICOLE SA REGD V/R 144A P/P 6.31600000                                                  | CUSIP: 22535WAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2575000 | PA      | $2713880.62   | 0.01%             | 2029-10-03      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/09/36                         | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 5.86200000                                              | CUSIP: 22535WAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   6245000 | PA      | $6587322.80   | 0.03%             | 2036-01-09      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/09/29                         | CREDIT AGRICOLE SA REGD V/R 144A P/P 5.23000000                                                  | CUSIP: 22535WAP2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3394000 | PA      | $3465633.59   | 0.01%             | 2029-01-09      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 05/27/31                         | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 5.22200000                                              | CUSIP: 22535WAR8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1767000 | PA      | $1814032.79   | 0.01%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 09/25/33                         | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 4.81800000                                              | CUSIP: 22535WAS6<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   3005000 | PA      | $3001069.91   | 0.01%             | 2033-09-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CAALT 2025-1A  5.71% 07/16/35                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2025-1 SER 2025-1A CL C REGD 144A P/P 5.71000000               | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9400000 | PA      | $9537334.00   | 0.04%             | 2035-07-16      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CAALT 2024-2A C 6.7% 04/15/28                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2024-2 SER 2024-2A CL C REGD 144A P/P 6.70000000               | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13334000 | PA      | $13803683.48  | 0.05%             | 2034-10-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| CAALT 2023-2A  5.92% 05/15/26                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-2 SER 2023-2A CL A REGD 144A P/P 5.92000000               | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2528325 | PA      | $2532579.30   | 0.01%             | 2033-05-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CAALT 2024-1A  6.71% 07/17/34                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2024-1 SER 2024-1A CL C REGD 144A P/P 6.71000000               | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9300000 | PA      | $9521034.03   | 0.04%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 4.282% 01/09/28                           | UBS GROUP AG REGD 144A P/P 4.28200000                                                            | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    845000 | PA      | $846199.16    | 0.00%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/12/29                              | UBS GROUP AG REGD V/R 144A P/P 3.86900000                                                        | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   9375000 | PA      | $9322095.00   | 0.04%             | 2029-01-12      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 04/01/31                              | UBS GROUP AG REGD V/R 144A P/P 4.19400000                                                        | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    825000 | PA      | $817136.78    | 0.00%             | 2031-04-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 09/22/34                              | UBS GROUP AG REGD V/R 144A P/P 6.30100000                                                        | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1077000 | PA      | $1174843.81   | 0.00%             | 2034-09-22      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 09/23/31                              | UBS GROUP AG REGD V/R 144A P/P MTN 4.39800000                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2305000 | PA      | $2293788.87   | 0.01%             | 2031-09-23      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 03/23/37                              | UBS GROUP AG REGD V/R 144A P/P MTN 5.01000000                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5480000 | PA      | $5431664.15   | 0.02%             | 2037-03-23      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-AR15 3 V/R 06/25/33                          | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-AR15 CL 3A1 V/R REGD 6.81250000     | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2996 | PA      | $3076.96      | 0.00%             | 2033-06-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-21 1 5.25% 09/25/33                          | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-21 CL 1A4 REGD 5.25000000           | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14095 | PA      | $14115.76     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-23 1P ZCP 10/25/33                           | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-23 CL 1P ZCP REGD 0.00000000        | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18730 | PA      | $13876.38     | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2004-8 1A4 5.5% 12/25/34                          | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SER SER 2004-8 CL 1A4 REGD 5.50000000             | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40500 | PA      | $41303.45     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB 2004-4 2A4 5.5% 09/25/34                          | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SER SER 2004-4 CL 2A4 REGD 5.50000000             | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14227 | PA      | $14472.38     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-9 DX 5.5% 10/25/35                           | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES SERI SER 2005-9 CL DX REGD 5.50000000             | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77971 | PA      | $12962.21     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-9 AP ZCP 10/25/35                            | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES  SER 2005-9 CL AP ZCP REGD 0.00000000             | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2790 | PA      | $2178.13      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2007-C2 AX V/R 01/15/49                           | CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SER 2007-C2 CL AX V/R REGD 144A P/P 0.00000000           | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1709702 | PA      | $401.44       | 0.00%             | 2049-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2005-10 AP ZCP 11/25/35                           | CSFB MORTGAGE-BACKED PASS-THROUGH CERTIFICATES S SER 2005-10 CL AP ZCP REGD 0.00000000           | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3707 | PA      | $2601.27      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB 2003-1 DB1 V/R 02/25/33                           | CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2003-1 CL DB1 V/R REGD 6.67833100        | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30761 | PA      | $31691.56     | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP 6% 02/01/29                         | ENERGY TRANSFER LP REGD 144A P/P 6.00000000                                                      | CUSIP: 226373AR9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5054451.00   | 0.02%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H7 A1 V/R 09/25/70                          | CROSS 2025-H7 MORTGAGE TRUST SER 2025-H7 CL A1 V/R REGD 144A P/P 4.93400000                      | CUSIP: 22757JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7069242 | PA      | $7073291.13   | 0.03%             | 2070-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| XROAD 2025-A B 5.2% 02/20/32                           | CROSSROADS ASSET TRUST 2025-A SER 2025-A CL B REGD 144A P/P 5.20000000                           | CUSIP: 22767VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2065000 | PA      | $2087983.66   | 0.01%             | 2032-02-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| XROAD 2025-A C 5.51% 02/20/32                          | CROSSROADS ASSET TRUST 2025-A SER 2025-A CL C REGD 144A P/P 5.51000000                           | CUSIP: 22767VAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    925000 | PA      | $944858.09    | 0.00%             | 2032-02-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC 4% 03/01/27                           | CROWN CASTLE INC REGD 4.00000000                                                                 | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    261000 | PA      | $260404.31    | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC 3.1% 11/15/29                         | CROWN CASTLE INC REGD 3.10000000                                                                 | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    875000 | PA      | $833709.28    | 0.00%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC 5.1% 05/01/33                         | CROWN CASTLE INC REGD 5.10000000                                                                 | CUSIP: 22822VBC4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2647102.37   | 0.01%             | 2033-05-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C2 2.486% 03/15/30                          | CSAIL 2021-C20 COMMERCIAL MORTGAGE TRUST SER 2021-C20 CL A2 REGD 2.48620000                      | CUSIP: 22945EAT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20418660 | PA      | $19006299.33  | 0.08%             | 2054-03-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP 2.25% 12/15/28                            | CUBESMART LP REGD 2.25000000                                                                     | CUSIP: 22966RAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7275000 | PA      | $6902082.85   | 0.03%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CURATORS OF THE 5.96% 11/01/39                         | CURATORS OF THE UNIV OF MISSOU REGD N/C B/E 5.96000000                                           | CUSIP: 231266FD4<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |   2875000 | PA      | $3035343.35   | 0.01%             | 2039-11-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINAN 3.25% 11/15/39                         | DH EUROPE FINANCE II REGD 3.25000000                                                             | CUSIP: 23291KAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    431000 | PA      | $353024.85    | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9 1.644% 12/15/29                          | DBJPM 20-C9 MORTGAGE TRUST SER 2020-C9 CL A4 REGD 1.64400000                                     | CUSIP: 233063AQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20600000 | PA      | $18735448.68  | 0.07%             | 2053-08-15      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C1 3.015% 01/10/26                          | DBJPM 16-C1 MORTGAGE TRUST SER 2016-C1 CL A3A REGD 3.01500000                                    | CUSIP: 23312LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2101210 | PA      | $2098560.56   | 0.01%             | 2049-05-10      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C3  2.89% 07/10/26                          | DBJPM 2016-C3 MORTGAGE TRUST SER 2016-C3 CL A5 REGD 2.89000000                                   | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3064000 | PA      | $3040720.03   | 0.01%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO 5.1% 03/01/29                            | DTE ENERGY CO REGD 5.10000000                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   4190000 | PA      | $4293682.51   | 0.02%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 11/05/30                              | DNB BANK ASA REGD V/R 144A P/P 4.85300000                                                        | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1990000 | PA      | $2029220.01   | 0.01%             | 2030-11-05      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC 5.8% 12/15/34                         | DT MIDSTREAM INC REGD 144A P/P 5.80000000                                                        | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2594487.45   | 0.01%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DTAOT 2023-2A  5.79% 03/15/26                          | DT AUTO OWNER TRUST 2023-2 SER 2023-2A CL C REGD 144A P/P 5.79000000                             | CUSIP: 23346CAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6065737 | PA      | $6090095.62   | 0.02%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR 6.09% 09/01/37                         | DTE ELECT SECUR FND II REGD SER A-2 6.09000000                                                   | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2484844.15   | 0.01%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| DEC 2023-1A A 8.243% 03/01/32                          | DP LION HOLDCO LLC SER 2023-1A CL A REGD P/P 8.24300000                                          | CUSIP: 23359MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3017218 | PA      | $3101015.13   | 0.01%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 03/01/30                           | DANSKE BANK A/S REGD V/R 144A P/P 5.70500000                                                     | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3480000 | PA      | $3615723.55   | 0.01%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 10/02/30                           | DANSKE BANK A/S REGD V/R 144A P/P 4.61300000                                                     | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1861000 | PA      | $1876489.20   | 0.01%             | 2030-10-02      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 03/04/31                           | DANSKE BANK A/S REGD V/R 144A P/P MTN 5.01900000                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   7680000 | PA      | $7843200.46   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 09/12/31                           | DANSKE BANK A/S REGD V/R 144A P/P 4.42000000                                                     | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1760000 | PA      | $1750501.40   | 0.01%             | 2031-09-12      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| COLO 2021-1A A 2.06% 02/25/26                          | DATABANK ISSUER SER 2021-1A CL A2 REGD 144A P/P 2.06000000                                       | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6150000 | PA      | $6122198.31   | 0.02%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DAYTON POWER &  4.55% 08/15/30                         | DAYTON POWER & LIGHT CO/ REGD 144A P/P 4.55000000                                                | CUSIP: 240019BW8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6140000 | PA      | $6116281.86   | 0.02%             | 2030-08-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / E 4.5% 02/15/31                         | DELL INT LLC / EMC CORP REGD 4.50000000                                                          | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13970000 | PA      | $13950061.18  | 0.06%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / E 5.1% 02/15/36                         | DELL INT LLC / EMC CORP REGD 5.10000000                                                          | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5420000 | PA      | $5352593.36   | 0.02%             | 2036-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC /  6.02% 06/15/26                         | DELL INT LLC / EMC CORP REGD 6.02000000                                                          | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $261136.40    | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC 5% 04/01/30                         | DELL INT LLC / EMC CORP REGD 5.00000000                                                          | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3140000 | PA      | $3217805.81   | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / E 5.3% 04/01/32                         | DELL INT LLC / EMC CORP REGD 5.30000000                                                          | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6750000 | PA      | $6942508.18   | 0.03%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEFT 2025-2 A3 4.12% 06/22/28                          | DELL EQUIPMENT FINANCE TRUST 2025-2 SER 2025-2 CL A3 REGD 144A P/P 4.12000000                    | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3009636.00   | 0.01%             | 2031-03-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIG 4% 06/01/42                         | DELMARVA PWR & LIGHT CO REGD 4.00000000                                                          | CUSIP: 247109BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $142549.28    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 20 2% 06/10/28                         | DELTA AIR LINES 2020-AA REGD SER AA 2.00000000                                                   | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1062404 | PA      | $1014656.05   | 0.00%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES PT 2015-1       AA     20290130 3.62500 | DELTA AIRLINES PT 2015-1       AA     20290130 3.62500 3.62500000                                | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    732937 | PA      | $724452.86    | 0.00%             | 2029-01-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| STATOIL 6.45% 12/1/28 144A                             | STATOIL 144A 6.50000000                                                                          | CUSIP: 24820RAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   5729000 | PA      | $6128525.11   | 0.02%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA 3.25% 06/01/30                         | DENTSPLY SIRONA INC REGD 3.25000000                                                              | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2771391.69   | 0.01%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 09/18/31                          | DEUTSCHE BANK NY REGD V/R 3.54700000                                                             | CUSIP: 251526CD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2475000 | PA      | $2361972.27   | 0.01%             | 2031-09-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/14/32                          | DEUTSCHE BANK NY REGD V/R 3.72900000                                                             | CUSIP: 251526CF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4725712.10   | 0.02%             | 2032-01-14      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 11/16/27                          | DEUTSCHE BANK NY REGD V/R 2.31100000                                                             | CUSIP: 251526CP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    674000 | PA      | $663072.82    | 0.00%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/18/29                          | DEUTSCHE BANK NY REGD V/R 6.72000000                                                             | CUSIP: 251526CS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    652000 | PA      | $682604.57    | 0.00%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 11/20/29                          | DEUTSCHE BANK NY REGD V/R 6.81900000                                                             | CUSIP: 251526CU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1514134.74   | 0.01%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK  5.414% 05/10/29                         | DEUTSCHE BANK NY REGD 5.41400000                                                                 | CUSIP: 251526CW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2055000 | PA      | $2136415.28   | 0.01%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 09/11/30                          | DEUTSCHE BANK NY REGD V/R 4.99900000                                                             | CUSIP: 251526CX5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1187964.60   | 0.00%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 09/11/35                          | DEUTSCHE BANK NY REGD V/R 5.40300000                                                             | CUSIP: 251526CY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1234228.87   | 0.00%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 05/09/31                          | DEUTSCHE BANK NY REGD V/R 5.29700000                                                             | CUSIP: 251526DA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21336000 | PA      | $21860147.00  | 0.09%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 08/04/31                          | DEUTSCHE BANK NY REGD V/R 4.95000000                                                             | CUSIP: 251526DB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18065000 | PA      | $18247630.65  | 0.07%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 12/10/31                          | DEUTSCHE BANK NY REGD V/R 4.46900000                                                             | CUSIP: 251526DD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1440079.70   | 0.01%             | 2031-12-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/33                          | DEUTSCHE BANK NY REGD V/R 3.74200000                                                             | CUSIP: 25160PAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8359687.17   | 0.03%             | 2033-01-07      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/28                          | DEUTSCHE BANK NY REGD V/R 144A 2.55200000                                                        | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3350000 | PA      | $3294562.99   | 0.01%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 07/13/27                          | DEUTSCHE BANK NY REGD V/R 7.14600000                                                             | CUSIP: 25160PAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6785000 | PA      | $6888544.26   | 0.03%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/10/29                          | DEUTSCHE BANK N REGD V/R SER . 5.37300000                                                        | CUSIP: 25160PAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4125000 | PA      | $4209442.18   | 0.02%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CO 7.95% 04/15/32                         | DEVON ENERGY CORPORATION REGD 7.95000000                                                         | CUSIP: 251799AA0<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2033000 | PA      | $2368864.69   | 0.01%             | 2032-04-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY COR 5.6% 07/15/41                         | DEVON ENERGY CORPORATION REGD 5.60000000                                                         | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1313000 | PA      | $1270148.10   | 0.01%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CO 5.75% 09/15/54                         | DEVON ENERGY CORPORATION REGD 5.75000000                                                         | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1118000 | PA      | $1027326.06   | 0.00%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENE 5.55% 04/01/35                         | DIAMONDBACK ENERGY INC REGD 5.55000000                                                           | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   4625000 | PA      | $4753719.81   | 0.02%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY  5.55% 01/15/28                         | DIGITAL REALTY TRUST LP REGD 5.55000000                                                          | CUSIP: 25389JAV8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3081213.12   | 0.01%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NA V/R 08/09/28                            | CAPITAL ONE NA REGD V/R SER BKNT 5.97400000                                                      | CUSIP: 25466AAN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3471000 | PA      | $3606323.77   | 0.01%             | 2028-08-09      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NA 4.65% 09/13/28                          | CAPITAL ONE NA REGD SER BKNT 4.65000000                                                          | CUSIP: 25466AAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4059001.28   | 0.02%             | 2028-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMM 3.625% 05/15/30                         | DISCOVERY COMMUNICATIONS REGD SER * 3.62500000                                                   | CUSIP: 25470DCC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1519043.79   | 0.01%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DIST OF COLUMB 4.814% 10/01/14                         | DIST OF COLUMBIA WTR & SWR AUT REGD N/C B/E 4.81400000                                           | CUSIP: 254845JZ4<br>LEI: 549300OT2FIJQJ5PSH71 | Long             | DBT              | MUN               | US        |    875000 | PA      | $751718.80    | 0.00%             | 2114-10-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| DEC VI A 7.5% 11/28/39                                 | DIVERSIFIED ABS PHASE VI LLC SER VI CL A REGD 7.50000000                                         | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-CBDO         | CORP              | US        |   3728867 | PA      | $3721409.45   | 0.01%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 03/30/28                              | DNB BANK ASA REGD V/R 144A P/P 1.60500000                                                        | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   3435000 | PA      | $3335548.20   | 0.01%             | 2028-03-30      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 11/04/31                              | DNB BANK ASA REGD V/R 144A P/P MTN 4.38400000                                                    | CUSIP: 25601B2E4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   9350000 | PA      | $9313507.79   | 0.04%             | 2031-11-04      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY 5.25% 08/01/33                         | DOMINION ENERGY INC REGD SER F 5.25000000                                                        | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1161000 | PA      | $1190112.61   | 0.00%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY IN 7% 06/15/38                         | DOMINION ENERGY INC REGD 7.00000000                                                              | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    124000 | PA      | $140235.85    | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY  4.9% 08/01/41                         | DOMINION ENERGY INC REGD SER C 4.90000000                                                        | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    212000 | PA      | $195377.55    | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY 2.85% 08/15/26                         | DOMINION ENERGY INC REGD SER D 2.85000000                                                        | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    304000 | PA      | $301705.81    | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMO 5.319% 11/15/38                         | DUPONT DE NEMOURS INC REGD 5.31900000                                                            | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   4035000 | PA      | $4043445.05   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMO 5.419% 11/15/48                         | DUPONT DE NEMOURS INC REGD 5.41900000                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    661000 | PA      | $628590.13    | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPE 4.42% 12/15/46                         | KEURIG DR PEPPER INC REGD 4.42000000                                                             | CUSIP: 26138EAY5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3140767.86   | 0.01%             | 2046-12-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 A 4.29% 10/15/26                          | DRIVE AUTO RECEIVABLES TRUST 2025-2 SER 2025-2 CL A2 REGD 4.29000000                             | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10859000 | PA      | $10866671.88  | 0.04%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 A 4.14% 08/16/27                          | DRIVE AUTO RECEIVABLES TRUST 2025-2 SER 2025-2 CL A3 REGD 4.14000000                             | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5643000 | PA      | $5656628.41   | 0.02%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 D 4.9% 09/17/29                           | DRIVE AUTO RECEIVABLES TRUST 2025-2 SER 2025-2 CL D REGD 4.90000000                              | CUSIP: 262103AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9895000 | PA      | $9894070.86   | 0.04%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY COR 3.75% 09/01/46                         | DUKE ENERGY CORP REGD 3.75000000                                                                 | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  13800000 | PA      | $10465068.95  | 0.04%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY COR 3.95% 08/15/47                         | DUKE ENERGY CORP REGD 3.95000000                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1339976.11   | 0.01%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP 3.5% 06/15/51                         | DUKE ENERGY CORP REGD 3.50000000                                                                 | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  12488000 | PA      | $8648557.53   | 0.03%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP 6.1% 09/15/53                         | DUKE ENERGY CORP REGD 6.10000000                                                                 | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2827815.30   | 0.01%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP 5.8% 06/15/54                         | DUKE ENERGY CORP REGD 5.80000000                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1977576.40   | 0.01%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP 5.7% 09/15/55                         | DUKE ENERGY CORP REGD 5.70000000                                                                 | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2540000 | PA      | $2468003.88   | 0.01%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAR 4.25% 12/15/41                         | DUKE ENERGY CAROLINAS REGD 4.25000000                                                            | CUSIP: 26442CAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2681000 | PA      | $2356262.10   | 0.01%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAR 4.95% 01/15/33                         | DUKE ENERGY CAROLINAS REGD 4.95000000                                                            | CUSIP: 26442CBJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3715000 | PA      | $3826358.24   | 0.02%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHI 5.25% 04/01/33                         | DUKE ENERGY OHIO INC REGD 5.25000000                                                             | CUSIP: 26442EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2515000 | PA      | $2605247.35   | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PR 4.375% 03/30/44                         | DUKE ENERGY PROGRESS LLC REGD 4.37500000                                                         | CUSIP: 26442RAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    132000 | PA      | $112935.34    | 0.00%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PRO 4.15% 12/01/44                         | DUKE ENERGY PROGRESS LLC REGD 4.15000000                                                         | CUSIP: 26442RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    129000 | PA      | $107447.33    | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 4.2% 08/15/45                         | DUKE ENERGY PROGRESS LLC REGD 4.20000000                                                         | CUSIP: 26442UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $269582.75    | 0.00%             | 2045-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 3.7% 10/15/46                         | DUKE ENERGY PROGRESS LLC REGD 3.70000000                                                         | CUSIP: 26442UAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    506000 | PA      | $385646.59    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROG 2.9% 08/15/51                         | DUKE ENERGY PROGRESS LLC REGD 2.90000000                                                         | CUSIP: 26442UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1035165.99   | 0.00%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND 3.75% 05/15/46                         | DUKE ENERGY INDIANA LLC REGD 3.75000000                                                          | CUSIP: 26443TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $467420.16    | 0.00%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMO 4.725% 11/15/28                         | DUPONT DE NEMOURS INC REGD 144A P/P 4.72500000                                                   | CUSIP: 26614NAC6<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   2962000 | PA      | $2999490.92   | 0.01%             | 2028-11-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT 3.616% 08/01/27                         | DUQUESNE LIGHT HOLDINGS REGD 144A P/P 3.61600000                                                 | CUSIP: 266233AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6675000 | PA      | $6582271.10   | 0.03%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT 2.532% 10/01/30                         | DUQUESNE LIGHT HOLDINGS REGD 144A P/P 2.53200000                                                 | CUSIP: 266233AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2271107.40   | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE  4.75% 10/13/35                         | ELECTRICITE DE FRANCE SA REGD 144A P/P 4.75000000                                                | CUSIP: 268317AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   5000000 | PA      | $4933483.80   | 0.02%             | 2035-10-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE  5.95% 04/22/34                         | ELECTRICITE DE FRANCE SA REGD 144A P/P 5.95000000                                                | CUSIP: 268317AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   9195000 | PA      | $9773000.83   | 0.04%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENI SPA 5.7% 10/01/40                                  | ENI SPA REGD P/P 5.70000000                                                                      | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    557000 | PA      | $553764.71    | 0.00%             | 2040-10-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENI SPA 4.25% 05/09/29                                 | ENI SPA REGD 144A P/P 4.25000000                                                                 | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   2825000 | PA      | $2824490.37   | 0.01%             | 2029-05-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENI SPA 5.95% 05/15/54                                 | ENI SPA REGD 144A P/P 5.95000000                                                                 | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   1500000 | PA      | $1487179.79   | 0.01%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EQT CORP 3.9% 10/01/27                                 | EQT CORP REGD 3.90000000                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    601000 | PA      | $598262.34    | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP 4.5% 01/15/29                                 | EQT CORP REGD 4.50000000                                                                         | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5011794.90   | 0.02%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP 7.5% 06/01/30                                 | EQT CORP REGD SER WI 7.50000000                                                                  | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $8249767.50   | 0.03%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINAN 5.625% 03/15/42                         | ERAC USA FINANCE LLC REGD P/P 5.62500000                                                         | CUSIP: 26884TAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    357000 | PA      | $361587.61    | 0.00%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE 4.5% 02/15/45                         | ERAC USA FINANCE LLC REGD P/P 4.50000000                                                         | CUSIP: 26884TAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $261326.92    | 0.00%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LU 5.5% 08/17/30                         | EAGLE FUNDING LUXCO SARL REGD 144A P/P 5.50000000                                                | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | USGA              | LU        |  13041000 | PA      | $13283432.19  | 0.05%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS IN 5% 03/15/36                         | EAGLE MATERIALS INC REGD 5.00000000                                                              | CUSIP: 26969PAC2<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4897657.40   | 0.02%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY  5.65% 10/15/54                         | EASTERN ENERGY GAS REGD 5.65000000                                                               | CUSIP: 27636AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $967331.41    | 0.00%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY G 6.2% 01/15/55                         | EASTERN ENERGY GAS REGD 6.20000000                                                               | CUSIP: 27636AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1493312.06   | 0.01%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRAN 4.6% 12/15/44                         | EASTERN GAS TRAN REGD SER * 4.60000000                                                           | CUSIP: 276480AD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1114773.53   | 0.00%             | 2044-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EATON CORP 5.8% 03/15/37                               | EATON CORP REGD 5.80000000                                                                       | CUSIP: 278058DB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $528030.52    | 0.00%             | 2037-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA 8.625% 01/19/29                           | ECOPETROL SA REGD 8.62500000                                                                     | CUSIP: 279158AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |   6705000 | PA      | $7186231.26   | 0.03%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN IN 7.8% 08/01/31                         | KINDER MORGAN INC REGD MTN SER GMTN 7.80000000                                                   | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   4600000 | PA      | $5326315.57   | 0.02%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN EN 7.5% 11/15/40                         | KINDER MORGAN ENER PART REGD 7.50000000                                                          | CUSIP: 28370TAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    483000 | PA      | $562969.64    | 0.00%             | 2040-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET  6.271% 06/26/26                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 6.27100000                                                | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   7530000 | PA      | $7596699.84   | 0.03%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET  6.319% 12/04/28                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 6.31900000                                                | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   2390000 | PA      | $2520621.82   | 0.01%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET  5.037% 03/25/30                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 5.03700000                                                | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   9825000 | PA      | $10041296.19  | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET  4.641% 11/24/30                         | ELEMENT FLEET MANAGEMENT REGD 144A P/P 4.64100000                                                | CUSIP: 286181AR3<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   4090000 | PA      | $4101404.56   | 0.02%             | 2030-11-24      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ELM39 2025-2A A1 V/R 04/17/38                          | ELMWOOD CLO 39 LTD SER 2025-2A CL A1 V/R REGD 144A P/P 5.02163000                                | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21000000 | PA      | $20962788.00  | 0.08%             | 2038-04-17      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| ELMW2 2019-2A A1 V/R 10/20/37                          | ELMWOOD CLO II LTD SER 2019-2A CL A1RR V/R REGD 144A P/P 5.23444000                              | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  31250000 | PA      | $31342468.75  | 0.12%             | 2037-10-20      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| ELM40 2025-3A A V/R 03/22/38                           | ELMWOOD CLO 40 LTD SER 2025-3A CL A V/R REGD 144A P/P 5.12163000                                 | CUSIP: 29004FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17000000 | PA      | $16986825.00  | 0.07%             | 2038-03-22      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| ELP 2025-ELP A V/R 11/13/30                            | ELP COMMERCIAL MORTGAGE TRUST 2025-ELP SER 2025-ELP CL A V/R REGD 144A P/P 4.60385000            | CUSIP: 290154AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14750000 | PA      | $14735893.10  | 0.06%             | 2042-11-13      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLA 5.4% 01/09/38                         | EMBRAER NETHERLANDS FINA REGD 5.40000000                                                         | CUSIP: 29082HAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5182000 | PA      | $5118779.60   | 0.02%             | 2038-01-09      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANC 3.55% 06/15/26                         | EMERA US FINANCE LP REGD SER WI 3.55000000                                                       | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1255927.20   | 0.00%             | 2026-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANC 4.75% 06/15/46                         | EMERA US FINANCE LP REGD SER WI 4.75000000                                                       | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3165000 | PA      | $2701371.94   | 0.01%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC 6.625% 08/15/37                            | OVINTIV INC REGD 6.62500000                                                                      | CUSIP: 292505AE4<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   2326000 | PA      | $2467132.42   | 0.01%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 3.7% 07/15/27                             | ENBRIDGE INC REGD 3.70000000                                                                     | CUSIP: 29250NAR6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   4984000 | PA      | $4957738.31   | 0.02%             | 2027-07-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 5.7% 03/08/33                             | ENBRIDGE INC REGD 5.70000000                                                                     | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2430000 | PA      | $2559490.52   | 0.01%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 5.625% 04/05/34                           | ENBRIDGE INC REGD 5.62500000                                                                     | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2940000 | PA      | $3069136.74   | 0.01%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 4.2% 11/20/28                             | ENBRIDGE INC REGD 4.20000000                                                                     | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2776000 | PA      | $2778670.65   | 0.01%             | 2028-11-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY  7.5% 04/15/38                         | ENBRIDGE ENERGY PARTNERS REGD SER B 7.50000000                                                   | CUSIP: 29250RAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4949000 | PA      | $5816903.95   | 0.02%             | 2038-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERG 7.375% 10/15/45                         | ENBRIDGE ENERGY PARTNERS REGD 7.37500000                                                         | CUSIP: 29250RAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | PA      | $3010423.26   | 0.01%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 6.8% 09/15/37                         | ENEL FINANCE INTL NV REGD P/P 6.80000000                                                         | CUSIP: 29268BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2425000 | PA      | $2722419.36   | 0.01%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL  6% 10/07/39                         | ENEL FINANCE INTL NV REGD P/P 6.00000000                                                         | CUSIP: 29268BAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    307000 | PA      | $322608.30    | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.625%10/15/36                         | ENERGY TRANSFER LP REGD 6.62500000                                                               | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2170503.02   | 0.01%             | 2036-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.05% 06/01/41                         | ENERGY TRANSFER LP REGD 6.05000000                                                               | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2025651.68   | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  6.5% 02/01/42                         | ENERGY TRANSFER LP REGD 6.50000000                                                               | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3159262.38   | 0.01%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFE 6.125% 12/15/45                         | ENERGY TRANSFER LP REGD 6.12500000                                                               | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    810000 | PA      | $795108.49    | 0.00%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  6.1% 12/01/28                         | ENERGY TRANSFER LP REGD 6.10000000                                                               | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3529258.05   | 0.01%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  6.4% 12/01/30                         | ENERGY TRANSFER LP REGD 6.40000000                                                               | CUSIP: 29273VAT7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2495000 | PA      | $2695123.63   | 0.01%             | 2030-12-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.55% 12/01/33                         | ENERGY TRANSFER LP REGD 6.55000000                                                               | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1517996.22   | 0.01%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 5.55% 05/15/34                         | ENERGY TRANSFER LP REGD 5.55000000                                                               | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  11305000 | PA      | $11617656.85  | 0.05%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.7% 04/01/35                         | ENERGY TRANSFER LP REGD 5.70000000                                                               | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2070253.54   | 0.01%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  6.2% 04/01/55                         | ENERGY TRANSFER LP REGD 6.20000000                                                               | CUSIP: 29273VBF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980168.32    | 0.00%             | 2055-04-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE IN 4.75% 05/25/47                         | ENEL FINANCE INTL NV REGD P/P 4.75000000                                                         | CUSIP: 29278GAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   7050000 | PA      | $6086680.39   | 0.02%             | 2047-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 3.5% 04/06/28                         | ENEL FINANCE INTL NV REGD 144A P/P 3.50000000                                                    | CUSIP: 29278GAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    900000 | PA      | $888001.34    | 0.00%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE I 2.125% 07/12/28                         | ENEL FINANCE INTL NV REGD 144A P/P 2.12500000                                                    | CUSIP: 29278GAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1999000 | PA      | $1900251.36   | 0.01%             | 2028-07-12      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INT 2.5% 07/12/31                         | ENEL FINANCE INTL NV REGD 144A P/P 2.50000000                                                    | CUSIP: 29278GAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5233000 | PA      | $4707183.29   | 0.02%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL  5% 09/30/35                         | ENEL FINANCE INTL NV REGD 144A P/P 5.00000000                                                    | CUSIP: 29278GBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   4825000 | PA      | $4792595.97   | 0.02%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP 6% 06/15/48                         | ENERGY TRANSFER LP REGD SER 30Y 6.00000000                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $969776.63    | 0.00%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 5.25% 04/15/29                         | ENERGY TRANSFER LP REGD 5.25000000                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5631000 | PA      | $5786097.84   | 0.02%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP 5% 05/15/50                         | ENERGY TRANSFER LP REGD 5.00000000                                                               | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $932862.16    | 0.00%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 6.25% 04/15/49                         | ENERGY TRANSFER LP REGD 6.25000000                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3505000 | PA      | $3468946.45   | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIA 3.05% 06/01/31                         | ENTERGY LOUISIANA LLC REGD 3.05000000                                                            | CUSIP: 29364WAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | PA      | $412506.89    | 0.00%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIA 3.12% 09/01/27                         | ENTERGY LOUISIANA LLC REGD 3.12000000                                                            | CUSIP: 29364WAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $365440.43    | 0.00%             | 2027-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA  4% 03/15/33                         | ENTERGY LOUISIANA LLC REGD 4.00000000                                                            | CUSIP: 29364WBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2515762.09   | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIAN 2.9% 03/15/51                         | ENTERGY LOUISIANA LLC REGD 2.90000000                                                            | CUSIP: 29364WBD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | PA      | $983012.86    | 0.00%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIAN 5.8% 03/15/55                         | ENTERGY LOUISIANA LLC REGD 5.80000000                                                            | CUSIP: 29364WBQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2718413.61   | 0.01%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS IN 4.5% 03/30/39                         | ENTERGY TEXAS INC REGD 4.50000000                                                                | CUSIP: 29365TAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10206825.75  | 0.04%             | 2039-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSA 2.65% 06/15/51                         | ENTERGY ARKANSAS LLC REGD 2.65000000                                                             | CUSIP: 29366MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    960000 | PA      | $570599.79    | 0.00%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISS 5.85% 06/01/54                         | ENTERGY MISSISSIPPI LLC REGD 5.85000000                                                          | CUSIP: 29366WAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1209162.90   | 0.00%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EFF 2023-2 A2 5.56% 10/20/26                           | ENTERPRISE FLEET FINANCING 2023-2 LLC SER 2023-2 CL A2 REGD 144A P/P 5.56000000                  | CUSIP: 29375NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3165554 | PA      | $3183155.17   | 0.01%             | 2030-04-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| EFF 2025-2 A3 4.41% 01/20/29                           | ENTERPRISE FLEET FINANCING 2025-2 LLC SER 2025-2 CL A3 REGD 144A P/P 4.41000000                  | CUSIP: 29375TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7124000 | PA      | $7197637.23   | 0.03%             | 2029-06-20      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| EFF 2025-3 A2 4.5% 10/20/27                            | ENTERPRISE FLEET FINANCING 2025-3 LLC SER 2025-3 CL A2 REGD 144A P/P 4.50000000                  | CUSIP: 29375UAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5400000 | PA      | $5427348.84   | 0.02%             | 2028-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 5.75% 03/01/35                         | ENTERPRISE PRODUCTS OPER REGD SER J 5.75000000                                                   | CUSIP: 293791AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1131006.06   | 0.00%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 4.85% 08/15/42                         | ENTERPRISE PRODUCTS OPER REGD 4.85000000                                                         | CUSIP: 29379VAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3703028.60   | 0.01%             | 2042-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 4.95% 10/15/54                         | ENTERPRISE PRODUCTS OPER REGD 4.95000000                                                         | CUSIP: 29379VBF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177000 | PA      | $156942.35    | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PROD 4.95% 02/15/35                         | ENTERPRISE PRODUCTS OPER REGD 4.95000000                                                         | CUSIP: 29379VCG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5159339.11   | 0.02%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODU 4.3% 06/20/28                         | ENTERPRISE PRODUCTS OPER REGD 4.30000000                                                         | CUSIP: 29379VCJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3633000 | PA      | $3664164.24   | 0.01%             | 2028-06-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODU 5.2% 01/15/36                         | ENTERPRISE PRODUCTS OPER REGD 5.20000000                                                         | CUSIP: 29379VCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2046060.89   | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FIN 4.6% 11/15/30                         | EQUINIX EU 2 FINANCING C REGD 4.60000000                                                         | CUSIP: 29390XAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5590000 | PA      | $5606846.92   | 0.02%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA 4.25% 06/02/28                             | EQUINOR ASA REGD 4.25000000                                                                      | CUSIP: 29446MAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |  24354000 | PA      | $24574206.43  | 0.10%             | 2028-06-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA 4.5% 09/03/30                              | EQUINOR ASA REGD 4.50000000                                                                      | CUSIP: 29446MAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   8282000 | PA      | $8401851.39   | 0.03%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA 4.75% 11/14/35                             | EQUINOR ASA REGD 4.75000000                                                                      | CUSIP: 29446MAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   4342000 | PA      | $4319576.26   | 0.02%             | 2035-11-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTIL 5.375% 01/15/34                         | ESSENTIAL UTILITIES INC REGD 5.37500000                                                          | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |   2892000 | PA      | $2985049.38   | 0.01%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILI 5.25% 08/15/35                         | ESSENTIAL UTILITIES INC REGD 5.25000000                                                          | CUSIP: 29670GAK8<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |  12737000 | PA      | $12992367.42  | 0.05%             | 2035-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO 2.65% 03/15/32                         | ESSEX PORTFOLIO LP REGD 2.65000000                                                               | CUSIP: 29717PAV9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1551249.32   | 0.01%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO 1.65% 01/15/31                         | ESSEX PORTFOLIO LP REGD 1.65000000                                                               | CUSIP: 29717PAW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    910000 | PA      | $794157.68    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| EVERGY INC 2.9% 09/15/29                               | EVERGY INC REGD 2.90000000                                                                       | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1110124.32   | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO 5.4% 04/01/34                             | EVERGY METRO REGD 5.40000000                                                                     | CUSIP: 30037DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1066291.95   | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOUR 5.104% 12/01/38                         | EVERGY MISSOURI W STORM REGD SER A-1 5.10400000                                                  | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3417658 | PA      | $3504851.56   | 0.01%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION E 6.25% 10/01/39                         | CONSTELLATION EN GEN LLC REGD 6.25000000                                                         | CUSIP: 30161MAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $325037.44    | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION E 5.75% 10/01/41                         | CONSTELLATION EN GEN LLC REGD 5.75000000                                                         | CUSIP: 30161MAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4727000 | PA      | $4818299.41   | 0.02%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EXELON CORP 4.95% 06/15/35                             | EXELON CORP REGD SER * 4.95000000                                                                | CUSIP: 30161NAQ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1494586.82   | 0.01%             | 2035-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EART 2024-5A D 5.06% 10/15/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5 SER 2024-5A CL D REGD 5.06000000                      | CUSIP: 30165BAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3876000 | PA      | $3893435.02   | 0.02%             | 2031-02-18      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| EART 2022-4A D 5.98% 12/15/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 SER 2022-4A CL D REGD 5.98000000                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4935778 | PA      | $4973841.31   | 0.02%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| EART 2024-2A D 5.92% 04/15/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2024-2 SER 2024-2A CL D REGD 5.92000000                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10080000 | PA      | $10282403.38  | 0.04%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| EART 2022-2A D 4.56% 07/17/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL D REGD 4.56000000                      | CUSIP: 30166QAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8336849 | PA      | $8343311.08   | 0.03%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| EART 2023-4A D 6.95% 12/17/29                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 SER 2023-4A CL D REGD 6.95000000                      | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4820000 | PA      | $4927352.97   | 0.02%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A A 4.38% 06/15/28                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-5 SER 2025-5A CL A2 REGD 4.38000000                     | CUSIP: 30166VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15577000 | PA      | $15591324.61  | 0.06%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A D 5.16% 03/15/32                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-5 SER 2025-5A CL D REGD 5.16000000                      | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5497000 | PA      | $5534061.32   | 0.02%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| EART 2025-2A D 5.89% 07/15/31                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 SER 2025-2A CL D REGD 5.89000000                      | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16900000 | PA      | $17303526.37  | 0.07%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES &  7.4% 01/13/28                         | F&G ANNUITIES & LIFE INC REGD SER WI 7.40000000                                                  | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1318000 | PA      | $1379364.85   | 0.01%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES &  6.5% 06/04/29                         | F&G ANNUITIES & LIFE INC REGD 6.50000000                                                         | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $989691.34    | 0.00%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EART 2023-3A C 6.21% 05/15/26                          | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 SER 2023-3A CL C REGD 6.21000000                      | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2921911 | PA      | $2935012.12   | 0.01%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT  3.875% 02/01/28                         | EXPORT-IMPORT BK INDIA REGD 144A P/P 3.87500000                                                  | CUSIP: 30216JAC9<br>LEI: N/A                  | Long             | DBT              | USGA              | IN        |   3480000 | PA      | $3458667.60   | 0.01%             | 2028-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EXPERIAN FINANC 2.75% 03/08/30                         | EXPERIAN FINANCE PLC REGD 144A P/P 2.75000000                                                    | CUSIP: 30217AAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   9240000 | PA      | $8677742.40   | 0.03%             | 2030-03-08      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAG 4% 06/15/29                         | EXTRA SPACE STORAGE LP REGD 4.00000000                                                           | CUSIP: 30225VAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1831000 | PA      | $1812967.40   | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STOR 2.2% 10/15/30                         | EXTRA SPACE STORAGE LP REGD 2.20000000                                                           | CUSIP: 30225VAP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2630000 | PA      | $2379378.59   | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CO 2.995% 08/16/39                         | EXXON MOBIL CORPORATION REGD 2.99500000                                                          | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $2828859.22   | 0.01%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CO 3.095% 08/16/49                         | EXXON MOBIL CORPORATION REGD 3.09500000                                                          | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $1393205.60   | 0.01%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FMR LLC 6.45% 11/15/39                                 | FMR LLC REGD P/P 6.45000000                                                                      | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    258000 | PA      | $285044.78    | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FMR LLC 4.95% 02/01/33                                 | FMR LLC REGD P/P 4.95000000                                                                      | CUSIP: 30251BAD0<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251629.44    | 0.00%             | 2033-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FMMSR 2020-GT1 A V/R 01/25/26                          | FMC GMSR ISSUER TRUST SER 2020-GT1 CL A V/R REGD 144A P/P 4.45000000                             | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | PA      | $9647546.28   | 0.04%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMMSR 2021-GT1 A V/R 07/25/26                          | FMC GMSR ISSUER TRUST SER 2021-GT1 CL A V/R REGD 144A P/P 3.62000000                             | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10900000 | PA      | $10522912.32  | 0.04%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMMSR 2021-GT2 A V/R 10/25/26                          | FMC GMSR ISSUER TRUST SER 2021-GT2 CL A V/R REGD 144A P/P 3.85000000                             | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8250000 | PA      | $7991201.63   | 0.03%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FMMSR 2022-GT1 6.19% 04/25/27                          | FMC GMSR ISSUER TRUST SER 2022-GT1 CL A REGD 144A P/P 6.19000000                                 | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8209774 | PA      | $8233723.55   | 0.03%             | 2027-04-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FMMSR 2024-SAT1  V/R 03/26/27                          | FMC GMSR ISSUER TRUST SER 2024-SAT1 CL A V/R REGD 144A P/P 6.50000000                            | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12840000 | PA      | $13006292.12  | 0.05%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL 6.125% 01/15/31                         | FS KKR CAPITAL CORP REGD 6.12500000                                                              | CUSIP: 302635AQ0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    832000 | PA      | $811748.99    | 0.00%             | 2031-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FLYWHEEL 7.151% 08/25/2044                             | FLYWHEEL 2024- PDP1            A 7.151 25 AUG 2044 144A REGD 7.15100000                          | CUSIP: 302704AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6840974 | PA      | $6975213.98   | 0.03%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| FLYWHEEL 8.106% 08/25/2044                             | FLYWHEEL 2024 PDP1             B 8.106 25 AUG 2044 144A REGD 8.10600000                          | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2179240 | PA      | $2225775.49   | 0.01%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| FREMF 2016-K59 B V/R 10/25/26                          | FREMF 2016-K59 MORTGAGE TRUST SER 2016-K59 CL B V/R REGD 144A P/P 3.56657900                     | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2450000 | PA      | $2430098.16   | 0.01%             | 2049-11-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K92 B V/R 05/25/29                          | FREMF 2019-K92 MORTGAGE TRUST SER 2019-K92 CL B V/R REGD 144A P/P 4.34045900                     | CUSIP: 302973AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6595000 | PA      | $6546473.33   | 0.03%             | 2052-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K105  V/R 02/25/30                          | FREMF 2020-K105 MORTGAGE TRUST SER 2020-K105 CL B V/R REGD 144A P/P 3.53000000                   | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17300000 | PA      | $16639539.63  | 0.07%             | 2053-03-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS  4.65% 08/15/62                         | META PLATFORMS INC REGD SER WI 4.65000000                                                        | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2388000 | PA      | $1928990.32   | 0.01%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS I 5.6% 05/15/53                         | META PLATFORMS INC REGD 5.60000000                                                               | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   3065000 | PA      | $2933695.65   | 0.01%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS I 5.4% 08/15/54                         | META PLATFORMS INC REGD 5.40000000                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1400124.59   | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS I 5.5% 11/15/45                         | META PLATFORMS INC REGD 5.50000000                                                               | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |  12554000 | PA      | $12190171.77  | 0.05%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS  5.75% 11/15/65                         | META PLATFORMS INC REGD 5.75000000                                                               | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   3032000 | PA      | $2891023.28   | 0.01%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS I 4.6% 11/15/32                         | META PLATFORMS INC REGD 4.60000000                                                               | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2464655.62   | 0.01%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS 4.875% 11/15/35                         | META PLATFORMS INC REGD 4.87500000                                                               | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |  13655000 | PA      | $13636702.44  | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS 5.625% 11/15/55                         | META PLATFORMS INC REGD SER . 5.62500000                                                         | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   5032000 | PA      | $4829567.47   | 0.02%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-KGL1  V/R 10/25/27                          | FREMF 2017-KGS1 MORTGAGE TRUST SER 2017-KGL1 CL BFL V/R REGD 144A P/P 6.62306000                 | CUSIP: 30305QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3415183 | PA      | $3339504.89   | 0.01%             | 2027-10-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K99 B V/R 09/25/29                          | FREMF 2019-K99 MORTGAGE TRUST SER 2019-K99 CL B V/R REGD 144A P/P 3.64538800                     | CUSIP: 30314FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9625307.00   | 0.04%             | 2052-10-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUND 1.75% 06/30/26                         | F&G GLOBAL FUNDING REGD 144A P/P 1.75000000                                                      | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1881460.18   | 0.01%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL H 5.625% 08/16/32                         | FAIRFAX FINL HLDGS LTD REGD SER WI 5.62500000                                                    | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   9000000 | PA      | $9388879.11   | 0.04%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS 6% 12/07/33                         | FAIRFAX FINL HLDGS LTD REGD 6.00000000                                                           | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   6640000 | PA      | $7040970.41   | 0.03%             | 2033-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHS 233 11 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 11 5.00000000                                                      | CUSIP: 31282YDW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36427 | PA      | $5733.34      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHS 233 12 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 12 5.00000000                                                      | CUSIP: 31282YDX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30740 | PA      | $4183.08      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHS 233 13 5% 09/15/35                                 | FREDDIE MAC STRIPS SER 233 CL 13 5.00000000                                                      | CUSIP: 31282YDY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56167 | PA      | $8037.03      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHS 239 S30 V/R 08/15/36                               | FREDDIE MAC STRIPS SER 239 CL S30 V/R 3.60167000                                                 | CUSIP: 31282YNU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113293 | PA      | $14427.84     | 0.00%             | 2036-08-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G00981 8.5% 07/01/28                           | FREDDIE MAC GOLD POOL P#G00981 8.50000000                                                        | CUSIP: 31283HCS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        67 | PA      | $67.36        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G01448 7% 08/01/32                             | FREDDIE MAC GOLD POOL P#G01448 7.00000000                                                        | CUSIP: 31283HTD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1520 | PA      | $1597.72      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G20027 10% 10/01/30                            | FREDDIE MAC GOLD POOL P#G20027 10.00000000                                                       | CUSIP: 31283LA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       472 | PA      | $472.95       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FGLMC P#G20028 7.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#G20028 7.50000000                                                        | CUSIP: 31283LA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37754 | PA      | $38831.02     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P20570 7% 07/01/29                             | FREDDIE MAC GOLD POOL P#P20570 7.00000000                                                        | CUSIP: 31283YQW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       373 | PA      | $379.93       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C68485 7% 07/01/32                             | FREDDIE MAC GOLD POOL P#C68485 7.00000000                                                        | CUSIP: 31287UNA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       829 | PA      | $870.97       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C75791 5.5% 01/01/33                           | FREDDIE MAC GOLD POOL P#C75791 5.50000000                                                        | CUSIP: 31288ENG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12720 | PA      | $12909.56     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50523 6.5% 12/01/35                           | FREDDIE MAC GOLD POOL P#P50523 6.50000000                                                        | CUSIP: 31288LSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4293 | PA      | $4274.14      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50536 6.5% 02/01/37                           | FREDDIE MAC GOLD POOL P#P50536 6.50000000                                                        | CUSIP: 31288LSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1266 | PA      | $1270.12      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50556 6.5% 06/01/37                           | FREDDIE MAC GOLD POOL P#P50556 6.50000000                                                        | CUSIP: 31288LTM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2358 | PA      | $2348.20      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P50595 6.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#P50595 6.50000000                                                        | CUSIP: 31288LUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78282 | PA      | $82422.20     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P51353 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#P51353 6.50000000                                                        | CUSIP: 3128C6QE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51199 | PA      | $52924.06     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#P51361 6.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#P51361 6.50000000                                                        | CUSIP: 3128C6QN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37319 | PA      | $38543.03     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#L10291 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#L10291 6.50000000                                                        | CUSIP: 3128DHKC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48574 | PA      | $50503.89     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#846812 V/R 04/01/30                            | FREDDIE MAC NON GOLD POOL P#846812 V/R 6.30000000                                                | CUSIP: 3128HDR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $54.75        | 0.00%             | 2030-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHS 262 35 3.5% 07/15/42                               | FREDDIE MAC STRIPS SER 262 CL 35 3.50000000                                                      | CUSIP: 3128HXKY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1644527 | PA      | $1554508.95   | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHS 264 F1 V/R 07/15/42                                | FREDDIE MAC STRIPS SER 264 CL F1 V/R 4.64833000                                                  | CUSIP: 3128HXM85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    558249 | PA      | $553976.06    | 0.00%             | 2042-07-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHS 267 30 3% 08/15/42                                 | FREDDIE MAC STRIPS SER 267 CL 30 3.00000000                                                      | CUSIP: 3128HXRT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    438505 | PA      | $403236.47    | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHS 270 F1 V/R 08/15/42                                | FREDDIE MAC STRIPS SER 270 CL F1 V/R 4.59833000                                                  | CUSIP: 3128HXXL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307559 | PA      | $304383.38    | 0.00%             | 2042-08-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHS 272 F2 V/R 08/15/42                                | FREDDIE MAC STRIPS SER 272 CL F2 V/R 4.64833000                                                  | CUSIP: 3128HXYS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    296962 | PA      | $294651.96    | 0.00%             | 2042-08-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B1665 V/R 04/01/34                            | FREDDIE MAC NON GOLD POOL P#1B1665 V/R 6.75000000                                                | CUSIP: 3128JLW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4604 | PA      | $4705.32      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848068 V/R 06/01/36                            | FREDDIE MAC NON GOLD POOL P#848068 V/R 6.98500000                                                | CUSIP: 3128JR6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22197 | PA      | $22913.65     | 0.00%             | 2036-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC P#847621 V/R 05/01/33                            | FREDDIE MAC NON GOLD POOL P#847621 V/R 6.30500000                                                | CUSIP: 3128JRPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25272 | PA      | $25901.87     | 0.00%             | 2033-05-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A46987 5.5% 07/01/35                           | FREDDIE MAC GOLD POOL P#A46987 5.50000000                                                        | CUSIP: 3128K7XQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22443 | PA      | $23326.07     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A47999 5% 08/01/35                             | FREDDIE MAC GOLD POOL P#A47999 5.00000000                                                        | CUSIP: 3128K83G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    290977 | PA      | $295887.79    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A57681 6% 12/01/36                             | FREDDIE MAC GOLD POOL P#A57681 6.00000000                                                        | CUSIP: 3128KLRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2270 | PA      | $2403.38      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A61572 5% 09/01/34                             | FREDDIE MAC GOLD POOL P#A61572 5.00000000                                                        | CUSIP: 3128KRW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27494 | PA      | $27954.65     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A70350 5% 03/01/35                             | FREDDIE MAC GOLD POOL P#A70350 5.00000000                                                        | CUSIP: 3128L3L79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8071 | PA      | $8184.31      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A74793 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#A74793 5.00000000                                                        | CUSIP: 3128L8KE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98668 | PA      | $101579.30    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A77292 5% 04/01/38                             | FREDDIE MAC GOLD POOL P#A77292 5.00000000                                                        | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48008 | PA      | $49425.01     | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J0533 V/R 07/01/37                            | FREDDIE MAC NON GOLD POOL P#1J0533 V/R 6.61700000                                                | CUSIP: 3128LUSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2189 | PA      | $2261.63      | 0.00%             | 2037-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G01864 5% 01/01/34                             | FREDDIE MAC GOLD POOL P#G01864 5.00000000                                                        | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6908 | PA      | $7024.70      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02210 7% 12/01/28                             | FREDDIE MAC GOLD POOL P#G02210 7.00000000                                                        | CUSIP: 3128LXN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2490 | PA      | $2616.89      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02301 5% 07/01/36                             | FREDDIE MAC GOLD POOL P#G02301 5.00000000                                                        | CUSIP: 3128LXRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       692 | PA      | $711.98       | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02427 5.5% 12/01/36                           | FREDDIE MAC GOLD POOL P#G02427 5.50000000                                                        | CUSIP: 3128M4A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10617 | PA      | $11113.00     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G02682 7% 02/01/37                             | FREDDIE MAC GOLD POOL P#G02682 7.00000000                                                        | CUSIP: 3128M4J38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2733 | PA      | $2872.51      | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03029 6% 10/01/29                             | FREDDIE MAC GOLD POOL P#G03029 6.00000000                                                        | CUSIP: 3128M4VW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1784 | PA      | $1831.68      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03094 5% 06/01/37                             | FREDDIE MAC GOLD POOL P#G03094 5.00000000                                                        | CUSIP: 3128M4XX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57137 | PA      | $58820.28     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03127 5% 03/01/37                             | FREDDIE MAC GOLD POOL P#G03127 5.00000000                                                        | CUSIP: 3128M4YY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42160 | PA      | $43402.77     | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04077 6.5% 03/01/38                           | FREDDIE MAC GOLD POOL P#G04077 6.50000000                                                        | CUSIP: 3128M52J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19334 | PA      | $20541.44     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03355 5% 08/01/37                             | FREDDIE MAC GOLD POOL P#G03355 5.00000000                                                        | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58100 | PA      | $59813.25     | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03369 6.5% 01/01/35                           | FREDDIE MAC GOLD POOL P#G03369 6.50000000                                                        | CUSIP: 3128M5CE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23314 | PA      | $24213.13     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03666 7.5% 01/01/38                           | FREDDIE MAC GOLD POOL P#G03666 7.50000000                                                        | CUSIP: 3128M5MP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30446 | PA      | $32820.63     | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03777 5% 11/01/36                             | FREDDIE MAC GOLD POOL P#G03777 5.00000000                                                        | CUSIP: 3128M5Q60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19380 | PA      | $19915.24     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G03854 5% 02/01/38                             | FREDDIE MAC GOLD POOL P#G03854 5.00000000                                                        | CUSIP: 3128M5TK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     87666 | PA      | $90253.36     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04332 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04332 5.00000000                                                        | CUSIP: 3128M6ED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17553 | PA      | $18070.47     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04668 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04668 5.00000000                                                        | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84079 | PA      | $86560.29     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04834 5% 03/01/36                             | FREDDIE MAC GOLD POOL P#G04834 5.00000000                                                        | CUSIP: 3128M6V39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    762271 | PA      | $783622.81    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04815 5% 09/01/38                             | FREDDIE MAC GOLD POOL P#G04815 5.00000000                                                        | CUSIP: 3128M6VG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56689 | PA      | $58361.88     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04817 5% 09/01/38                             | FREDDIE MAC GOLD POOL P#G04817 5.00000000                                                        | CUSIP: 3128M6VJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9852 | PA      | $10143.02     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04913 5% 03/01/38                             | FREDDIE MAC GOLD POOL P#G04913 5.00000000                                                        | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     68752 | PA      | $70778.62     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04949 6.5% 11/01/37                           | FREDDIE MAC GOLD POOL P#G04949 6.50000000                                                        | CUSIP: 3128M6ZN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17480 | PA      | $18678.76     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04951 5% 11/01/38                             | FREDDIE MAC GOLD POOL P#G04951 5.00000000                                                        | CUSIP: 3128M6ZQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       433 | PA      | $445.70       | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04952 7.5% 01/01/38                           | FREDDIE MAC GOLD POOL P#G04952 7.50000000                                                        | CUSIP: 3128M6ZR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7686 | PA      | $8045.06      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05982 4.5% 09/01/40                           | FREDDIE MAC GOLD POOL P#G05982 4.50000000                                                        | CUSIP: 3128M76T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    331157 | PA      | $333850.12    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05132 5% 12/01/38                             | FREDDIE MAC GOLD POOL P#G05132 5.00000000                                                        | CUSIP: 3128M7A97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66252 | PA      | $68206.12     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05190 7.5% 09/01/38                           | FREDDIE MAC GOLD POOL P#G05190 7.50000000                                                        | CUSIP: 3128M7C38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12344 | PA      | $12831.78     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05671 5.5% 08/01/38                           | FREDDIE MAC GOLD POOL P#G05671 5.50000000                                                        | CUSIP: 3128M7T48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21972 | PA      | $22998.94     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G05713 6.5% 12/01/35                           | FREDDIE MAC GOLD POOL P#G05713 6.50000000                                                        | CUSIP: 3128M7VE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16780 | PA      | $17430.22     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06047 4.5% 05/01/40                           | FREDDIE MAC GOLD POOL P#G06047 4.50000000                                                        | CUSIP: 3128M8BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    230869 | PA      | $232995.29    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06193 5.5% 05/01/40                           | FREDDIE MAC GOLD POOL P#G06193 5.50000000                                                        | CUSIP: 3128M8GA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    580749 | PA      | $606307.64    | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06493 4.5% 05/01/41                           | FREDDIE MAC GOLD POOL P#G06493 4.50000000                                                        | CUSIP: 3128M8RN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    583273 | PA      | $587448.27    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07770 5% 10/01/39                             | FREDDIE MAC GOLD POOL P#G07770 5.00000000                                                        | CUSIP: 3128M96F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150294 | PA      | $154728.34    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06990 5.5% 08/01/40                           | FREDDIE MAC GOLD POOL P#G06990 5.50000000                                                        | CUSIP: 3128M9C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    234405 | PA      | $244650.15    | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07072 3.5% 05/01/42                           | FREDDIE MAC GOLD POOL P#G07072 3.50000000                                                        | CUSIP: 3128M9FM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    261807 | PA      | $251208.83    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07316 3.5% 03/01/43                           | FREDDIE MAC GOLD POOL P#G07316 3.50000000                                                        | CUSIP: 3128M9N99<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    188711 | PA      | $180195.59    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07304 3.5% 12/01/42                           | FREDDIE MAC GOLD POOL P#G07304 3.50000000                                                        | CUSIP: 3128M9NV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    921024 | PA      | $882603.32    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07828 4.5% 09/01/44                           | FREDDIE MAC GOLD POOL P#G07828 4.50000000                                                        | CUSIP: 3128MAA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    510195 | PA      | $510907.34    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07801 4% 10/01/44                             | FREDDIE MAC GOLD POOL P#G07801 4.00000000                                                        | CUSIP: 3128MAAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2057227 | PA      | $2000313.56   | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07849 3.5% 05/01/44                           | FREDDIE MAC GOLD POOL P#G07849 3.50000000                                                        | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5531090 | PA      | $5280274.43   | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G07995 5.5% 01/01/39                           | FREDDIE MAC GOLD POOL P#G07995 5.50000000                                                        | CUSIP: 3128MAGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    764287 | PA      | $785530.54    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G14810 3% 07/01/28                             | FREDDIE MAC GOLD POOL P#G14810 3.00000000                                                        | CUSIP: 3128MDR70<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    157975 | PA      | $156143.42    | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G16076 3% 02/01/32                             | FREDDIE MAC GOLD POOL P#G16076 3.00000000                                                        | CUSIP: 3128ME6M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1523413 | PA      | $1492145.85   | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G16177 2% 01/01/32                             | FREDDIE MAC GOLD POOL P#G16177 2.00000000                                                        | CUSIP: 3128MFCN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1336093 | PA      | $1279386.39   | 0.01%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08790 4.5% 11/01/47                           | FREDDIE MAC GOLD POOL P#G08790 4.50000000                                                        | CUSIP: 3128MJ2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    251201 | PA      | $249791.79    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08105 5.5% 01/01/36                           | FREDDIE MAC GOLD POOL P#G08105 5.50000000                                                        | CUSIP: 3128MJDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5735 | PA      | $6002.57      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08168 6% 12/01/36                             | FREDDIE MAC GOLD POOL P#G08168 6.00000000                                                        | CUSIP: 3128MJFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5071 | PA      | $5369.17      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08269 5.5% 05/01/38                           | FREDDIE MAC GOLD POOL P#G08269 5.50000000                                                        | CUSIP: 3128MJJP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17198 | PA      | $17944.05     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08368 4.5% 10/01/39                           | FREDDIE MAC GOLD POOL P#G08368 4.50000000                                                        | CUSIP: 3128MJMS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    409086 | PA      | $413042.22    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08372 4.5% 11/01/39                           | FREDDIE MAC GOLD POOL P#G08372 4.50000000                                                        | CUSIP: 3128MJMW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    465219 | PA      | $469718.72    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08457 4.5% 08/01/41                           | FREDDIE MAC GOLD POOL P#G08457 4.50000000                                                        | CUSIP: 3128MJQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    146495 | PA      | $147498.57    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08492 4% 05/01/42                             | FREDDIE MAC GOLD POOL P#G08492 4.00000000                                                        | CUSIP: 3128MJRN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4549 | PA      | $4454.35      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08540 3% 08/01/43                             | FREDDIE MAC GOLD POOL P#G08540 3.00000000                                                        | CUSIP: 3128MJS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2247393 | PA      | $2078588.96   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08518 3% 02/01/43                             | FREDDIE MAC GOLD POOL P#G08518 3.00000000                                                        | CUSIP: 3128MJSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    123893 | PA      | $114665.33    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08524 3% 03/01/43                             | FREDDIE MAC GOLD POOL P#G08524 3.00000000                                                        | CUSIP: 3128MJSN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    835557 | PA      | $773324.05    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08558 4% 11/01/43                             | FREDDIE MAC GOLD POOL P#G08558 4.00000000                                                        | CUSIP: 3128MJTQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41442 | PA      | $40474.66     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08563 4% 01/01/44                             | FREDDIE MAC GOLD POOL P#G08563 4.00000000                                                        | CUSIP: 3128MJTV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    129424 | PA      | $126404.10    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08578 4.5% 03/01/44                           | FREDDIE MAC GOLD POOL P#G08578 4.50000000                                                        | CUSIP: 3128MJUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    153123 | PA      | $153147.88    | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08587 4.5% 05/01/44                           | FREDDIE MAC GOLD POOL P#G08587 4.50000000                                                        | CUSIP: 3128MJUM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    211048 | PA      | $211517.07    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08596 4.5% 07/01/44                           | FREDDIE MAC GOLD POOL P#G08596 4.50000000                                                        | CUSIP: 3128MJUW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76000 | PA      | $75949.96     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08624 4% 01/01/45                             | FREDDIE MAC GOLD POOL P#G08624 4.00000000                                                        | CUSIP: 3128MJVS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104587 | PA      | $101445.55    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08672 4% 10/01/45                             | FREDDIE MAC GOLD POOL P#G08672 4.00000000                                                        | CUSIP: 3128MJXA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    135383 | PA      | $131161.97    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08677 4% 11/01/45                             | FREDDIE MAC GOLD POOL P#G08677 4.00000000                                                        | CUSIP: 3128MJXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2859222 | PA      | $2769788.14   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08681 3.5% 12/01/45                           | FREDDIE MAC GOLD POOL P#G08681 3.50000000                                                        | CUSIP: 3128MJXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1140008 | PA      | $1081807.60   | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08729 4.5% 09/01/46                           | FREDDIE MAC GOLD POOL P#G08729 4.50000000                                                        | CUSIP: 3128MJY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    891321 | PA      | $888527.24    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08731 2.5% 11/01/46                           | FREDDIE MAC GOLD POOL P#G08731 2.50000000                                                        | CUSIP: 3128MJY53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1025111 | PA      | $893292.91    | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08735 4.5% 10/01/46                           | FREDDIE MAC GOLD POOL P#G08735 4.50000000                                                        | CUSIP: 3128MJY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    820280 | PA      | $818384.88    | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08707 4% 05/01/46                             | FREDDIE MAC GOLD POOL P#G08707 4.00000000                                                        | CUSIP: 3128MJYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     68232 | PA      | $66055.24     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08767 4% 06/01/47                             | FREDDIE MAC GOLD POOL P#G08767 4.00000000                                                        | CUSIP: 3128MJZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1039124 | PA      | $1005861.78   | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08741 3% 01/01/47                             | FREDDIE MAC GOLD POOL P#G08741 3.00000000                                                        | CUSIP: 3128MJZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    663887 | PA      | $600396.33    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08742 3.5% 01/01/47                           | FREDDIE MAC GOLD POOL P#G08742 3.50000000                                                        | CUSIP: 3128MJZG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    908417 | PA      | $858878.79    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08747 3% 02/01/47                             | FREDDIE MAC GOLD POOL P#G08747 3.00000000                                                        | CUSIP: 3128MJZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9422000 | PA      | $8552926.78   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G08750 3% 03/01/47                             | FREDDIE MAC GOLD POOL P#G08750 3.00000000                                                        | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    483901 | PA      | $439266.86    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#H05030 6% 11/01/36                             | FREDDIE MAC GOLD POOL P#H05030 6.00000000                                                        | CUSIP: 3128MXST7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       604 | PA      | $609.89       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1085 V/R 08/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1085 V/R 6.50500000                                                | CUSIP: 3128NFF28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9443 | PA      | $9654.19      | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1082 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1082 V/R 6.39500000                                                | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12753 | PA      | $13009.60     | 0.00%             | 2036-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1096 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1096 V/R 6.36100000                                                | CUSIP: 3128NFGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40276 | PA      | $41070.95     | 0.00%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1097 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1A1097 V/R 6.41800000                                                | CUSIP: 3128NFGE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10159 | PA      | $10315.54     | 0.00%             | 2036-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1A1193 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1A1193 V/R 6.26000000                                                | CUSIP: 3128NFKE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9274 | PA      | $9364.29      | 0.00%             | 2037-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1348 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1348 V/R 6.69500000                                                | CUSIP: 3128NHP98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10925 | PA      | $11400.21     | 0.00%             | 2036-10-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1378 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1378 V/R 6.01500000                                                | CUSIP: 3128NHQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19529 | PA      | $20148.56     | 0.00%             | 2036-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1380 V/R 03/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1380 V/R 7.37000000                                                | CUSIP: 3128NHQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1713 | PA      | $1789.13      | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1399 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1399 V/R 6.50000000                                                | CUSIP: 3128NHRU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       545 | PA      | $564.66       | 0.00%             | 2036-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1418 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1418 V/R 6.06500000                                                | CUSIP: 3128NHSF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3018 | PA      | $3103.01      | 0.00%             | 2036-12-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1419 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1419 V/R 6.02500000                                                | CUSIP: 3128NHSG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27774 | PA      | $28482.55     | 0.00%             | 2036-12-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1516 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1516 V/R 6.62800000                                                | CUSIP: 3128NHVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1714 | PA      | $1768.07      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1564 V/R 04/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1564 V/R 6.94800000                                                | CUSIP: 3128NHWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20873 | PA      | $21630.72     | 0.00%             | 2037-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1634 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1J1634 V/R 6.22700000                                                | CUSIP: 3128NHY72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76578 | PA      | $79699.68     | 0.00%             | 2036-12-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J1621 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1J1621 V/R 7.18000000                                                | CUSIP: 3128NHYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15764 | PA      | $16459.52     | 0.00%             | 2037-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1J2945 V/R 11/01/37                            | FREDDIE MAC NON GOLD POOL P#1J2945 V/R 6.50000000                                                | CUSIP: 3128NKHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4099 | PA      | $4203.13      | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1K0046 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1K0046 V/R 6.48000000                                                | CUSIP: 3128NUBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9724 | PA      | $10085.98     | 0.00%             | 2036-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91158 6.5% 01/01/28                           | FREDDIE MAC GOLD POOL P#C91158 6.50000000                                                        | CUSIP: 3128P7JB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2610 | PA      | $2650.68      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91403 3.5% 03/01/32                           | FREDDIE MAC GOLD POOL P#C91403 3.50000000                                                        | CUSIP: 3128P7RY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44365 | PA      | $43756.23     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91417 3.5% 01/01/32                           | FREDDIE MAC GOLD POOL P#C91417 3.50000000                                                        | CUSIP: 3128P7SE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115564 | PA      | $114001.42    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91840 3% 07/01/35                             | FREDDIE MAC GOLD POOL P#C91840 3.00000000                                                        | CUSIP: 3128P8BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2313885 | PA      | $2221728.66   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91891 3% 09/01/36                             | FREDDIE MAC GOLD POOL P#C91891 3.00000000                                                        | CUSIP: 3128P8C41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    943024 | PA      | $899433.75    | 0.00%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91925 3.5% 04/01/37                           | FREDDIE MAC GOLD POOL P#C91925 3.50000000                                                        | CUSIP: 3128P8D65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2315929 | PA      | $2265224.41   | 0.01%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C91960 3.5% 11/01/37                           | FREDDIE MAC GOLD POOL P#C91960 3.50000000                                                        | CUSIP: 3128P8E98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    661873 | PA      | $640503.66    | 0.00%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1L1286 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1L1286 V/R 6.50000000                                                | CUSIP: 3128Q3NB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8639 | PA      | $8920.70      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N0249 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1N0249 V/R 6.32500000                                                | CUSIP: 3128QGH21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11078 | PA      | $11349.01     | 0.00%             | 2036-10-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N0353 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1N0353 V/R 6.86000000                                                | CUSIP: 3128QGMA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15403 | PA      | $15730.64     | 0.00%             | 2037-02-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N1463 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1N1463 V/R 6.48100000                                                | CUSIP: 3128QHTU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1845 | PA      | $1848.23      | 0.00%             | 2037-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1N1477 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1N1477 V/R 6.52600000                                                | CUSIP: 3128QHUA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4301 | PA      | $4397.73      | 0.00%             | 2037-05-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1386 V/R 12/01/36                            | FREDDIE MAC NON GOLD POOL P#1G1386 V/R 6.83700000                                                | CUSIP: 3128QJRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16006 | PA      | $16520.03     | 0.00%             | 2036-12-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1478 V/R 01/01/37                            | FREDDIE MAC NON GOLD POOL P#1G1478 V/R 6.66000000                                                | CUSIP: 3128QJUB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8428 | PA      | $8678.89      | 0.00%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1554 V/R 02/01/37                            | FREDDIE MAC NON GOLD POOL P#1G1554 V/R 6.84400000                                                | CUSIP: 3128QJWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12108 | PA      | $12495.25     | 0.00%             | 2037-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1H2618 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1H2618 V/R 6.34500000                                                | CUSIP: 3128QLSF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24286 | PA      | $25410.74     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1H2623 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#1H2623 V/R 6.25000000                                                | CUSIP: 3128QLSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5119 | PA      | $5353.54      | 0.00%             | 2036-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B7242 V/R 09/01/36                            | FREDDIE MAC NON GOLD POOL P#1B7242 V/R 6.66300000                                                | CUSIP: 3128QPNJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37478 | PA      | $38800.89     | 0.00%             | 2036-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1B7303 V/R 03/01/37                            | FREDDIE MAC NON GOLD POOL P#1B7303 V/R 7.35000000                                                | CUSIP: 3128QPQF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1446 | PA      | $1510.83      | 0.00%             | 2037-03-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2671 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2671 V/R 6.41300000                                                | CUSIP: 3128QS6G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7028 | PA      | $7202.56      | 0.00%             | 2036-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1861 V/R 03/01/36                            | FREDDIE MAC NON GOLD POOL P#1G1861 V/R 6.91500000                                                | CUSIP: 3128QSB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15056 | PA      | $15591.41     | 0.00%             | 2036-03-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2415 V/R 05/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2415 V/R 7.33000000                                                | CUSIP: 3128QSVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4628 | PA      | $4833.29      | 0.00%             | 2036-05-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2539 V/R 10/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2539 V/R 6.34500000                                                | CUSIP: 3128QSZC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10210 | PA      | $10502.51     | 0.00%             | 2036-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G2557 V/R 06/01/36                            | FREDDIE MAC NON GOLD POOL P#1G2557 V/R 6.80300000                                                | CUSIP: 3128QSZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41440 | PA      | $42966.02     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0783 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0783 V/R 6.92400000                                                | CUSIP: 3128S42Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15028 | PA      | $15514.24     | 0.00%             | 2037-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0789 V/R 05/01/38                            | FREDDIE MAC NON GOLD POOL P#1Q0789 V/R 6.87100000                                                | CUSIP: 3128S42W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1825 | PA      | $1880.15      | 0.00%             | 2038-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0025 V/R 02/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0025 V/R 6.40100000                                                | CUSIP: 3128S4A23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3787 | PA      | $3936.32      | 0.00%             | 2036-02-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0007 V/R 12/01/35                            | FREDDIE MAC NON GOLD POOL P#1Q0007 V/R 6.64000000                                                | CUSIP: 3128S4AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3336 | PA      | $3361.60      | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0105 V/R 09/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0105 V/R 6.41600000                                                | CUSIP: 3128S4DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10845 | PA      | $11199.83     | 0.00%             | 2036-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0697 V/R 05/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0697 V/R 5.96100000                                                | CUSIP: 3128S4X28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32507 | PA      | $33471.05     | 0.00%             | 2037-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0722 V/R 04/01/38                            | FREDDIE MAC NON GOLD POOL P#1Q0722 V/R 6.77800000                                                | CUSIP: 3128S4YT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9777 | PA      | $10110.47     | 0.00%             | 2038-04-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0737 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#1Q0737 V/R 6.36100000                                                | CUSIP: 3128S4ZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7900 | PA      | $8139.23      | 0.00%             | 2036-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1Q0739 V/R 03/01/37                            | FREDDIE MAC NON GOLD POOL P#1Q0739 V/R 6.48200000                                                | CUSIP: 3128S4ZC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23814 | PA      | $24242.09     | 0.00%             | 2037-03-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A83067 5% 11/01/38                             | FREDDIE MAC GOLD POOL P#A83067 5.00000000                                                        | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $20590.38     | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00785 6.5% 06/01/29                           | FREDDIE MAC GOLD POOL P#C00785 6.50000000                                                        | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2061 | PA      | $2140.35      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C00452 7% 04/01/26                             | FREDDIE MAC GOLD POOL P#C00452 7.00000000                                                        | CUSIP: 31292GQD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $6.52         | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C02660 6.5% 11/01/36                           | FREDDIE MAC GOLD POOL P#C02660 6.50000000                                                        | CUSIP: 31292J5V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4878 | PA      | $5170.79      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03490 4.5% 08/01/40                           | FREDDIE MAC GOLD POOL P#C03490 4.50000000                                                        | CUSIP: 31292K2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    101050 | PA      | $101887.28    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03520 4% 09/01/40                             | FREDDIE MAC GOLD POOL P#C03520 4.00000000                                                        | CUSIP: 31292K4D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    178564 | PA      | $175164.14    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03466 5.5% 03/01/40                           | FREDDIE MAC GOLD POOL P#C03466 5.50000000                                                        | CUSIP: 31292KZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7802 | PA      | $8138.32      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C03613 4% 11/01/40                             | FREDDIE MAC GOLD POOL P#C03613 4.00000000                                                        | CUSIP: 31292LAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    445722 | PA      | $436891.18    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09028 3.5% 01/01/43                           | FREDDIE MAC GOLD POOL P#C09028 3.50000000                                                        | CUSIP: 31292SA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2377975 | PA      | $2269928.57   | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09029 3% 03/01/43                             | FREDDIE MAC GOLD POOL P#C09029 3.00000000                                                        | CUSIP: 31292SA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1707865 | PA      | $1580659.73   | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09015 3% 10/01/42                             | FREDDIE MAC GOLD POOL P#C09015 3.00000000                                                        | CUSIP: 31292SAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1405486 | PA      | $1301229.06   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09020 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#C09020 3.50000000                                                        | CUSIP: 31292SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    349082 | PA      | $333365.02    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09044 3.5% 07/01/43                           | FREDDIE MAC GOLD POOL P#C09044 3.50000000                                                        | CUSIP: 31292SBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    165173 | PA      | $157599.48    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C09055 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#C09055 4.00000000                                                        | CUSIP: 31292SBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    398912 | PA      | $389602.58    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A83645 5% 12/01/38                             | FREDDIE MAC GOLD POOL P#A83645 5.00000000                                                        | CUSIP: 312930BN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       243 | PA      | $250.49       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A86141 5% 05/01/39                             | FREDDIE MAC GOLD POOL P#A86141 5.00000000                                                        | CUSIP: 312932ZE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2920 | PA      | $2990.51      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A87147 4.5% 07/01/39                           | FREDDIE MAC GOLD POOL P#A87147 4.50000000                                                        | CUSIP: 3129335G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45298 | PA      | $45743.31     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A88871 7% 01/01/31                             | FREDDIE MAC GOLD POOL P#A88871 7.00000000                                                        | CUSIP: 3129352C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4387 | PA      | $4611.39      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A89870 4.5% 11/01/39                           | FREDDIE MAC GOLD POOL P#A89870 4.50000000                                                        | CUSIP: 3129366F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    657098 | PA      | $663553.37    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A90768 5% 01/01/40                             | FREDDIE MAC GOLD POOL P#A90768 5.00000000                                                        | CUSIP: 312938Z97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36389 | PA      | $37463.53     | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A91387 5% 03/01/40                             | FREDDIE MAC GOLD POOL P#A91387 5.00000000                                                        | CUSIP: 312939RG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    596308 | PA      | $613917.96    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A91541 5% 03/01/40                             | FREDDIE MAC GOLD POOL P#A91541 5.00000000                                                        | CUSIP: 312939WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66029 | PA      | $67979.35     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A93383 5% 08/01/40                             | FREDDIE MAC GOLD POOL P#A93383 5.00000000                                                        | CUSIP: 312941XL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85814 | PA      | $88348.29     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A93996 4.5% 09/01/40                           | FREDDIE MAC GOLD POOL P#A93996 4.50000000                                                        | CUSIP: 312942NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81592 | PA      | $82242.75     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A94713 4% 11/01/40                             | FREDDIE MAC GOLD POOL P#A94713 4.00000000                                                        | CUSIP: 312943GW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10563 | PA      | $10354.68     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A96184 4% 01/01/41                             | FREDDIE MAC GOLD POOL P#A96184 4.00000000                                                        | CUSIP: 3129442R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    294649 | PA      | $287208.99    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95561 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95561 4.00000000                                                        | CUSIP: 312944FA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350503 | PA      | $343829.97    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95575 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95575 4.00000000                                                        | CUSIP: 312944FQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    119515 | PA      | $117510.28    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95656 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95656 4.00000000                                                        | CUSIP: 312944H95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    272448 | PA      | $266395.57    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95825 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95825 4.00000000                                                        | CUSIP: 312944PJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    332071 | PA      | $325526.33    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A95856 4% 12/01/40                             | FREDDIE MAC GOLD POOL P#A95856 4.00000000                                                        | CUSIP: 312944QH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    291286 | PA      | $285454.26    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A97620 4.5% 03/01/41                           | FREDDIE MAC GOLD POOL P#A97620 4.50000000                                                        | CUSIP: 312946PD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64214 | PA      | $64707.00     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A97943 5% 04/01/41                             | FREDDIE MAC GOLD POOL P#A97943 5.00000000                                                        | CUSIP: 312946ZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    323368 | PA      | $332918.64    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#789758 V/R 09/01/32                            | FREDDIE MAC NON GOLD POOL P#789758 V/R 6.49800000                                                | CUSIP: 31295NZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       361 | PA      | $370.52       | 0.00%             | 2032-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A13625 5.5% 10/01/33                           | FREDDIE MAC GOLD POOL P#A13625 5.50000000                                                        | CUSIP: 31296NA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9036 | PA      | $9182.90      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A16107 6% 12/01/33                             | FREDDIE MAC GOLD POOL P#A16107 6.00000000                                                        | CUSIP: 31296QYC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6638 | PA      | $6816.88      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A17537 6% 01/01/34                             | FREDDIE MAC GOLD POOL P#A17537 6.00000000                                                        | CUSIP: 31296SLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8564 | PA      | $8794.71      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A23139 5% 06/01/34                             | FREDDIE MAC GOLD POOL P#A23139 5.00000000                                                        | CUSIP: 31297APY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19567 | PA      | $20068.01     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A28796 6.5% 11/01/34                           | FREDDIE MAC GOLD POOL P#A28796 6.50000000                                                        | CUSIP: 31297GXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       113 | PA      | $116.93       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A39789 4.5% 11/01/35                           | FREDDIE MAC GOLD POOL P#A39789 4.50000000                                                        | CUSIP: 31297V2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3451 | PA      | $3484.87      | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#C47315 6.5% 08/01/29                           | FREDDIE MAC GOLD POOL P#C47315 6.50000000                                                        | CUSIP: 31298GDU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21676 | PA      | $22512.81     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848115 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#848115 V/R 6.18400000                                                | CUSIP: 31300LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7391 | PA      | $7608.25      | 0.00%             | 2036-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848365 V/R 07/01/36                            | FREDDIE MAC NON GOLD POOL P#848365 V/R 6.29700000                                                | CUSIP: 31300LJJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10947 | PA      | $11307.50     | 0.00%             | 2036-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848431 V/R 02/01/36                            | FREDDIE MAC NON GOLD POOL P#848431 V/R 6.22200000                                                | CUSIP: 31300LLL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13178 | PA      | $13562.67     | 0.00%             | 2036-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC P#848699 V/R 07/01/40                            | FREDDIE MAC NON GOLD POOL P#848699 V/R 6.48100000                                                | CUSIP: 31300LUY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8709 | PA      | $9073.19      | 0.00%             | 2040-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J24062 2.5% 06/01/28                           | FREDDIE MAC GOLD POOL P#J24062 2.50000000                                                        | CUSIP: 31307CQP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     88885 | PA      | $87559.86     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J25251 3% 08/01/28                             | FREDDIE MAC GOLD POOL P#J25251 3.00000000                                                        | CUSIP: 31307DZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     95060 | PA      | $94081.51     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J26142 3% 10/01/28                             | FREDDIE MAC GOLD POOL P#J26142 3.00000000                                                        | CUSIP: 31307EZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    134664 | PA      | $133011.43    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J28209 3% 05/01/29                             | FREDDIE MAC GOLD POOL P#J28209 3.00000000                                                        | CUSIP: 31307HDN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    168227 | PA      | $165457.15    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J35307 3% 09/01/31                             | FREDDIE MAC GOLD POOL P#J35307 3.00000000                                                        | CUSIP: 31307R3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    198681 | PA      | $193904.70    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM4518 3.5% 10/01/47                            | FREDDIE MAC POOL UMBS P#ZM4518 3.50000000                                                        | CUSIP: 3131XYAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    136838 | PA      | $129121.31    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM6956 4.5% 06/01/48                            | FREDDIE MAC POOL UMBS P#ZM6956 4.50000000                                                        | CUSIP: 3131Y1WR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2080546 | PA      | $2066428.64   | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#T65101 4% 10/01/42                             | FREDDIE MAC GOLD POOL P#T65101 4.00000000                                                        | CUSIP: 31322YU25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16591 | PA      | $15927.22     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS4472 3.5% 02/01/42                            | FREDDIE MAC POOL UMBS P#ZS4472 3.50000000                                                        | CUSIP: 3132A46H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    627464 | PA      | $602923.98    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS4743 3.5% 11/01/47                            | FREDDIE MAC POOL UMBS P#ZS4743 3.50000000                                                        | CUSIP: 3132A5HU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3291877 | PA      | $3089592.77   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS7690 3% 04/01/32                              | FREDDIE MAC POOL UMBS P#ZS7690 3.00000000                                                        | CUSIP: 3132A8RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4976261 | PA      | $4867886.84   | 0.02%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT0538 3.5% 03/01/48                            | FREDDIE MAC POOL UMBS P#ZT0538 3.50000000                                                        | CUSIP: 3132ACS35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3054479 | PA      | $2876160.98   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT0531 3.5% 04/01/47                            | FREDDIE MAC POOL UMBS P#ZT0531 3.50000000                                                        | CUSIP: 3132ACSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11782252 | PA      | $11148614.27  | 0.04%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT0536 3.5% 03/01/48                            | FREDDIE MAC POOL UMBS P#ZT0536 3.50000000                                                        | CUSIP: 3132ACSZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1300265 | PA      | $1225287.90   | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1257 3% 01/01/46                              | FREDDIE MAC POOL UMBS P#ZT1257 3.00000000                                                        | CUSIP: 3132ADME5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5718243 | PA      | $5307573.29   | 0.02%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1546 4.5% 12/01/48                            | FREDDIE MAC POOL UMBS P#ZT1546 4.50000000                                                        | CUSIP: 3132ADWF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2382608 | PA      | $2363983.84   | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT2262 3% 06/01/48                              | FREDDIE MAC POOL UMBS P#ZT2262 3.00000000                                                        | CUSIP: 3132AEQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9009418 | PA      | $8007053.64   | 0.03%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT2265 4% 08/01/48                              | FREDDIE MAC POOL UMBS P#ZT2265 4.00000000                                                        | CUSIP: 3132AEQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90762 | PA      | $87700.00     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0816 1.5% 06/01/37                            | FREDDIE MAC POOL UMBS P#SB0816 1.50000000                                                        | CUSIP: 3132CW3Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2214062 | PA      | $2004023.63   | 0.01%             | 2037-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0880 3% 05/01/37                              | FREDDIE MAC POOL UMBS P#SB0880 3.00000000                                                        | CUSIP: 3132CW6R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    867520 | PA      | $842604.72    | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0359 2.5% 07/01/35                            | FREDDIE MAC POOL UMBS P#SB0359 2.50000000                                                        | CUSIP: 3132CWMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    268315 | PA      | $255188.91    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0545 2% 11/01/35                              | FREDDIE MAC POOL UMBS P#SB0545 2.00000000                                                        | CUSIP: 3132CWTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2464146 | PA      | $2290232.17   | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0760 2.5% 12/01/35                            | FREDDIE MAC POOL UMBS P#SB0760 2.50000000                                                        | CUSIP: 3132CWZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3049687 | PA      | $2905139.77   | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB1677 5% 09/01/40                              | FREDDIE MAC POOL UMBS P#SB1677 5.00000000                                                        | CUSIP: 3132CX2J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6583192 | PA      | $6705200.03   | 0.03%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0967 2% 01/01/37                              | FREDDIE MAC POOL UMBS P#SB0967 2.00000000                                                        | CUSIP: 3132CXCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7844326 | PA      | $7290760.31   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB1203 1.5% 04/01/37                            | FREDDIE MAC POOL UMBS P#SB1203 1.50000000                                                        | CUSIP: 3132CXKQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6031795 | PA      | $5475630.92   | 0.02%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB1427 3% 05/01/37                              | FREDDIE MAC POOL UMBS P#SB1427 3.00000000                                                        | CUSIP: 3132CXSQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3343881 | PA      | $3250841.35   | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB8088 1.5% 02/01/36                            | FREDDIE MAC POOL UMBS P#SB8088 1.50000000                                                        | CUSIP: 3132D56Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4112344 | PA      | $3733152.61   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB8178 4% 09/01/37                              | FREDDIE MAC POOL UMBS P#SB8178 4.00000000                                                        | CUSIP: 3132D6CP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    529911 | PA      | $523678.45    | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB8504 2.5% 10/01/35                            | FREDDIE MAC POOL UMBS P#SB8504 2.50000000                                                        | CUSIP: 3132D6NV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4985728 | PA      | $4765079.51   | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0104 3.5% 08/01/35                            | FREDDIE MAC POOL UMBS P#SC0104 3.50000000                                                        | CUSIP: 3132D9DH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2217359 | PA      | $2162771.09   | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0242 2.5% 02/01/42                            | FREDDIE MAC POOL UMBS P#SC0242 2.50000000                                                        | CUSIP: 3132D9HT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8277081 | PA      | $7418674.48   | 0.03%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0765 5% 08/01/45                              | FREDDIE MAC POOL UMBS P#SC0765 5.00000000                                                        | CUSIP: 3132D9Z64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8698589 | PA      | $8849081.92   | 0.04%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0781 3% 11/01/51                              | FREDDIE MAC POOL UMBS P#SD0781 3.00000000                                                        | CUSIP: 3132DM2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12880297 | PA      | $11493755.15  | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0895 2% 02/01/52                              | FREDDIE MAC POOL UMBS P#SD0895 2.00000000                                                        | CUSIP: 3132DM7G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14108412 | PA      | $11587716.43  | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0109 4% 01/01/49                              | FREDDIE MAC POOL UMBS P#SD0109 4.00000000                                                        | CUSIP: 3132DMDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2260976 | PA      | $2183922.91   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0185 3% 12/01/49                              | FREDDIE MAC POOL UMBS P#SD0185 3.00000000                                                        | CUSIP: 3132DMF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    374707 | PA      | $337805.86    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0295 3% 02/01/49                              | FREDDIE MAC POOL UMBS P#SD0295 3.00000000                                                        | CUSIP: 3132DMKG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7770458 | PA      | $7108733.98   | 0.03%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0502 3% 08/01/50                              | FREDDIE MAC POOL UMBS P#SD0502 3.00000000                                                        | CUSIP: 3132DMRX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1385204 | PA      | $1248127.16   | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0580 3% 04/01/51                              | FREDDIE MAC POOL UMBS P#SD0580 3.00000000                                                        | CUSIP: 3132DMUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10096474 | PA      | $9000386.23   | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0651 3% 09/01/50                              | FREDDIE MAC POOL UMBS P#SD0651 3.00000000                                                        | CUSIP: 3132DMWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862977 | PA      | $778004.34    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0700 2% 01/01/51                              | FREDDIE MAC POOL UMBS P#SD0700 2.00000000                                                        | CUSIP: 3132DMX59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1295644 | PA      | $1082034.65   | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0681 3% 09/01/51                              | FREDDIE MAC POOL UMBS P#SD0681 3.00000000                                                        | CUSIP: 3132DMXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8165710 | PA      | $7250284.35   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0748 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#SD0748 2.50000000                                                        | CUSIP: 3132DMZM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8806862 | PA      | $7604948.67   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1725 4% 10/01/52                              | FREDDIE MAC POOL UMBS P#SD1725 4.00000000                                                        | CUSIP: 3132DN4J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10656937 | PA      | $10170489.35  | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0922 2.5% 03/01/52                            | FREDDIE MAC POOL UMBS P#SD0922 2.50000000                                                        | CUSIP: 3132DNAX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2107188 | PA      | $1809523.44   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1068 3.5% 01/01/51                            | FREDDIE MAC POOL UMBS P#SD1068 3.50000000                                                        | CUSIP: 3132DNFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8918931 | PA      | $8373028.36   | 0.03%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1143 4.5% 09/01/50                            | FREDDIE MAC POOL UMBS P#SD1143 4.50000000                                                        | CUSIP: 3132DNHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3506873 | PA      | $3480178.01   | 0.01%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1216 3.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#SD1216 3.50000000                                                        | CUSIP: 3132DNK51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9136657 | PA      | $8467553.37   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1581 2.5% 09/01/52                            | FREDDIE MAC POOL UMBS P#SD1581 2.50000000                                                        | CUSIP: 3132DNXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1003662 | PA      | $854242.68    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3482 5.5% 07/01/53                            | FREDDIE MAC POOL UMBS P#SD3482 5.50000000                                                        | CUSIP: 3132DQ2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4485607 | PA      | $4598055.20   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3490 2% 03/01/52                              | FREDDIE MAC POOL UMBS P#SD3490 2.00000000                                                        | CUSIP: 3132DQ2X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10000457 | PA      | $8134211.12   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD2903 2% 03/01/51                              | FREDDIE MAC POOL UMBS P#SD2903 2.00000000                                                        | CUSIP: 3132DQGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17113308 | PA      | $13978473.53  | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3130 5.5% 06/01/53                            | FREDDIE MAC POOL UMBS P#SD3130 5.50000000                                                        | CUSIP: 3132DQPP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1657132 | PA      | $1687525.28   | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3431 5.5% 06/01/53                            | FREDDIE MAC POOL UMBS P#SD3431 5.50000000                                                        | CUSIP: 3132DQY42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10204206 | PA      | $10404148.16  | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD5044 6% 03/01/54                              | FREDDIE MAC POOL UMBS P#SD5044 6.00000000                                                        | CUSIP: 3132DSS94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6831505 | PA      | $7100777.23   | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD5654 5.5% 05/01/54                            | FREDDIE MAC POOL UMBS P#SD5654 5.50000000                                                        | CUSIP: 3132DTH78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4775517 | PA      | $4896216.76   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD6159 3% 06/01/52                              | FREDDIE MAC POOL UMBS P#SD6159 3.00000000                                                        | CUSIP: 3132DTZY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8099643 | PA      | $7210142.07   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD6338 6.5% 08/01/54                            | FREDDIE MAC POOL UMBS P#SD6338 6.50000000                                                        | CUSIP: 3132DUBF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6533748 | PA      | $6868094.34   | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7034 6% 12/01/54                              | FREDDIE MAC POOL UMBS P#SD7034 6.00000000                                                        | CUSIP: 3132DUY76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4981652 | PA      | $5124608.49   | 0.02%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7018 4.5% 03/01/54                            | FREDDIE MAC POOL UMBS P#SD7018 4.50000000                                                        | CUSIP: 3132DUYP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15853141 | PA      | $15635065.69  | 0.06%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8006 4% 08/01/49                              | FREDDIE MAC POOL UMBS P#SD8006 4.00000000                                                        | CUSIP: 3132DV3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3624465 | PA      | $3481957.89   | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8023 2.5% 11/01/49                            | FREDDIE MAC POOL UMBS P#SD8023 2.50000000                                                        | CUSIP: 3132DV4G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13011611 | PA      | $11136496.66  | 0.04%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8064 4% 05/01/50                              | FREDDIE MAC POOL UMBS P#SD8064 4.00000000                                                        | CUSIP: 3132DV5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    309261 | PA      | $296175.95    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8083 2.5% 08/01/50                            | FREDDIE MAC POOL UMBS P#SD8083 2.50000000                                                        | CUSIP: 3132DV6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    137460 | PA      | $117321.19    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8089 2.5% 07/01/50                            | FREDDIE MAC POOL UMBS P#SD8089 2.50000000                                                        | CUSIP: 3132DV7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13086222 | PA      | $11184642.00  | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8090 2% 09/01/50                              | FREDDIE MAC POOL UMBS P#SD8090 2.00000000                                                        | CUSIP: 3132DV7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25703136 | PA      | $20994840.33  | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7518 3% 06/01/50                              | FREDDIE MAC POOL UMBS P#SD7518 3.00000000                                                        | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6013252 | PA      | $5415105.07   | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7501 4% 07/01/49                              | FREDDIE MAC POOL UMBS P#SD7501 4.00000000                                                        | CUSIP: 3132DVKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7129079 | PA      | $6912576.18   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7548 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#SD7548 2.50000000                                                        | CUSIP: 3132DVL52<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10384231 | PA      | $8971235.89   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7525 2.5% 10/01/50                            | FREDDIE MAC POOL UMBS P#SD7525 2.50000000                                                        | CUSIP: 3132DVLE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10850049 | PA      | $9398367.95   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7534 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#SD7534 2.50000000                                                        | CUSIP: 3132DVLP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9866212 | PA      | $8552702.01   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7535 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#SD7535 2.50000000                                                        | CUSIP: 3132DVLQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3234509 | PA      | $2801159.34   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7541 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#SD7541 2.00000000                                                        | CUSIP: 3132DVLW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6753512 | PA      | $5580943.37   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7554 2.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#SD7554 2.50000000                                                        | CUSIP: 3132DVMB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4918121 | PA      | $4236640.13   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7561 4% 02/01/53                              | FREDDIE MAC POOL UMBS P#SD7561 4.00000000                                                        | CUSIP: 3132DVMJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12749942 | PA      | $12225792.88  | 0.05%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD7574 6% 09/01/54                              | FREDDIE MAC POOL UMBS P#SD7574 6.00000000                                                        | CUSIP: 3132DVMX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7565059 | PA      | $7876514.23   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8128 2% 02/01/51                              | FREDDIE MAC POOL UMBS P#SD8128 2.00000000                                                        | CUSIP: 3132DWA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16366061 | PA      | $13347691.20  | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8104 1.5% 11/01/50                            | FREDDIE MAC POOL UMBS P#SD8104 1.50000000                                                        | CUSIP: 3132DWAD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6486848 | PA      | $5005124.33   | 0.02%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8106 2% 11/01/50                              | FREDDIE MAC POOL UMBS P#SD8106 2.00000000                                                        | CUSIP: 3132DWAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8149598 | PA      | $6651675.57   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8107 2.5% 11/01/50                            | FREDDIE MAC POOL UMBS P#SD8107 2.50000000                                                        | CUSIP: 3132DWAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1732567 | PA      | $1478363.58   | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8113 2% 12/01/50                              | FREDDIE MAC POOL UMBS P#SD8113 2.00000000                                                        | CUSIP: 3132DWAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1324477 | PA      | $1080481.04   | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8114 2.5% 12/01/50                            | FREDDIE MAC POOL UMBS P#SD8114 2.50000000                                                        | CUSIP: 3132DWAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3455465 | PA      | $2950813.06   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8121 2% 01/01/51                              | FREDDIE MAC POOL UMBS P#SD8121 2.00000000                                                        | CUSIP: 3132DWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1869896 | PA      | $1526203.26   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8160 2% 08/01/51                              | FREDDIE MAC POOL UMBS P#SD8160 2.00000000                                                        | CUSIP: 3132DWB51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12480195 | PA      | $10147259.55  | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8133 1.5% 03/01/51                            | FREDDIE MAC POOL UMBS P#SD8133 1.50000000                                                        | CUSIP: 3132DWBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    988512 | PA      | $762901.79    | 0.00%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8141 2.5% 04/01/51                            | FREDDIE MAC POOL UMBS P#SD8141 2.50000000                                                        | CUSIP: 3132DWBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30506460 | PA      | $26013823.51  | 0.10%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8146 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#SD8146 2.00000000                                                        | CUSIP: 3132DWBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6207540 | PA      | $5061689.14   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8150 2% 06/01/51                              | FREDDIE MAC POOL UMBS P#SD8150 2.00000000                                                        | CUSIP: 3132DWBT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5292028 | PA      | $4306103.75   | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8155 2% 07/01/51                              | FREDDIE MAC POOL UMBS P#SD8155 2.00000000                                                        | CUSIP: 3132DWBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    949246 | PA      | $772098.88    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8193 2% 02/01/52                              | FREDDIE MAC POOL UMBS P#SD8193 2.00000000                                                        | CUSIP: 3132DWC68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3892566 | PA      | $3157017.95   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8194 2.5% 02/01/52                            | FREDDIE MAC POOL UMBS P#SD8194 2.50000000                                                        | CUSIP: 3132DWC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5450691 | PA      | $4635861.89   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8166 2% 09/01/51                              | FREDDIE MAC POOL UMBS P#SD8166 2.00000000                                                        | CUSIP: 3132DWCB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4382247 | PA      | $3560337.57   | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8183 2.5% 12/01/51                            | FREDDIE MAC POOL UMBS P#SD8183 2.50000000                                                        | CUSIP: 3132DWCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4910713 | PA      | $4181185.11   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8221 3.5% 06/01/52                            | FREDDIE MAC POOL UMBS P#SD8221 3.50000000                                                        | CUSIP: 3132DWD26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8063401 | PA      | $7472895.18   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8222 4% 06/01/52                              | FREDDIE MAC POOL UMBS P#SD8222 4.00000000                                                        | CUSIP: 3132DWD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23282483 | PA      | $22219765.67  | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8225 3% 07/01/52                              | FREDDIE MAC POOL UMBS P#SD8225 3.00000000                                                        | CUSIP: 3132DWD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5312455 | PA      | $4707503.91   | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8205 2.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#SD8205 2.50000000                                                        | CUSIP: 3132DWDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14569240 | PA      | $12386614.35  | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8211 2% 05/01/52                              | FREDDIE MAC POOL UMBS P#SD8211 2.00000000                                                        | CUSIP: 3132DWDQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14346961 | PA      | $11629160.92  | 0.05%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8212 2.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD8212 2.50000000                                                        | CUSIP: 3132DWDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19483325 | PA      | $16558691.56  | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8214 3.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD8214 3.50000000                                                        | CUSIP: 3132DWDT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11033654 | PA      | $10225627.88  | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8220 3% 06/01/52                              | FREDDIE MAC POOL UMBS P#SD8220 3.00000000                                                        | CUSIP: 3132DWDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11401048 | PA      | $10102735.77  | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8255 3.5% 10/01/52                            | FREDDIE MAC POOL UMBS P#SD8255 3.50000000                                                        | CUSIP: 3132DWE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6452006 | PA      | $5979507.15   | 0.02%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8229 4.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD8229 4.50000000                                                        | CUSIP: 3132DWEA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    717290 | PA      | $702532.42    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8231 4.5% 07/01/52                            | FREDDIE MAC POOL UMBS P#SD8231 4.50000000                                                        | CUSIP: 3132DWEC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    815035 | PA      | $798992.43    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8236 3.5% 08/01/52                            | FREDDIE MAC POOL UMBS P#SD8236 3.50000000                                                        | CUSIP: 3132DWEH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9635667 | PA      | $8930018.98   | 0.04%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8237 4% 08/01/52                              | FREDDIE MAC POOL UMBS P#SD8237 4.00000000                                                        | CUSIP: 3132DWEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4038005 | PA      | $3853686.04   | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8244 4% 09/01/52                              | FREDDIE MAC POOL UMBS P#SD8244 4.00000000                                                        | CUSIP: 3132DWER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12695946 | PA      | $12116420.97  | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8245 4.5% 09/01/52                            | FREDDIE MAC POOL UMBS P#SD8245 4.50000000                                                        | CUSIP: 3132DWES8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19982409 | PA      | $19599385.84  | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8268 5.5% 11/01/52                            | FREDDIE MAC POOL UMBS P#SD8268 5.50000000                                                        | CUSIP: 3132DWFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8846754 | PA      | $9016369.09   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8273 3.5% 11/01/52                            | FREDDIE MAC POOL UMBS P#SD8273 3.50000000                                                        | CUSIP: 3132DWFN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2039586 | PA      | $1890221.27   | 0.01%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8276 5% 12/01/52                              | FREDDIE MAC POOL UMBS P#SD8276 5.00000000                                                        | CUSIP: 3132DWFR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  35048883 | PA      | $35099202.35  | 0.14%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8278 6% 12/01/52                              | FREDDIE MAC POOL UMBS P#SD8278 6.00000000                                                        | CUSIP: 3132DWFT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3537343 | PA      | $3646751.79   | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8323 5% 05/01/53                              | FREDDIE MAC POOL UMBS P#SD8323 5.00000000                                                        | CUSIP: 3132DWG80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    649393 | PA      | $650192.00    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8324 5.5% 05/01/53                            | FREDDIE MAC POOL UMBS P#SD8324 5.50000000                                                        | CUSIP: 3132DWG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15394368 | PA      | $15662071.97  | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8300 5.5% 02/01/53                            | FREDDIE MAC POOL UMBS P#SD8300 5.50000000                                                        | CUSIP: 3132DWGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25364106 | PA      | $25816222.80  | 0.10%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8329 5% 06/01/53                              | FREDDIE MAC POOL UMBS P#SD8329 5.00000000                                                        | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10502088 | PA      | $10512298.23  | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8331 5.5% 06/01/53                            | FREDDIE MAC POOL UMBS P#SD8331 5.50000000                                                        | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21115121 | PA      | $21467750.90  | 0.09%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8371 5% 11/01/53                              | FREDDIE MAC POOL UMBS P#SD8371 5.00000000                                                        | CUSIP: 3132DWJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6886616 | PA      | $6895087.18   | 0.03%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8420 5.5% 04/01/54                            | FREDDIE MAC POOL UMBS P#SD8420 5.50000000                                                        | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17371181 | PA      | $17628584.33  | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8468 5% 10/01/54                              | FREDDIE MAC POOL UMBS P#SD8468 5.00000000                                                        | CUSIP: 3132DWMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2519762 | PA      | $2513506.12   | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3812 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#SD3812 2.50000000                                                        | CUSIP: 3132E0GV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    728066 | PA      | $621803.23    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3860 6.5% 09/01/53                            | FREDDIE MAC POOL UMBS P#SD3860 6.50000000                                                        | CUSIP: 3132E0JD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4385590 | PA      | $4612189.75   | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3873 2.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#SD3873 2.50000000                                                        | CUSIP: 3132E0JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7771989 | PA      | $6607014.35   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD3906 6% 10/01/53                              | FREDDIE MAC POOL UMBS P#SD3906 6.00000000                                                        | CUSIP: 3132E0KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4760427 | PA      | $4941799.49   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Z40045 5% 02/01/39                             | FREDDIE MAC GOLD POOL P#Z40045 5.00000000                                                        | CUSIP: 3132FCBN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133630 | PA      | $137573.24    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80192 3.5% 02/01/33                           | FREDDIE MAC GOLD POOL P#U80192 3.50000000                                                        | CUSIP: 3132G7F91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73687 | PA      | $72070.15     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80345 3.5% 05/01/33                           | FREDDIE MAC GOLD POOL P#U80345 3.50000000                                                        | CUSIP: 3132G7L29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    199279 | PA      | $196045.32    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U80342 3.5% 05/01/33                           | FREDDIE MAC GOLD POOL P#U80342 3.50000000                                                        | CUSIP: 3132G7LX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33149 | PA      | $32518.85     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q01304 5% 06/01/41                             | FREDDIE MAC GOLD POOL P#Q01304 5.00000000                                                        | CUSIP: 3132GENV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    172183 | PA      | $177270.71    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q04097 4% 10/01/41                             | FREDDIE MAC GOLD POOL P#Q04097 4.00000000                                                        | CUSIP: 3132GKGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1154591 | PA      | $1130516.36   | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q04592 4% 11/01/41                             | FREDDIE MAC GOLD POOL P#Q04592 4.00000000                                                        | CUSIP: 3132GKXV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3758 | PA      | $3679.24      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q05426 4% 01/01/42                             | FREDDIE MAC GOLD POOL P#Q05426 4.00000000                                                        | CUSIP: 3132GLVT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46429 | PA      | $45461.32     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q08998 3.5% 06/01/42                           | FREDDIE MAC GOLD POOL P#Q08998 3.50000000                                                        | CUSIP: 3132GUKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115854 | PA      | $111236.10    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90402 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#U90402 3.50000000                                                        | CUSIP: 3132H3NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     65167 | PA      | $61969.05     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90673 4% 01/01/43                             | FREDDIE MAC GOLD POOL P#U90673 4.00000000                                                        | CUSIP: 3132H3XA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76327 | PA      | $74388.54     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90690 3.5% 06/01/42                           | FREDDIE MAC GOLD POOL P#U90690 3.50000000                                                        | CUSIP: 3132H3XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    752287 | PA      | $715319.45    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U90975 4% 06/01/42                             | FREDDIE MAC GOLD POOL P#U90975 4.00000000                                                        | CUSIP: 3132H4CL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    549047 | PA      | $535222.25    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U99051 3.5% 06/01/43                           | FREDDIE MAC GOLD POOL P#U99051 3.50000000                                                        | CUSIP: 3132H7BV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    233772 | PA      | $222284.87    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U99134 4% 01/01/46                             | FREDDIE MAC GOLD POOL P#U99134 4.00000000                                                        | CUSIP: 3132H7EG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1346794 | PA      | $1309531.54   | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#U91488 3.5% 05/01/43                           | FREDDIE MAC GOLD POOL P#U91488 3.50000000                                                        | CUSIP: 3132HBRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     91587 | PA      | $87085.27     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10378 3% 08/01/42                             | FREDDIE MAC GOLD POOL P#Q10378 3.00000000                                                        | CUSIP: 3132HLM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    526006 | PA      | $487129.25    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10434 3.5% 08/01/42                           | FREDDIE MAC GOLD POOL P#Q10434 3.50000000                                                        | CUSIP: 3132HLPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    169685 | PA      | $162081.22    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q10960 3.5% 09/01/42                           | FREDDIE MAC GOLD POOL P#Q10960 3.50000000                                                        | CUSIP: 3132HMB59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1104831 | PA      | $1060107.16   | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q11218 3.5% 09/01/42                           | FREDDIE MAC GOLD POOL P#Q11218 3.50000000                                                        | CUSIP: 3132HMK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1575911 | PA      | $1506267.76   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q12050 3.5% 10/01/42                           | FREDDIE MAC GOLD POOL P#Q12050 3.50000000                                                        | CUSIP: 3132HNH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3927242 | PA      | $3756111.82   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q12052 3.5% 10/01/42                           | FREDDIE MAC GOLD POOL P#Q12052 3.50000000                                                        | CUSIP: 3132HNH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    785129 | PA      | $749944.08    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q13205 3% 11/01/42                             | FREDDIE MAC GOLD POOL P#Q13205 3.00000000                                                        | CUSIP: 3132HPR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2348611 | PA      | $2174900.45   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q13237 3.5% 11/01/42                           | FREDDIE MAC GOLD POOL P#Q13237 3.50000000                                                        | CUSIP: 3132HPS21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    941058 | PA      | $898887.63    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHS 299 300 3% 01/15/43                                | FREDDIE MAC STRIPS SER 299 CL 300 3.00000000                                                     | CUSIP: 3132HTJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87189 | PA      | $80583.00     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHS 310 PO ZCP 09/15/43                                | FREDDIE MAC STRIPS SER 310 CL PO ZCP 0.00000000                                                  | CUSIP: 3132HTSS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    296062 | PA      | $230314.60    | 0.00%             | 2043-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G30974 3.5% 01/01/34                           | FREDDIE MAC GOLD POOL P#G30974 3.50000000                                                        | CUSIP: 3132J4JU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1609877 | PA      | $1586345.83   | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q17665 3% 04/01/43                             | FREDDIE MAC GOLD POOL P#Q17665 3.00000000                                                        | CUSIP: 3132J86B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31333 | PA      | $28998.95     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q19476 3.5% 06/01/43                           | FREDDIE MAC GOLD POOL P#Q19476 3.50000000                                                        | CUSIP: 3132JA6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    472896 | PA      | $451311.70    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q19316 3% 06/01/43                             | FREDDIE MAC GOLD POOL P#Q19316 3.00000000                                                        | CUSIP: 3132JAYN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12249 | PA      | $11331.58     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20856 3% 08/01/43                             | FREDDIE MAC GOLD POOL P#Q20856 3.00000000                                                        | CUSIP: 3132JM5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    193688 | PA      | $179139.77    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20067 3% 07/01/43                             | FREDDIE MAC GOLD POOL P#Q20067 3.00000000                                                        | CUSIP: 3132JMCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     92983 | PA      | $85999.31     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q20356 3% 07/01/43                             | FREDDIE MAC GOLD POOL P#Q20356 3.00000000                                                        | CUSIP: 3132JMMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9198 | PA      | $8507.41      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q22043 3.5% 10/01/43                           | FREDDIE MAC GOLD POOL P#Q22043 3.50000000                                                        | CUSIP: 3132JPHU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63872 | PA      | $60824.64     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60869 2.5% 07/01/30                           | FREDDIE MAC GOLD POOL P#V60869 2.50000000                                                        | CUSIP: 3132KE6E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    653747 | PA      | $637764.95    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60283 3% 09/01/28                             | FREDDIE MAC GOLD POOL P#V60283 3.00000000                                                        | CUSIP: 3132KEJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393423 | PA      | $389375.74    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V60745 2.5% 03/01/30                           | FREDDIE MAC GOLD POOL P#V60745 2.50000000                                                        | CUSIP: 3132KEZJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    228946 | PA      | $223547.58    | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V80614 4% 11/01/43                             | FREDDIE MAC GOLD POOL P#V80614 4.00000000                                                        | CUSIP: 3132L5VF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22589 | PA      | $22061.74     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#V81992 4% 10/01/45                             | FREDDIE MAC GOLD POOL P#V81992 4.00000000                                                        | CUSIP: 3132L7F95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1883061 | PA      | $1824550.02   | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q23740 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#Q23740 4.00000000                                                        | CUSIP: 3132M3ZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63692 | PA      | $62205.46     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q24028 4% 01/01/44                             | FREDDIE MAC GOLD POOL P#Q24028 4.00000000                                                        | CUSIP: 3132M4D93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45657 | PA      | $44648.07     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q24029 4% 12/01/43                             | FREDDIE MAC GOLD POOL P#Q24029 4.00000000                                                        | CUSIP: 3132M4EA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144733 | PA      | $140356.87    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q26744 4.5% 07/01/44                           | FREDDIE MAC GOLD POOL P#Q26744 4.50000000                                                        | CUSIP: 3132M7ER5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20269 | PA      | $20029.47     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33507 3% 05/01/45                             | FREDDIE MAC GOLD POOL P#Q33507 3.00000000                                                        | CUSIP: 3132QP3R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    796515 | PA      | $730993.51    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33447 3% 05/01/45                             | FREDDIE MAC GOLD POOL P#Q33447 3.00000000                                                        | CUSIP: 3132QPZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    394851 | PA      | $364255.74    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33791 3.5% 06/01/45                           | FREDDIE MAC GOLD POOL P#Q33791 3.50000000                                                        | CUSIP: 3132QQF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    419834 | PA      | $399794.98    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33871 3% 06/01/45                             | FREDDIE MAC GOLD POOL P#Q33871 3.00000000                                                        | CUSIP: 3132QQJR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    211897 | PA      | $195387.83    | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q40375 3.5% 05/01/46                           | FREDDIE MAC GOLD POOL P#Q40375 3.50000000                                                        | CUSIP: 3132WDMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    745153 | PA      | $705730.76    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q42018 3.5% 07/01/46                           | FREDDIE MAC GOLD POOL P#Q42018 3.50000000                                                        | CUSIP: 3132WFG45<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1365822 | PA      | $1291514.73   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q43413 3% 10/01/46                             | FREDDIE MAC GOLD POOL P#Q43413 3.00000000                                                        | CUSIP: 3132WGYK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2611598 | PA      | $2373429.01   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q44963 3.5% 12/01/46                           | FREDDIE MAC GOLD POOL P#Q44963 3.50000000                                                        | CUSIP: 3132WJQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2415069 | PA      | $2284753.89   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q45458 4% 08/01/46                             | FREDDIE MAC GOLD POOL P#Q45458 4.00000000                                                        | CUSIP: 3132WKB49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    798833 | PA      | $771293.07    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q49329 4.5% 07/01/47                           | FREDDIE MAC GOLD POOL P#Q49329 4.50000000                                                        | CUSIP: 3132WPLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    319968 | PA      | $318470.11    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q49494 4.5% 07/01/47                           | FREDDIE MAC GOLD POOL P#Q49494 4.50000000                                                        | CUSIP: 3132WPRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    382928 | PA      | $380780.58    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67710 3.5% 03/01/48                           | FREDDIE MAC GOLD POOL P#G67710 3.50000000                                                        | CUSIP: 3132XCR72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1596608 | PA      | $1505162.82   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67700 3.5% 08/01/46                           | FREDDIE MAC GOLD POOL P#G67700 3.50000000                                                        | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2502840 | PA      | $2367662.52   | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67701 3% 10/01/46                             | FREDDIE MAC GOLD POOL P#G67701 3.00000000                                                        | CUSIP: 3132XCRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7796574 | PA      | $7185643.61   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G67702 4% 01/01/47                             | FREDDIE MAC GOLD POOL P#G67702 4.00000000                                                        | CUSIP: 3132XCRX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4207274 | PA      | $4083040.10   | 0.02%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN1157 1.8% 11/01/28                            | FREDDIE MAC POOL UMBS P#WN1157 1.80000000                                                        | CUSIP: 3132XFJB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14000000 | PA      | $13227574.22  | 0.05%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN2203 3.75% 08/01/32                           | FREDDIE MAC POOL UMBS P#WN2203 3.75000000                                                        | CUSIP: 3132XGNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15000000 | PA      | $14444224.65  | 0.06%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN2725 4.1% 07/01/32                            | FREDDIE MAC POOL UMBS P#WN2725 4.10000000                                                        | CUSIP: 3132XHA38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7044000 | PA      | $6960630.32   | 0.03%             | 2032-07-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UMBS P#WN3223 3.7% 06/01/34                            | FREDDIE MAC POOL UMBS P#WN3223 3.70000000                                                        | CUSIP: 3132XHSM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10885987 | PA      | $10317404.89  | 0.04%             | 2034-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q51555 3.5% 10/01/47                           | FREDDIE MAC GOLD POOL P#Q51555 3.50000000                                                        | CUSIP: 3132XTWR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2208268 | PA      | $2084727.57   | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60774 3% 10/01/45                             | FREDDIE MAC GOLD POOL P#G60774 3.00000000                                                        | CUSIP: 31335A2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1570499 | PA      | $1453053.99   | 0.01%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60037 3% 10/01/43                             | FREDDIE MAC GOLD POOL P#G60037 3.00000000                                                        | CUSIP: 31335ABE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5326748 | PA      | $4971197.54   | 0.02%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60039 3% 04/01/43                             | FREDDIE MAC GOLD POOL P#G60039 3.00000000                                                        | CUSIP: 31335ABG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4813222 | PA      | $4455231.72   | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60065 4% 09/01/43                             | FREDDIE MAC GOLD POOL P#G60065 4.00000000                                                        | CUSIP: 31335ACA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2003743 | PA      | $1970135.81   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60393 3.5% 01/01/46                           | FREDDIE MAC GOLD POOL P#G60393 3.50000000                                                        | CUSIP: 31335ANJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2660584 | PA      | $2528358.69   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60651 4% 06/01/46                             | FREDDIE MAC GOLD POOL P#G60651 4.00000000                                                        | CUSIP: 31335AWL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3031498 | PA      | $2937930.95   | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60994 3.5% 01/01/45                           | FREDDIE MAC GOLD POOL P#G60994 3.50000000                                                        | CUSIP: 31335BC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4576189 | PA      | $4370608.43   | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60988 3% 05/01/47                             | FREDDIE MAC GOLD POOL P#G60988 3.00000000                                                        | CUSIP: 31335BCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5586093 | PA      | $5090195.46   | 0.02%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61225 4.5% 12/01/43                           | FREDDIE MAC GOLD POOL P#G61225 4.50000000                                                        | CUSIP: 31335BLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1861533 | PA      | $1878094.50   | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61502 5% 02/01/48                             | FREDDIE MAC GOLD POOL P#G61502 5.00000000                                                        | CUSIP: 31335BU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    463344 | PA      | $471612.11    | 0.00%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61657 5% 12/01/47                             | FREDDIE MAC GOLD POOL P#G61657 5.00000000                                                        | CUSIP: 31335BZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    952960 | PA      | $962432.60    | 0.00%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G61849 4.5% 11/01/46                           | FREDDIE MAC GOLD POOL P#G61849 4.50000000                                                        | CUSIP: 31335CBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3702578 | PA      | $3730192.06   | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 2332 ZH 7% 07/15/31                                | FREDDIE MAC REMICS SER 2332 CL ZH 7.00000000                                                     | CUSIP: 313398L98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6440 | PA      | $6733.85      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2344 ZD 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2344 CL ZD 6.50000000                                                     | CUSIP: 313399C47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35193 | PA      | $36758.94     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2344 ZJ 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2344 CL ZJ 6.50000000                                                     | CUSIP: 313399C70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5942 | PA      | $6224.45      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2351 PZ 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2351 CL PZ 6.50000000                                                     | CUSIP: 313399HV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3314 | PA      | $3428.05      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2345 NE 6.5% 08/15/31                              | FREDDIE MAC REMICS SER 2345 CL NE 6.50000000                                                     | CUSIP: 313399SN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4314 | PA      | $4519.91      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2418 FO V/R 02/15/32                               | FREDDIE MAC REMICS SER 2418 CL FO V/R 4.99833000                                                 | CUSIP: 31339D2Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4426 | PA      | $4444.53      | 0.00%             | 2032-02-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2420 XK 6.5% 02/15/32                              | FREDDIE MAC REMICS SER 2420 CL XK 6.50000000                                                     | CUSIP: 31339DMW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8604 | PA      | $8962.47      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2412 SP V/R 02/15/32                               | FREDDIE MAC REMICS SER 2412 CL SP V/R 7.90334000                                                 | CUSIP: 31339DW95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9190 | PA      | $10006.68     | 0.00%             | 2032-02-15      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| FHR 2367 ME 6.5% 10/15/31                              | FREDDIE MAC REMICS SER 2367 CL ME 6.50000000                                                     | CUSIP: 31339GK42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4549 | PA      | $4765.62      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2388 FB V/R 01/15/29                               | FREDDIE MAC REMICS SER 2388 CL FB V/R 4.69833000                                                 | CUSIP: 31339M2J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1779 | PA      | $1780.68      | 0.00%             | 2029-01-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHR 2399 OH 6.5% 01/15/32                              | FREDDIE MAC REMICS SER 2399 CL OH 6.50000000                                                     | CUSIP: 31339MTG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4674 | PA      | $4866.21      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2399 TH 6.5% 01/15/32                              | FREDDIE MAC REMICS SER 2399 CL TH 6.50000000                                                     | CUSIP: 31339MWA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6027 | PA      | $6320.21      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2410 QX V/R 02/15/32                               | FREDDIE MAC REMICS SER 2410 CL QX V/R 4.55167000                                                 | CUSIP: 31339NHV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2558 | PA      | $201.76       | 0.00%             | 2032-02-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHR 2410 QS V/R 02/15/32                               | FREDDIE MAC REMICS SER 2410 CL QS V/R 8.84434200                                                 | CUSIP: 31339NJ23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9146 | PA      | $9871.56      | 0.00%             | 2032-02-15      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| FHR 2410 NG 6.5% 02/15/32                              | FREDDIE MAC REMICS SER 2410 CL NG 6.50000000                                                     | CUSIP: 31339NLX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6451 | PA      | $6757.02      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2430 WF 6.5% 03/15/32                              | FREDDIE MAC REMICS SER 2430 CL WF 6.50000000                                                     | CUSIP: 31339NW36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10532 | PA      | $11067.69     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA3534 3.5% 10/01/49                            | FREDDIE MAC POOL UMBS P#QA3534 3.50000000                                                        | CUSIP: 31339S4T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    879299 | PA      | $821747.37    | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA3660 3% 10/01/49                              | FREDDIE MAC POOL UMBS P#QA3660 3.00000000                                                        | CUSIP: 31339UB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1190804 | PA      | $1072245.32   | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2423 TB 6.5% 03/15/32                              | FREDDIE MAC REMICS SER 2423 CL TB 6.50000000                                                     | CUSIP: 31339WBH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5726 | PA      | $5941.30      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2423 MC 7% 03/15/32                                | FREDDIE MAC REMICS SER 2423 CL MC 7.00000000                                                     | CUSIP: 31339WBV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5833 | PA      | $6105.24      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2423 MT 7% 03/15/32                                | FREDDIE MAC REMICS SER 2423 CL MT 7.00000000                                                     | CUSIP: 31339WCD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6728 | PA      | $7076.50      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7075 3% 02/01/50                              | FREDDIE MAC POOL UMBS P#QA7075 3.00000000                                                        | CUSIP: 3133A12G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5867777 | PA      | $5288660.06   | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6370 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6370 3.00000000                                                        | CUSIP: 3133A1CF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1163292 | PA      | $1046979.84   | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6518 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6518 3.00000000                                                        | CUSIP: 3133A1G30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    759139 | PA      | $684155.55    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6505 3% 01/01/50                              | FREDDIE MAC POOL UMBS P#QA6505 3.00000000                                                        | CUSIP: 3133A1GN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1761044 | PA      | $1584968.08   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7234 3% 02/01/50                              | FREDDIE MAC POOL UMBS P#QA7234 3.00000000                                                        | CUSIP: 3133A2BB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8451050 | PA      | $7563294.25   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7250 3% 02/01/50                              | FREDDIE MAC POOL UMBS P#QA7250 3.00000000                                                        | CUSIP: 3133A2BT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    170187 | PA      | $153816.02    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB1397 2.5% 07/01/50                            | FREDDIE MAC POOL UMBS P#QB1397 2.50000000                                                        | CUSIP: 3133A7RS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18172079 | PA      | $15398464.17  | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB4045 2.5% 10/01/50                            | FREDDIE MAC POOL UMBS P#QB4045 2.50000000                                                        | CUSIP: 3133AAP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5088037 | PA      | $4388728.69   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB9667 3% 03/01/51                              | FREDDIE MAC POOL UMBS P#QB9667 3.00000000                                                        | CUSIP: 3133AGW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1503887 | PA      | $1354321.55   | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC0039 2.5% 03/01/51                            | FREDDIE MAC POOL UMBS P#QC0039 2.50000000                                                        | CUSIP: 3133AJBG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    516138 | PA      | $442617.99    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC5978 2.5% 08/01/51                            | FREDDIE MAC POOL UMBS P#QC5978 2.50000000                                                        | CUSIP: 3133AQUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5706417 | PA      | $4901577.44   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD2299 2.5% 12/01/51                            | FREDDIE MAC POOL UMBS P#QD2299 2.50000000                                                        | CUSIP: 3133AYRU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    986572 | PA      | $849393.12    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD3165 2% 12/01/51                              | FREDDIE MAC POOL UMBS P#QD3165 2.00000000                                                        | CUSIP: 3133B0QS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1365314 | PA      | $1120051.55   | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD3216 2.5% 12/01/51                            | FREDDIE MAC POOL UMBS P#QD3216 2.50000000                                                        | CUSIP: 3133B0SD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438637 | PA      | $375738.97    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD6543 2.5% 02/01/52                            | FREDDIE MAC POOL UMBS P#QD6543 2.50000000                                                        | CUSIP: 3133B4HU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5696412 | PA      | $4879550.81   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE1087 3.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#QE1087 3.50000000                                                        | CUSIP: 3133BAF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24792316 | PA      | $23148595.53  | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QJ4522 6% 09/01/54                              | FREDDIE MAC POOL UMBS P#QJ4522 6.00000000                                                        | CUSIP: 3133CVAX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2308718 | PA      | $2428697.80   | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FFCB 1.42% 08/19/32                                    | FEDERAL FARM CREDIT BANKS FUNDING CORP 1.42000000                                                | CUSIP: 3133EL4L5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3000000 | PA      | $2531227.77   | 0.01%             | 2032-08-19      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA2457 3% 04/01/50                              | FREDDIE MAC POOL UMBS P#RA2457 3.00000000                                                        | CUSIP: 3133KHWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1319213 | PA      | $1188675.34   | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3078 3% 07/01/50                              | FREDDIE MAC POOL UMBS P#RA3078 3.00000000                                                        | CUSIP: 3133KJM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3904709 | PA      | $3518314.29   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA4375 2.5% 02/01/51                            | FREDDIE MAC POOL UMBS P#RA4375 2.50000000                                                        | CUSIP: 3133KK2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9724411 | PA      | $8404248.90   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3607 3% 09/01/50                              | FREDDIE MAC POOL UMBS P#RA3607 3.00000000                                                        | CUSIP: 3133KKAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37136 | PA      | $33461.02     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5276 2.5% 05/01/51                            | FREDDIE MAC POOL UMBS P#RA5276 2.50000000                                                        | CUSIP: 3133KL2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7021014 | PA      | $6017835.42   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA4515 4% 02/01/51                              | FREDDIE MAC POOL UMBS P#RA4515 4.00000000                                                        | CUSIP: 3133KLAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2566618 | PA      | $2454754.03   | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5257 2% 05/01/51                              | FREDDIE MAC POOL UMBS P#RA5257 2.00000000                                                        | CUSIP: 3133KLZW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11167008 | PA      | $9082990.30   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5478 2.5% 07/01/51                            | FREDDIE MAC POOL UMBS P#RA5478 2.50000000                                                        | CUSIP: 3133KMCP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5094879 | PA      | $4392453.04   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5680 2% 08/01/51                              | FREDDIE MAC POOL UMBS P#RA5680 2.00000000                                                        | CUSIP: 3133KMJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3254718 | PA      | $2642281.06   | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA5921 2.5% 09/01/51                            | FREDDIE MAC POOL UMBS P#RA5921 2.50000000                                                        | CUSIP: 3133KMSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3181403 | PA      | $2736124.29   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6132 2.5% 10/01/51                            | FREDDIE MAC POOL UMBS P#RA6132 2.50000000                                                        | CUSIP: 3133KMY58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8131884 | PA      | $6925101.59   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7135 2.5% 04/01/52                            | FREDDIE MAC POOL UMBS P#RA7135 2.50000000                                                        | CUSIP: 3133KN4U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10410879 | PA      | $8900402.24   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6333 2% 11/01/51                              | FREDDIE MAC POOL UMBS P#RA6333 2.00000000                                                        | CUSIP: 3133KNBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12419986 | PA      | $10044705.42  | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6338 2.5% 11/01/51                            | FREDDIE MAC POOL UMBS P#RA6338 2.50000000                                                        | CUSIP: 3133KNBF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13786465 | PA      | $11848862.49  | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6509 2% 12/01/51                              | FREDDIE MAC POOL UMBS P#RA6509 2.00000000                                                        | CUSIP: 3133KNGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5443520 | PA      | $4470975.03   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6586 3.5% 01/01/52                            | FREDDIE MAC POOL UMBS P#RA6586 3.50000000                                                        | CUSIP: 3133KNJ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12668687 | PA      | $11747657.04  | 0.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6702 3% 02/01/52                              | FREDDIE MAC POOL UMBS P#RA6702 3.00000000                                                        | CUSIP: 3133KNNT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8756884 | PA      | $7750937.90   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7402 3.5% 05/01/52                            | FREDDIE MAC POOL UMBS P#RA7402 3.50000000                                                        | CUSIP: 3133KPGK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9245022 | PA      | $8594531.97   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7485 4% 06/01/52                              | FREDDIE MAC POOL UMBS P#RA7485 4.00000000                                                        | CUSIP: 3133KPJ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10181394 | PA      | $9715068.41   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7618 5% 07/01/52                              | FREDDIE MAC POOL UMBS P#RA7618 5.00000000                                                        | CUSIP: 3133KPPB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3546402 | PA      | $3554062.89   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7921 4% 09/01/52                              | FREDDIE MAC POOL UMBS P#RA7921 4.00000000                                                        | CUSIP: 3133KPYS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    288194 | PA      | $275974.76    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA8424 6% 01/01/53                              | FREDDIE MAC POOL UMBS P#RA8424 6.00000000                                                        | CUSIP: 3133KQLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7701033 | PA      | $7947403.85   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA9307 5.5% 06/01/53                            | FREDDIE MAC POOL UMBS P#RA9307 5.50000000                                                        | CUSIP: 3133KRKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6817697 | PA      | $6955142.11   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB0691 2% 12/01/41                              | FREDDIE MAC POOL UMBS P#RB0691 2.00000000                                                        | CUSIP: 3133KTXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7112447 | PA      | $6190836.69   | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5064 2% 06/01/40                              | FREDDIE MAC POOL UMBS P#RB5064 2.00000000                                                        | CUSIP: 3133KYTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1133901 | PA      | $1008659.47   | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5105 2% 03/01/41                              | FREDDIE MAC POOL UMBS P#RB5105 2.00000000                                                        | CUSIP: 3133KYU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13205145 | PA      | $11527828.52  | 0.05%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5108 2% 04/01/41                              | FREDDIE MAC POOL UMBS P#RB5108 2.00000000                                                        | CUSIP: 3133KYU98<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6478463 | PA      | $5677955.82   | 0.02%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5089 1.5% 12/01/40                            | FREDDIE MAC POOL UMBS P#RB5089 1.50000000                                                        | CUSIP: 3133KYUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9593195 | PA      | $8205793.45   | 0.03%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5100 2% 02/01/41                              | FREDDIE MAC POOL UMBS P#RB5100 2.00000000                                                        | CUSIP: 3133KYUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9613145 | PA      | $8502746.38   | 0.03%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5138 2% 12/01/41                              | FREDDIE MAC POOL UMBS P#RB5138 2.00000000                                                        | CUSIP: 3133KYV71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14255694 | PA      | $12390782.15  | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5125 2% 09/01/41                              | FREDDIE MAC POOL UMBS P#RB5125 2.00000000                                                        | CUSIP: 3133KYVS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9335531 | PA      | $8143255.92   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5148 2% 03/01/42                              | FREDDIE MAC POOL UMBS P#RB5148 2.00000000                                                        | CUSIP: 3133KYWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9897317 | PA      | $8590185.76   | 0.03%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RC2104 2% 07/01/36                              | FREDDIE MAC POOL UMBS P#RC2104 2.00000000                                                        | CUSIP: 3133L8KR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4341542 | PA      | $4019539.18   | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RC2401 2% 01/01/37                              | FREDDIE MAC POOL UMBS P#RC2401 2.00000000                                                        | CUSIP: 3133L8U29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    652553 | PA      | $604826.75    | 0.00%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RD5070 1.5% 10/01/31                            | FREDDIE MAC POOL UMBS P#RD5070 1.50000000                                                        | CUSIP: 3133LPT31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5654205 | PA      | $5342506.82   | 0.02%             | 2031-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHR 1829 ZB 6.5% 03/15/26                              | FREDDIE MAC REMICS SER 1829 CL ZB 6.50000000                                                     | CUSIP: 3133T6J36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         0 | PA      | $0.18         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 1890 H 7.5% 09/15/26                               | FREDDIE MAC REMICS SER 1890 CL H 7.50000000                                                      | CUSIP: 3133T85L7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        25 | PA      | $25.31        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 1899 ZE 8% 09/15/26                                | FREDDIE MAC REMICS SER 1899 CL ZE 8.00000000                                                     | CUSIP: 3133T86T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       284 | PA      | $286.19       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 1927 PH 7.5% 01/15/27                              | FREDDIE MAC REMICS SER 1927 CL PH 7.50000000                                                     | CUSIP: 3133T8TQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       727 | PA      | $734.06       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 1927 ZA 6.5% 01/15/27                              | FREDDIE MAC REMICS SER 1927 CL ZA 6.50000000                                                     | CUSIP: 3133T8U70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        93 | PA      | $92.90        | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 1935 FL V/R 02/15/27                               | FREDDIE MAC REMICS SER 1935 CL FL V/R 4.79833000                                                 | CUSIP: 3133T8Z83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        14 | PA      | $14.00        | 0.00%             | 2027-02-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHR 1963 Z 7.5% 01/15/27                               | FREDDIE MAC REMICS SER 1963 CL Z 7.50000000                                                      | CUSIP: 3133TAA28<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       263 | PA      | $264.81       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 1970 PG 7.25% 07/15/27                             | FREDDIE MAC REMICS SER 1970 CL PG 7.25000000                                                     | CUSIP: 3133TAK43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        73 | PA      | $74.11        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHR 1981 Z 6% 05/15/27                                 | FREDDIE MAC REMICS SER 1981 CL Z 6.00000000                                                      | CUSIP: 3133TAUE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       142 | PA      | $142.45       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 1987 PE 7.5% 09/15/27                              | FREDDIE MAC REMICS SER 1987 CL PE 7.50000000                                                     | CUSIP: 3133TBEZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       641 | PA      | $647.66       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2019 Z 6.5% 12/15/27                               | FREDDIE MAC REMICS SER 2019 CL Z 6.50000000                                                      | CUSIP: 3133TCC63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       805 | PA      | $812.77       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2040 PE 7.5% 03/15/28                              | FREDDIE MAC REMICS SER 2040 CL PE 7.50000000                                                     | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2270 | PA      | $2308.20      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2038 PN 7% 03/15/28                                | FREDDIE MAC REMICS SER 2038 CL PN 7.00000000                                                     | CUSIP: 3133TDA22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1002 | PA      | $46.63        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2054 PV 7.5% 05/15/28                              | FREDDIE MAC REMICS SER 2054 CL PV 7.50000000                                                     | CUSIP: 3133TE4B7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       689 | PA      | $698.37       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2063 PG 6.5% 06/15/28                              | FREDDIE MAC REMICS SER 2063 CL PG 6.50000000                                                     | CUSIP: 3133TEB78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1362 | PA      | $1383.53      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2064 TE 7% 06/15/28                                | FREDDIE MAC REMICS SER 2064 CL TE 7.00000000                                                     | CUSIP: 3133TELZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        91 | PA      | $92.28        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2070 C 6% 07/15/28                                 | FREDDIE MAC REMICS SER 2070 CL C 6.00000000                                                      | CUSIP: 3133TEMS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1557 | PA      | $1568.71      | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2075 PH 6.5% 08/15/28                              | FREDDIE MAC REMICS SER 2075 CL PH 6.50000000                                                     | CUSIP: 3133TGCG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3916 | PA      | $3983.77      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2075 PM 6.25% 08/15/28                             | FREDDIE MAC REMICS SER 2075 CL PM 6.25000000                                                     | CUSIP: 3133TGCK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4192 | PA      | $4251.79      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHR 2086 GB 6% 09/15/28                                | FREDDIE MAC REMICS SER 2086 CL GB 6.00000000                                                     | CUSIP: 3133TGE96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       531 | PA      | $540.07       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2089 PJ 7% 10/15/28                                | FREDDIE MAC REMICS SER 2089 CL PJ 7.00000000                                                     | CUSIP: 3133TGKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1658 | PA      | $81.93        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2095 PE 6% 11/15/28                                | FREDDIE MAC REMICS SER 2095 CL PE 6.00000000                                                     | CUSIP: 3133TGWC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3569 | PA      | $3635.20      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2106 ZD 6% 12/15/28                                | FREDDIE MAC REMICS SER 2106 CL ZD 6.00000000                                                     | CUSIP: 3133THDD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8604 | PA      | $8762.84      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2110 PG 6% 01/15/29                                | FREDDIE MAC REMICS SER 2110 CL PG 6.00000000                                                     | CUSIP: 3133THLK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9202 | PA      | $9300.34      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2126 CB 6.25% 02/15/29                             | FREDDIE MAC REMICS SER 2126 CL CB 6.25000000                                                     | CUSIP: 3133TJDR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4137 | PA      | $4180.17      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHR 2125 JZ 6% 02/15/29                                | FREDDIE MAC REMICS SER 2125 CL JZ 6.00000000                                                     | CUSIP: 3133TJHS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2643 | PA      | $2691.60      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2132 SB V/R 03/15/29                               | FREDDIE MAC REMICS SER 2132 CL SB V/R 12.61377100                                                | CUSIP: 3133TJVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       279 | PA      | $313.49       | 0.00%             | 2029-03-15      | Variable      | 12.61%                | No            |                  2 | On Loan: No      |
| FHR 2141 IO 7% 04/15/29                                | FREDDIE MAC REMICS SER 2141 CL IO 7.00000000                                                     | CUSIP: 3133TKGP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       107 | PA      | $4.55         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2169 TB 7% 06/15/29                                | FREDDIE MAC REMICS SER 2169 CL TB 7.00000000                                                     | CUSIP: 3133TL5G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7690 | PA      | $7934.74      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2163 PC 7.5% 06/15/29                              | FREDDIE MAC REMICS SER 2163 CL PC 7.50000000                                                     | CUSIP: 3133TLFS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       551 | PA      | $28.06        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2172 QC 7% 07/15/29                                | FREDDIE MAC REMICS SER 2172 CL QC 7.00000000                                                     | CUSIP: 3133TLLL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5546 | PA      | $5726.28      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2176 OJ 7% 08/15/29                                | FREDDIE MAC REMICS SER 2176 CL OJ 7.00000000                                                     | CUSIP: 3133TLTY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3214 | PA      | $3254.82      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2201 C 8% 11/15/29                                 | FREDDIE MAC REMICS SER 2201 CL C 8.00000000                                                      | CUSIP: 3133TMGW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       942 | PA      | $964.16       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2196 TL 7.5% 11/15/29                              | FREDDIE MAC REMICS SER 2196 CL TL 7.50000000                                                     | CUSIP: 3133TMSB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        17 | PA      | $17.57        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2209 TC 8% 01/15/30                                | FREDDIE MAC REMICS SER 2209 CL TC 8.00000000                                                     | CUSIP: 3133TNCF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1330 | PA      | $1385.73      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2210 Z 8% 01/15/30                                 | FREDDIE MAC REMICS SER 2210 CL Z 8.00000000                                                      | CUSIP: 3133TNDG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6119 | PA      | $6385.16      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2208 PG 7% 01/15/30                                | FREDDIE MAC REMICS SER 2208 CL PG 7.00000000                                                     | CUSIP: 3133TNFP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6428 | PA      | $6647.83      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2224 CB 8% 03/15/30                                | FREDDIE MAC REMICS SER 2224 CL CB 8.00000000                                                     | CUSIP: 3133TNK45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1498 | PA      | $1557.63      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2230 Z 8% 04/15/30                                 | FREDDIE MAC REMICS SER 2230 CL Z 8.00000000                                                      | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1582 | PA      | $1642.52      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHR 2234 PZ 7.5% 05/15/30                              | FREDDIE MAC REMICS SER 2234 CL PZ 7.50000000                                                     | CUSIP: 3133TNXB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1624 | PA      | $1696.65      | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2247 Z 7.5% 08/15/30                               | FREDDIE MAC REMICS SER 2247 CL Z 7.50000000                                                      | CUSIP: 3133TPGX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1949 | PA      | $2030.26      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2256 MC 7.25% 09/15/30                             | FREDDIE MAC REMICS SER 2256 CL MC 7.25000000                                                     | CUSIP: 3133TPS67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2528 | PA      | $2633.54      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHR 2262 Z 7.5% 10/15/30                               | FREDDIE MAC REMICS SER 2262 CL Z 7.50000000                                                      | CUSIP: 3133TQ5B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       370 | PA      | $389.30       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2259 ZM 7% 10/15/30                                | FREDDIE MAC REMICS SER 2259 CL ZM 7.00000000                                                     | CUSIP: 3133TQC54<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5643 | PA      | $5839.07      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2271 PC 7.25% 12/15/30                             | FREDDIE MAC REMICS SER 2271 CL PC 7.25000000                                                     | CUSIP: 3133TQKD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5415 | PA      | $5653.38      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHR 2296 PD 7% 03/15/31                                | FREDDIE MAC REMICS SER 2296 CL PD 7.00000000                                                     | CUSIP: 3133TRUS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3336 | PA      | $3476.59      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2313 LA 6.5% 05/15/31                              | FREDDIE MAC REMICS SER 2313 CL LA 6.50000000                                                     | CUSIP: 3133TTK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       602 | PA      | $615.85       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2325 PM 7% 06/15/31                                | FREDDIE MAC REMICS SER 2325 CL PM 7.00000000                                                     | CUSIP: 3133TU3J5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1899 | PA      | $1983.03      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2359 ZB 8.5% 06/15/31                              | FREDDIE MAC REMICS SER 2359 CL ZB 8.50000000                                                     | CUSIP: 3133TV5T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5894 | PA      | $6337.28      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHR 2441 GF 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2441 CL GF 6.50000000                                                     | CUSIP: 3133TVJF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2539 | PA      | $2664.94      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2436 MC 7% 04/15/32                                | FREDDIE MAC REMICS SER 2436 CL MC 7.00000000                                                     | CUSIP: 3133TVR99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2075 | PA      | $2121.45      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2434 TC 7% 04/15/32                                | FREDDIE MAC REMICS SER 2434 CL TC 7.00000000                                                     | CUSIP: 3133TVTX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13514 | PA      | $14194.67     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2434 ZA 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2434 CL ZA 6.50000000                                                     | CUSIP: 3133TVUN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12455 | PA      | $12655.50     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI8004 6.5% 06/01/54                            | FREDDIE MAC POOL UMBS P#QI8004 6.50000000                                                        | CUSIP: 3133WE3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    990772 | PA      | $1037627.88   | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA4675 3% 11/01/49                              | FREDDIE MAC POOL UMBS P#QA4675 3.00000000                                                        | CUSIP: 31346YFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    792894 | PA      | $713626.00    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#785618 V/R 07/01/26                            | FREDDIE MAC NON GOLD POOL P#785618 V/R 6.12500000                                                | CUSIP: 31348SG32<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       288 | PA      | $287.36       | 0.00%             | 2026-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC P#781087 V/R 12/01/33                            | FREDDIE MAC NON GOLD POOL P#781087 V/R 5.85500000                                                | CUSIP: 31349SF40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4563 | PA      | $4674.40      | 0.00%             | 2033-12-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782760 V/R 11/01/36                            | FREDDIE MAC NON GOLD POOL P#782760 V/R 6.29300000                                                | CUSIP: 31349UB56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21254 | PA      | $22107.88     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782870 V/R 09/01/34                            | FREDDIE MAC NON GOLD POOL P#782870 V/R 6.23700000                                                | CUSIP: 31349UFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17589 | PA      | $18113.31     | 0.00%             | 2034-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782979 V/R 01/01/35                            | FREDDIE MAC NON GOLD POOL P#782979 V/R 6.50000000                                                | CUSIP: 31349UJY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36900 | PA      | $38434.08     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#782980 V/R 01/01/35                            | FREDDIE MAC NON GOLD POOL P#782980 V/R 6.50000000                                                | CUSIP: 31349UJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11699 | PA      | $12028.62     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 6.25% 07/15/32                                   | FEDERAL HOME LOAN MORTGAGE CORP 6.25000000                                                       | CUSIP: 3134A4KX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3649000 | PA      | $4132951.73   | 0.02%             | 2032-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHS 197 PO ZCP 04/01/28                                | FREDDIE MAC STRIPS SER 197 CL PO ZCP 0.00000000                                                  | CUSIP: 31351BWQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5735 | PA      | $5535.31      | 0.00%             | 2028-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNGT 2001-T3 A1 7.5% 11/25/40                          | FANNIE MAE GRANTOR TRUST 2001-T3 SER 2001-T3 CL A1 7.50000000                                    | CUSIP: 31358S7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39763 | PA      | $41349.13     | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2000-52 IO 8.5% 01/25/31                           | FANNIE MAE REMICS SER 2000-52 CL IO 8.50000000                                                   | CUSIP: 31358SU66<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       486 | PA      | $55.76        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNR 1996-48 Z 7% 11/25/26                              | FANNIE MAE REMICS SER 1996-48 CL Z 7.00000000                                                    | CUSIP: 31359KXE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        17 | PA      | $17.42        | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 7.125% 01/15/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 7.12500000                                                 | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1693288.34   | 0.01%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA 6.625% 11/15/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.62500000                                                 | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2550000 | PA      | $2875235.57   | 0.01%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNR 1997-27 J 7.5% 04/18/27                            | FANNIE MAE REMICS SER 1997-27 CL J 7.50000000                                                    | CUSIP: 31359NR78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       218 | PA      | $219.30       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 1997-29 J 7.5% 04/20/27                            | FANNIE MAE REMICS SER 1997-29 CL J 7.50000000                                                    | CUSIP: 31359PFV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       402 | PA      | $405.41       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 1997-32 PG 6.5% 04/25/27                           | FANNIE MAE REMICS SER 1997-32 CL PG 6.50000000                                                   | CUSIP: 31359PMW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        39 | PA      | $38.80        | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 1997-39 PD 7.5% 05/20/27                           | FANNIE MAE REMICS SER 1997-39 CL PD 7.50000000                                                   | CUSIP: 31359PSF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1300 | PA      | $1311.05      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 1997-42 ZC 6.5% 07/18/27                           | FANNIE MAE REMICS SER 1997-42 CL ZC 6.50000000                                                   | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         8 | PA      | $8.36         | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 1997-81 PI 7% 12/18/27                             | FANNIE MAE REMICS SER 1997-81 CL PI 7.00000000                                                   | CUSIP: 31359RLD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       560 | PA      | $19.28        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-33 ID 6% 07/25/31                             | FANNIE MAE REMICS SER 2001-33 CL ID 6.00000000                                                   | CUSIP: 31359S6G0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7336 | PA      | $730.27       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-7 PF 7% 03/25/31                              | FANNIE MAE REMICS SER 2001-7 CL PF 7.00000000                                                    | CUSIP: 31359SDC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       467 | PA      | $487.46       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 1998-36 ZB 6% 07/18/28                             | FANNIE MAE REMICS SER 1998-36 CL ZB 6.00000000                                                   | CUSIP: 31359T5E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       894 | PA      | $903.32       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 1999-17 C 6.35% 04/25/29                           | FANNIE MAE REMICS SER 1999-17 CL C 6.35000000                                                    | CUSIP: 31359VSW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       595 | PA      | $603.03       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNGT 1999-T2 A1 V/R 01/19/39                           | FANNIE MAE GRANTOR TRUST 1999-T2 SER 1999-T2 CL A1 V/R 7.50000000                                | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23618 | PA      | $24430.21     | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 1999-62 PB 7.5% 12/18/29                           | FANNIE MAE REMICS SER 1999-62 CL PB 7.50000000                                                   | CUSIP: 31359XEP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       604 | PA      | $612.16       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2000-2 ZE 7.5% 02/25/30                            | FANNIE MAE REMICS SER 2000-2 CL ZE 7.50000000                                                    | CUSIP: 31359XSV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4625 | PA      | $4806.37      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA 0.875% 08/05/30                                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.87500000                                                 | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555000 | PA      | $489668.90    | 0.00%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#54844 V/R 09/01/27                              | FANNIE MAE POOL UMBS P#54844 V/R 4.30900000                                                      | CUSIP: 3136195D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       268 | PA      | $265.93       | 0.00%             | 2027-09-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNR 2011-75 FA V/R 08/25/41                            | FANNIE MAE REMICS SER 2011-75 CL FA V/R 4.53867000                                               | CUSIP: 3136A0GK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16882 | PA      | $16842.16     | 0.00%             | 2041-08-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 MT 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL MT 7.00000000                                                  | CUSIP: 3136A12F1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300558 | PA      | $320065.69    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 LB 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL LB 7.00000000                                                  | CUSIP: 3136A12K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240737 | PA      | $257985.29    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-118 NT 7% 11/25/41                            | FANNIE MAE REMICS SER 2011-118 CL NT 7.00000000                                                  | CUSIP: 3136A1Y82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    268404 | PA      | $287929.27    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-149 MF V/R 11/25/41                           | FANNIE MAE REMICS SER 2011-149 CL MF V/R 4.48867000                                              | CUSIP: 3136A3FE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39346 | PA      | $39237.28     | 0.00%             | 2041-11-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2011-149 EF V/R 07/25/41                           | FANNIE MAE REMICS SER 2011-149 CL EF V/R 4.48867000                                              | CUSIP: 3136A3FM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8309 | PA      | $8290.82      | 0.00%             | 2041-07-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2012-97 FB V/R 09/25/42                            | FANNIE MAE REMICS SER 2012-97 CL FB V/R 4.48867000                                               | CUSIP: 3136A72Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350492 | PA      | $347001.61    | 0.00%             | 2042-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2012-101 FC V/R 09/25/42                           | FANNIE MAE REMICS SER 2012-101 CL FC V/R 4.48867000                                              | CUSIP: 3136A76U1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51812 | PA      | $51285.10     | 0.00%             | 2042-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2012-108 F V/R 10/25/42                            | FANNIE MAE REMICS SER 2012-108 CL F V/R 4.48867000                                               | CUSIP: 3136A8Q52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133072 | PA      | $131758.07    | 0.00%             | 2042-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2012-99 FA V/R 09/25/42                            | FANNIE MAE REMICS SER 2012-99 CL FA V/R 4.43867000                                               | CUSIP: 3136A8VS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107020 | PA      | $105646.79    | 0.00%             | 2042-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNR 2012-128 MP 2.5% 11/25/42                          | FANNIE MAE REMICS SER 2012-128 CL MP 2.50000000                                                  | CUSIP: 3136A9RG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    788716 | PA      | $729916.75    | 0.00%             | 2042-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2013-4 AJ 3.5% 02/25/43                            | FANNIE MAE REMICS SER 2013-4 CL AJ 3.50000000                                                    | CUSIP: 3136ACGA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     92036 | PA      | $87693.06     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2013-90 DL 3.5% 09/25/33                           | FANNIE MAE REMICS SER 2013-90 CL DL 3.50000000                                                   | CUSIP: 3136AF6H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    989242 | PA      | $969940.02    | 0.00%             | 2033-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2013-81 TA 3% 02/25/43                             | FANNIE MAE REMICS SER 2013-81 CL TA 3.00000000                                                   | CUSIP: 3136AFK60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157149 | PA      | $155732.29    | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-92 PO ZCP 09/25/43                            | FANNIE MAE REMICS SER 2013-92 CL PO ZCP 0.00000000                                               | CUSIP: 3136AGGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    396740 | PA      | $309780.03    | 0.00%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-100 WB 3% 10/25/33                            | FANNIE MAE REMICS SER 2013-100 CL WB 3.00000000                                                  | CUSIP: 3136AGWP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460463 | PA      | $446894.97    | 0.00%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-101 DO V/R 10/25/43                           | FANNIE MAE REMICS SER 2013-101 CL DO V/R 0.00000000                                              | CUSIP: 3136AGZH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    321668 | PA      | $243098.36    | 0.00%             | 2043-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-118 YL 3% 12/25/28                            | FANNIE MAE REMICS SER 2013-118 CL YL 3.00000000                                                  | CUSIP: 3136AHCS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    491072 | PA      | $486489.44    | 0.00%             | 2028-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-128 PO ZCP 12/25/43                           | FANNIE MAE REMICS SER 2013-128 CL PO ZCP 0.00000000                                              | CUSIP: 3136AHNE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    706062 | PA      | $538721.15    | 0.00%             | 2043-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2013-136 QB 3.5% 03/25/42                          | FANNIE MAE REMICS SER 2013-136 CL QB 3.50000000                                                  | CUSIP: 3136AHWC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    466275 | PA      | $444513.32    | 0.00%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2014-11 VB 4.5% 04/25/42                           | FANNIE MAE REMICS SER 2014-11 CL VB 4.50000000                                                   | CUSIP: 3136AJGX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1391221 | PA      | $1404370.74   | 0.01%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNA 2015-M10 A2 V/R 04/25/27                           | FANNIE MAE-ACES SER 2015-M10 CL A2 V/R 3.09200000                                                | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2963854 | PA      | $2940035.58   | 0.01%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNR 2016-38 NA 3% 01/25/46                             | FANNIE MAE REMICS SER 2016-38 CL NA 3.00000000                                                   | CUSIP: 3136ASMM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    723392 | PA      | $682938.66    | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNGT 2017-T1  2.898% 06/25/27                          | FANNIE MAE GRANTOR TRUST 2017-T1 SER 2017-T1 CL A 2.89800000                                     | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6463917 | PA      | $6366097.12   | 0.03%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M7 A2 V/R 02/25/27                            | FANNIE MAE-ACES SER 2017-M7 CL A2 V/R 2.96100000                                                 | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2692660 | PA      | $2666331.37   | 0.01%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M4 A2 V/R 12/25/26                            | FANNIE MAE-ACES SER 2017-M4 CL A2 V/R 2.57300000                                                 | CUSIP: 3136AVY52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5256687 | PA      | $5191443.42   | 0.02%             | 2026-12-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M3 A2 V/R 12/25/26                            | FANNIE MAE-ACES SER 2017-M3 CL A2 V/R 2.47800000                                                 | CUSIP: 3136AVYL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    895091 | PA      | $883772.98    | 0.00%             | 2026-12-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M8 A2 V/R 05/25/27                            | FANNIE MAE-ACES SER 2017-M8 CL A2 V/R 3.06100000                                                 | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3256075 | PA      | $3224634.77   | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M5 A2 V/R 04/25/29                            | FANNIE MAE-ACES SER 2017-M5 CL A2 V/R 3.01900000                                                 | CUSIP: 3136AWWF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2012614 | PA      | $1966638.58   | 0.01%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M11 A 2.98% 08/25/29                          | FANNIE MAE-ACES SER 2017-M11 CL A2 2.98000000                                                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1814879 | PA      | $1756536.56   | 0.01%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FNA 2017-M12 A2 V/R 06/25/27                           | FANNIE MAE-ACES SER 2017-M12 CL A2 V/R 3.06400000                                                | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2763361 | PA      | $2732569.55   | 0.01%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M3 A2 V/R 02/25/30                            | FANNIE MAE-ACES SER 2018-M3 CL A2 V/R 3.07400000                                                 | CUSIP: 3136B1LF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1598152 | PA      | $1544146.61   | 0.01%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M4 A2 V/R 03/25/28                            | FANNIE MAE-ACES SER 2018-M4 CL A2 V/R 3.06700000                                                 | CUSIP: 3136B1XJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2362698 | PA      | $2328714.66   | 0.01%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M12 A2 V/R 08/25/30                           | FANNIE MAE-ACES SER 2018-M12 CL A2 V/R 3.62500000                                                | CUSIP: 3136B26W7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5589816 | PA      | $5492843.56   | 0.02%             | 2030-08-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M8 A2 V/R 06/25/28                            | FANNIE MAE-ACES SER 2018-M8 CL A2 V/R 3.31100000                                                 | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4065799 | PA      | $4020537.29   | 0.02%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNA 2018-M10 A2 V/R 07/25/28                           | FANNIE MAE-ACES SER 2018-M10 CL A2 V/R 3.35400000                                                | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6708462 | PA      | $6654382.00   | 0.03%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNR 2019-7 CA 3.5% 11/25/57                            | FANNIE MAE REMICS SER 2019-7 CL CA 3.50000000                                                    | CUSIP: 3136B32G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2332063 | PA      | $2272453.43   | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2020-24 SP V/R 04/25/50                            | FANNIE MAE REMICS SER 2020-24 CL SP V/R 2.06133000                                               | CUSIP: 3136B9GC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3769290 | PA      | $504395.41    | 0.00%             | 2050-04-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNR 2020-35 MA 2% 12/25/43                             | FANNIE MAE REMICS SER 2020-35 CL MA 2.00000000                                                   | CUSIP: 3136BALK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1110792 | PA      | $1061686.82   | 0.00%             | 2043-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-51 BA 2% 06/25/46                             | FANNIE MAE REMICS SER 2020-51 CL BA 2.00000000                                                   | CUSIP: 3136BASY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3278976 | PA      | $2963432.11   | 0.01%             | 2046-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-46 KB 1.25% 06/25/50                          | FANNIE MAE REMICS SER 2020-46 CL KB 1.25000000                                                   | CUSIP: 3136BAYP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16015296 | PA      | $12542499.44  | 0.05%             | 2050-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M38  1.594% 11/25/28                          | FANNIE MAE-ACES SER 2020-M38 CL 2A1 1.59400000                                                   | CUSIP: 3136BBHB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1341108 | PA      | $1267340.52   | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M38 X2 V/R 11/25/28                           | FANNIE MAE-ACES SER 2020-M38 CL X2 V/R 1.97400000                                                | CUSIP: 3136BBSN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10983416 | PA      | $414447.11    | 0.00%             | 2028-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M39 1 0.75% 09/25/28                          | FANNIE MAE-ACES SER 2020-M39 CL 1A1 0.75000000                                                   | CUSIP: 3136BBTB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4830550 | PA      | $4625317.16   | 0.02%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M39 X1 V/R 07/25/30                           | FANNIE MAE-ACES SER 2020-M39 CL X1 V/R 1.92700000                                                | CUSIP: 3136BBTD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  96122041 | PA      | $4797508.72   | 0.02%             | 2030-07-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M50 A2 1.2% 10/25/30                          | FANNIE MAE-ACES SER 2020-M50 CL A2 1.20000000                                                    | CUSIP: 3136BCGS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    848514 | PA      | $817947.69    | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M50 X1 V/R 10/25/30                           | FANNIE MAE-ACES SER 2020-M50 CL X1 V/R 1.82200000                                                | CUSIP: 3136BCGU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13735000 | PA      | $465052.00    | 0.00%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNA 2020-M47 A2 V/R 11/25/30                           | FANNIE MAE-ACES SER 2020-M47 CL A2 V/R 1.25000000                                                | CUSIP: 3136BCGY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13350000 | PA      | $11697099.12  | 0.05%             | 2032-10-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FNR 2020-101 AI 3.5% 01/25/51                          | FANNIE MAE REMICS SER 2020-101 CL AI 3.50000000                                                  | CUSIP: 3136BDJQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14445401 | PA      | $2733800.85   | 0.01%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNA 2021-M3 X1 V/R 11/25/33                            | FANNIE MAE-ACES SER 2021-M3 CL X1 V/R 1.83300000                                                 | CUSIP: 3136BDXR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20348117 | PA      | $1245603.90   | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNR 2021-31 AB 2% 06/25/41                             | FANNIE MAE REMICS SER 2021-31 CL AB 2.00000000                                                   | CUSIP: 3136BHYA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2416935 | PA      | $2227509.86   | 0.01%             | 2041-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNA 2022-M3 A2 V/R 11/25/31                            | FANNIE MAE-ACES SER 2022-M3 CL A2 V/R 1.70700000                                                 | CUSIP: 3136BLW22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13600000 | PA      | $11787296.80  | 0.05%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNA 2022-M10 A2 V/R 01/25/32                           | FANNIE MAE-ACES SER 2022-M10 CL A2 V/R 1.92800000                                                | CUSIP: 3136BMXZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13025000 | PA      | $11511595.29  | 0.05%             | 2032-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNR 2022-51 PS V/R 08/25/52                            | FANNIE MAE REMICS SER 2022-51 CL PS V/R 2.07581000                                               | CUSIP: 3136BNJK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8437225 | PA      | $816559.67    | 0.00%             | 2052-08-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNA 2023-M8 A2 V/R 03/25/33                            | FANNIE MAE-ACES SER 2023-M8 CL A2 V/R 4.47600000                                                 | CUSIP: 3136BQSN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7835000 | PA      | $7886316.12   | 0.03%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNR 2025-6 FC V/R 02/25/55                             | FANNIE MAE REMICS SER 2025-6 CL FC V/R 5.47419000                                                | CUSIP: 3136BUTY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2404888 | PA      | $2419698.95   | 0.01%             | 2055-02-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNR 2025-18 MA 0.5% 09/25/54                           | FANNIE MAE REMICS SER 2025-18 CL MA 0.50000000                                                   | CUSIP: 3136BVLQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19321273 | PA      | $16501643.98  | 0.07%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNR 2025-31 MA 0.5% 09/25/54                           | FANNIE MAE REMICS SER 2025-31 CL MA 0.50000000                                                   | CUSIP: 3136BVYZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12403196 | PA      | $10499389.97  | 0.04%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNR 2025-40 P 5% 10/25/54                              | FANNIE MAE REMICS SER 2025-40 CL P 5.00000000                                                    | CUSIP: 3136BWGX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6554027 | PA      | $6605170.84   | 0.03%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA ZCP 03/17/31                                      | FEDERAL NATIONAL MORTGAGE ASSOCIATION ZCP 0.00000000                                             | CUSIP: 3136F1EQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $1825592.20   | 0.01%             | 2031-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNS 329 1 ZCP 01/25/33                                 | FANNIE MAE INTEREST STRIP SER 329 CL 1 ZCP 0.00000000                                            | CUSIP: 3136FAWE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2104 | PA      | $1899.84      | 0.00%             | 2033-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNS 345 6 V/R 12/25/33                                 | FANNIE MAE INTEREST STRIP SER 345 CL 6 V/R 5.00000000                                            | CUSIP: 3136FCCH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3103 | PA      | $346.14       | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNS 374 5 5.5% 08/25/36                                | FANNIE MAE INTEREST STRIP SER 374 CL 5 5.50000000                                                | CUSIP: 3136FCZ82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8946 | PA      | $1369.20      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNS 365 8 5.5% 05/25/36                                | FANNIE MAE INTEREST STRIP SER 365 CL 8 5.50000000                                                | CUSIP: 3136FCZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13401 | PA      | $2374.62      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNS 383 33 6% 01/25/38                                 | FANNIE MAE INTEREST STRIP SER 383 CL 33 6.00000000                                               | CUSIP: 3136FFPE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9451 | PA      | $1680.23      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNS 393 6 5.5% 04/25/37                                | FANNIE MAE INTEREST STRIP SER 393 CL 6 5.50000000                                                | CUSIP: 3136FGCE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3272 | PA      | $284.33       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA P#252211 6% 12/1/28_                              | FEDERAL NATIONAL MORTGAGE ASSN  POOL #252211_ 6.00000000                                         | CUSIP: 31371HDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       419 | PA      | $429.94       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#252409 6.5% 03/01/29                            | FANNIE MAE POOL UMBS P#252409 6.50000000                                                         | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1940 | PA      | $1973.97      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA P#254693 5.500% 04/01/33                          | FEDERAL NATIONAL MORTGAGE ASSN  POOL #254693 5.50000000                                          | CUSIP: 31371K3A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13658 | PA      | $13997.01     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#254949 5% 11/01/33                              | FANNIE MAE POOL UMBS P#254949 5.00000000                                                         | CUSIP: 31371LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1207 | PA      | $1225.91      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#256051 5.5% 12/01/35                            | FANNIE MAE POOL UMBS P#256051 5.50000000                                                         | CUSIP: 31371ML88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5607 | PA      | $5674.74      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#256128 6% 02/01/36                              | FANNIE MAE POOL UMBS P#256128 6.00000000                                                         | CUSIP: 31371MPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1232 | PA      | $1284.33      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#256311 6% 07/01/26                              | FANNIE MAE POOL UMBS P#256311 6.00000000                                                         | CUSIP: 31371MVC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $533.44       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#256352 6.5% 08/01/26                            | FANNIE MAE POOL UMBS P#256352 6.50000000                                                         | CUSIP: 31371MWM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1104.64      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#256636 5.5% 03/01/37                            | FANNIE MAE POOL UMBS P#256636 5.50000000                                                         | CUSIP: 31371NBD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130526 | PA      | $136472.37    | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#256803 6% 07/01/27                              | FANNIE MAE POOL UMBS P#256803 6.00000000                                                         | CUSIP: 31371NGL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2469 | PA      | $2533.10      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#256962 6% 11/01/27                              | FANNIE MAE POOL UMBS P#256962 6.00000000                                                         | CUSIP: 31371NMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1669 | PA      | $1712.77      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#257007 6% 12/01/27                              | FANNIE MAE POOL UMBS P#257007 6.00000000                                                         | CUSIP: 31371NNY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4646 | PA      | $4766.53      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#257048 6% 01/01/28                              | FANNIE MAE POOL UMBS P#257048 6.00000000                                                         | CUSIP: 31371NP90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8176 | PA      | $8387.91      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#257203 5% 05/01/28                              | FANNIE MAE POOL UMBS P#257203 5.00000000                                                         | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2106 | PA      | $2119.41      | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#257209 5.5% 05/01/38                            | FANNIE MAE POOL UMBS P#257209 5.50000000                                                         | CUSIP: 31371NVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8310 | PA      | $8527.49      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#257510 7% 12/01/38                              | FANNIE MAE POOL UMBS P#257510 7.00000000                                                         | CUSIP: 31371PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66987 | PA      | $71558.02     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#303532 V/R 03/01/29                             | FANNIE MAE POOL UMBS P#303532 V/R 4.44200000                                                     | CUSIP: 31373UED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       152 | PA      | $151.14       | 0.00%             | 2029-03-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| UMBS P#310209 3.5% 08/01/43                            | FANNIE MAE POOL UMBS P#310209 3.50000000                                                         | CUSIP: 31374CR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10282750 | PA      | $9934715.49   | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#313687 7% 09/01/27                              | FANNIE MAE POOL UMBS P#313687 7.00000000                                                         | CUSIP: 31374GNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $34.71        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#357363 5.5% 03/01/33                            | FANNIE MAE POOL UMBS P#357363 5.50000000                                                         | CUSIP: 31376J5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18966 | PA      | $19432.34     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3688 GT V/R 11/15/46                               | FREDDIE MAC REMICS SER 3688 CL GT V/R 7.47764100                                                 | CUSIP: 3137A0ML6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    165754 | PA      | $177719.61    | 0.00%             | 2046-11-15      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FHR 3704 CT 7% 12/15/36                                | FREDDIE MAC REMICS SER 3704 CL CT 7.00000000                                                     | CUSIP: 3137A0XM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    354385 | PA      | $379936.00    | 0.00%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 3704 DT 7.5% 11/15/36                              | FREDDIE MAC REMICS SER 3704 CL DT 7.50000000                                                     | CUSIP: 3137A0Y41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159297 | PA      | $171792.94    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 3704 ET 7.5% 12/15/36                              | FREDDIE MAC REMICS SER 3704 CL ET 7.50000000                                                     | CUSIP: 3137A0YK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    138325 | PA      | $152611.90    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 3770 ZB 5% 12/15/40                                | FREDDIE MAC REMICS SER 3770 CL ZB 5.00000000                                                     | CUSIP: 3137A4PM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    475001 | PA      | $487189.30    | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3793 AB 3.5% 01/15/26                              | FREDDIE MAC REMICS SER 3793 CL AB 3.50000000                                                     | CUSIP: 3137A5DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       597 | PA      | $595.76       | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 3802 LS V/R 01/15/40                               | FREDDIE MAC REMICS SER 3802 CL LS V/R 1.89274700                                                 | CUSIP: 3137A6CE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151691 | PA      | $14127.75     | 0.00%             | 2040-01-15      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHR 3819 ZQ 6% 04/15/36                                | FREDDIE MAC REMICS SER 3819 CL ZQ 6.00000000                                                     | CUSIP: 3137A8N20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    202261 | PA      | $213356.54    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3860 PZ 5% 05/15/41                                | FREDDIE MAC REMICS SER 3860 CL PZ 5.00000000                                                     | CUSIP: 3137AAYT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    976589 | PA      | $991389.70    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3852 QN V/R 05/15/41                               | FREDDIE MAC REMICS SER 3852 CL QN V/R 5.50000000                                                 | CUSIP: 3137ABAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55433 | PA      | $53323.78     | 0.00%             | 2041-05-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3852 TP V/R 05/15/41                               | FREDDIE MAC REMICS SER 3852 CL TP V/R 5.50000000                                                 | CUSIP: 3137ABB59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149232 | PA      | $147212.86    | 0.00%             | 2041-05-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3895 WA V/R 10/15/38                               | FREDDIE MAC REMICS SER 3895 CL WA V/R 5.59799400                                                 | CUSIP: 3137ACX95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22373 | PA      | $23349.54     | 0.00%             | 2038-10-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHR 3920 LP 5% 01/15/34                                | FREDDIE MAC REMICS SER 3920 CL LP 5.00000000                                                     | CUSIP: 3137AF3W0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71663 | PA      | $73476.62     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 3957 B 4% 11/15/41                                 | FREDDIE MAC REMICS SER 3957 CL B 4.00000000                                                      | CUSIP: 3137AHAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96440 | PA      | $94606.77     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 3966 NA 4% 12/15/41                                | FREDDIE MAC REMICS SER 3966 CL NA 4.00000000                                                     | CUSIP: 3137AJXA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86390 | PA      | $85024.88     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 3996 XF V/R 12/15/40                               | FREDDIE MAC REMICS SER 3996 CL XF V/R 4.64833000                                                 | CUSIP: 3137ALWT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86174 | PA      | $86099.16     | 0.00%             | 2040-12-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHR 4012 FN V/R 03/15/42                               | FREDDIE MAC REMICS SER 4012 CL FN V/R 4.59833000                                                 | CUSIP: 3137AMMX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    269087 | PA      | $266959.26    | 0.00%             | 2042-03-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHR 4013 QF V/R 03/15/41                               | FREDDIE MAC REMICS SER 4013 CL QF V/R 4.64833000                                                 | CUSIP: 3137ANHM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98331 | PA      | $98185.23     | 0.00%             | 2041-03-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHR 4048 FB V/R 10/15/41                               | FREDDIE MAC REMICS SER 4048 CL FB V/R 4.49833000                                                 | CUSIP: 3137AQUB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    119922 | PA      | $119336.05    | 0.00%             | 2041-10-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 4048 FJ V/R 07/15/37                               | FREDDIE MAC REMICS SER 4048 CL FJ V/R 4.72302000                                                 | CUSIP: 3137AQUG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157186 | PA      | $155310.74    | 0.00%             | 2037-07-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHR 4077 FB V/R 07/15/42                               | FREDDIE MAC REMICS SER 4077 CL FB V/R 4.59833000                                                 | CUSIP: 3137ASAP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127242 | PA      | $125956.85    | 0.00%             | 2042-07-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHR 4091 TF V/R 08/15/42                               | FREDDIE MAC REMICS SER 4091 CL TF V/R 4.54833000                                                 | CUSIP: 3137ATGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    670891 | PA      | $663670.80    | 0.00%             | 2042-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHR 4106 DF V/R 09/15/42                               | FREDDIE MAC REMICS SER 4106 CL DF V/R 4.49833000                                                 | CUSIP: 3137ATVQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199857 | PA      | $197076.80    | 0.00%             | 2042-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 4217 KY 3% 06/15/43                                | FREDDIE MAC REMICS SER 4217 CL KY 3.00000000                                                     | CUSIP: 3137B2KH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206000 | PA      | $184159.10    | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 4238 WY 3% 08/15/33                                | FREDDIE MAC REMICS SER 4238 CL WY 3.00000000                                                     | CUSIP: 3137B4FZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153491 | PA      | $148970.13    | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 4247 AY 4.5% 09/15/43                              | FREDDIE MAC REMICS SER 4247 CL AY 4.50000000                                                     | CUSIP: 3137B4HE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $955925.90    | 0.00%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHMS K152 A2 V/R 01/25/31                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K152 CL A2 V/R 3.08000000            | CUSIP: 3137BPVN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23576000 | PA      | $22541933.06  | 0.09%             | 2031-01-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FHMS K055 X1 V/R 03/25/26                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K055 CL X1 V/R 1.33452500            | CUSIP: 3137BPW39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21944364 | PA      | $23943.50     | 0.00%             | 2026-03-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHMS K065 A2 3.243% 04/25/27                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K065 CL A2 3.24300000           | CUSIP: 3137F1G44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3316000 | PA      | $3291517.31   | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHMS K120 XAM V/R 10/25/30                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K120 CL XAM V/R 1.30610900           | CUSIP: 3137F72T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  31375053 | PA      | $1616998.07   | 0.01%             | 2030-10-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHR 4740 P 3% 12/15/47                                 | FREDDIE MAC REMICS SER 4740 CL P 3.00000000                                                      | CUSIP: 3137FCEH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    801892 | PA      | $727599.82    | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHMS K070 A2 V/R 11/25/27                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K070 CL A2 V/R 3.30300000            | CUSIP: 3137FCJK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3008000 | PA      | $2980090.57   | 0.01%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHMS W5FX AFX V/R 04/25/28                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER W5FX CL AFX V/R 3.21398400           | CUSIP: 3137FG6Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3315000 | PA      | $3274164.50   | 0.01%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHR 4821 MA 3.5% 10/15/53                              | FREDDIE MAC REMICS SER 4821 CL MA 3.50000000                                                     | CUSIP: 3137FHFM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1229496 | PA      | $1206126.26   | 0.00%             | 2053-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHMS K091 A2 3.505% 03/25/29                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K091 CL A2 3.50500000           | CUSIP: 3137FLN91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2422000 | PA      | $2394957.64   | 0.01%             | 2029-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHMS K106 X1 V/R 01/25/30                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K106 CL X1 V/R 1.31433400            | CUSIP: 3137FRUV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 125257189 | PA      | $5788861.20   | 0.02%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHR 4978 MI 4% 05/25/40                                | FREDDIE MAC REMICS SER 4978 CL MI 4.00000000                                                     | CUSIP: 3137FT6T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4868752 | PA      | $725900.25    | 0.00%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHMS K111 X1 V/R 05/25/30                              | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K111 CL X1 V/R 1.67305900            | CUSIP: 3137FUZE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27546676 | PA      | $1580892.70   | 0.01%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHR 5021 SB V/R 10/25/50                               | FREDDIE MAC REMICS SER 5021 CL SB V/R 0.00000000                                                 | CUSIP: 3137FWN22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12030897 | PA      | $342542.49    | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 5019 IP 3% 10/25/50                                | FREDDIE MAC REMICS SER 5019 CL IP 3.00000000                                                     | CUSIP: 3137FXHY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1668932 | PA      | $297761.80    | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3740 SB V/R 10/15/40                               | FREDDIE MAC REMICS SER 3740 CL SB V/R 1.90167000                                                 | CUSIP: 3137GARP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79697 | PA      | $6924.19      | 0.00%             | 2040-10-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHR 3740 SC V/R 10/15/40                               | FREDDIE MAC REMICS SER 3740 CL SC V/R 1.90167000                                                 | CUSIP: 3137GARQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79355 | PA      | $8347.51      | 0.00%             | 2040-10-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHMS K136 A2 2.127% 12/25/54                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K136 CL A2 2.12700000           | CUSIP: 3137H4SH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14260000 | PA      | $12752419.97  | 0.05%             | 2031-11-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHR 5190 EC 2% 12/25/51                                | FREDDIE MAC REMICS SER 5190 CL EC 2.00000000                                                     | CUSIP: 3137H5FP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5915551 | PA      | $5314994.12   | 0.02%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 5190 PE 2% 02/25/52                                | FREDDIE MAC REMICS SER 5190 CL PE 2.00000000                                                     | CUSIP: 3137H5HC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1871739 | PA      | $1697231.18   | 0.01%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHMS K138 AM 1.889% 01/25/32                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K138 CL AM 1.88900000           | CUSIP: 3137H5XV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4300000 | PA      | $3759391.53   | 0.01%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FHMS K142 A2 2.4% 03/25/32                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K142 CL A2 2.40000000           | CUSIP: 3137H73P6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13700000 | PA      | $12356667.05  | 0.05%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHR 5222 SA V/R 05/25/52                               | FREDDIE MAC REMICS SER 5222 CL SA V/R 0.00000000                                                 | CUSIP: 3137H7BF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1715426 | PA      | $34724.68     | 0.00%             | 2052-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 5228 BH 3.5% 01/25/51                              | FREDDIE MAC REMICS SER 5228 CL BH 3.50000000                                                     | CUSIP: 3137H7TW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3867755 | PA      | $3765436.94   | 0.01%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR 5230 DM 3.5% 09/25/44                              | FREDDIE MAC REMICS SER 5230 CL DM 3.50000000                                                     | CUSIP: 3137H7WK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11214213 | PA      | $10919422.04  | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHMS K146 A2 2.92% 06/25/32                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K146 CL A2 2.92000000           | CUSIP: 3137H7ZB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | PA      | $8979274.48   | 0.04%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHR 5249 AB 4% 11/25/51                                | FREDDIE MAC REMICS SER 5249 CL AB 4.00000000                                                     | CUSIP: 3137H8K83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5774541 | PA      | $5745836.59   | 0.02%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHMS K-150 A2 V/R 09/25/32                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K-150 CL A2 V/R 3.71000000           | CUSIP: 3137H9C98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11105000 | PA      | $10732933.64  | 0.04%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHMS KJ44 A2 4.614% 02/25/33                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KJ44 CL A2 4.61400000           | CUSIP: 3137H9QU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7500000 | PA      | $7598538.00   | 0.03%             | 2033-02-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHMS K752 A2 4.284% 07/25/30                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K752 CL A2 4.28400000           | CUSIP: 3137HAGZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8425000 | PA      | $8499901.62   | 0.03%             | 2030-07-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FHMS K-161 A2 V/R 10/25/33                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K-161 CL A2 V/R 4.90000000           | CUSIP: 3137HB2X1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5045114 | PA      | $5208694.25   | 0.02%             | 2033-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHMS KJ48 A2 5.028% 10/25/31                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KJ48 CL A2 5.02800000           | CUSIP: 3137HBC77<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $8239738.40   | 0.03%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHMS K757 A2 4.456% 08/25/31                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K757 CL A2 4.45600000           | CUSIP: 3137HH5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4571341 | PA      | $4632660.51   | 0.02%             | 2031-08-25      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FHMS K-167 A2 4.76% 10/25/34                           | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER K-167 CL A2 4.76000000          | CUSIP: 3137HHUG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5009882 | PA      | $5114201.77   | 0.02%             | 2034-10-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FHR 5564 PE 5% 08/25/54                                | FREDDIE MAC REMICS SER 5564 CL PE 5.00000000                                                     | CUSIP: 3137HMDN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8042627 | PA      | $8088817.91   | 0.03%             | 2054-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHMS K-172 A2 V/R 08/25/35                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K-172 CL A2 V/R 4.58100000           | CUSIP: 3137HNMY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5102243 | PA      | $5124892.37   | 0.02%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHR 5609 BV 4.5% 12/25/36                              | FREDDIE MAC REMICS SER 5609 CL BV 4.50000000                                                     | CUSIP: 3137HNXJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9067205 | PA      | $9077979.28   | 0.04%             | 2036-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#455759 6% 12/01/28                              | FANNIE MAE POOL UMBS P#455759 6.00000000                                                         | CUSIP: 31381BJC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352 | PA      | $361.60       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#468927 4.766% 08/01/26                          | FANNIE MAE POOL UMBS P#468927 4.76600000                                                         | CUSIP: 31381R4L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    524307 | PA      | $526037.59    | 0.00%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#555285 6% 03/01/33                              | FANNIE MAE POOL UMBS P#555285 6.00000000                                                         | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1176 | PA      | $1219.79      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#555732 V/R 08/01/33                             | FANNIE MAE POOL UMBS P#555732 V/R 6.37400000                                                     | CUSIP: 31385XLM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8967 | PA      | $9210.69      | 0.00%             | 2033-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#598559 6.5% 08/01/31                            | FANNIE MAE POOL UMBS P#598559 6.50000000                                                         | CUSIP: 31387Y5U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3721 | PA      | $3860.16      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH0936 3.5% 12/01/40                            | FANNIE MAE POOL UMBS P#AH0936 3.50000000                                                         | CUSIP: 3138A2BE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26276 | PA      | $25345.82     | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1130 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1130 4.00000000                                                         | CUSIP: 3138A2HG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144720 | PA      | $141716.80    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1565 4.5% 12/01/40                            | FANNIE MAE POOL UMBS P#AH1565 4.50000000                                                         | CUSIP: 3138A2W39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    396097 | PA      | $398709.55    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1559 4% 12/01/40                              | FANNIE MAE POOL UMBS P#AH1559 4.00000000                                                         | CUSIP: 3138A2WV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288986 | PA      | $283315.66    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1560 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1560 4.00000000                                                         | CUSIP: 3138A2WW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    467342 | PA      | $458172.28    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1563 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH1563 4.00000000                                                         | CUSIP: 3138A2WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    344437 | PA      | $338264.08    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH2683 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH2683 4.00000000                                                         | CUSIP: 3138A36V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476627 | PA      | $466735.05    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH1839 4% 12/01/40                              | FANNIE MAE POOL UMBS P#AH1839 4.00000000                                                         | CUSIP: 3138A3BH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68533 | PA      | $66864.97     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH2905 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH2905 4.00000000                                                         | CUSIP: 3138A4GP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    310555 | PA      | $303788.07    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH3394 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH3394 4.00000000                                                         | CUSIP: 3138A4XY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    264758 | PA      | $259236.08    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH4429 4% 02/01/41                              | FANNIE MAE POOL UMBS P#AH4429 4.00000000                                                         | CUSIP: 3138A54P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    541378 | PA      | $529861.91    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH3933 4% 01/01/41                              | FANNIE MAE POOL UMBS P#AH3933 4.00000000                                                         | CUSIP: 3138A5LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65678 | PA      | $64267.64     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7010 4.5% 03/01/41                            | FANNIE MAE POOL UMBS P#AH7010 4.50000000                                                         | CUSIP: 3138A8YG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    354759 | PA      | $357062.46    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH8029 4.5% 04/01/41                            | FANNIE MAE POOL UMBS P#AH8029 4.50000000                                                         | CUSIP: 3138A94P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180465 | PA      | $181692.25    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7861 4.5% 05/01/41                            | FANNIE MAE POOL UMBS P#AH7861 4.50000000                                                         | CUSIP: 3138A9WX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230240 | PA      | $232226.93    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH7932 4.5% 08/01/41                            | FANNIE MAE POOL UMBS P#AH7932 4.50000000                                                         | CUSIP: 3138A9Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    615525 | PA      | $618953.00    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH8584 4% 02/01/41                              | FANNIE MAE POOL UMBS P#AH8584 4.00000000                                                         | CUSIP: 3138AARE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18704 | PA      | $18283.94     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AH9683 5% 04/01/31                              | FANNIE MAE POOL UMBS P#AH9683 5.00000000                                                         | CUSIP: 3138ABXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18638 | PA      | $18900.72     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI1892 5% 05/01/41                              | FANNIE MAE POOL UMBS P#AI1892 5.00000000                                                         | CUSIP: 3138AFC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37408 | PA      | $38469.33     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI2465 4.5% 05/01/41                            | FANNIE MAE POOL UMBS P#AI2465 4.50000000                                                         | CUSIP: 3138AFW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2242884 | PA      | $2256068.75   | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI5143 4.5% 07/01/41                            | FANNIE MAE POOL UMBS P#AI5143 4.50000000                                                         | CUSIP: 3138AJWD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88708 | PA      | $89211.43     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AI8069 4% 10/01/41                              | FANNIE MAE POOL UMBS P#AI8069 4.00000000                                                         | CUSIP: 3138AM6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314043 | PA      | $302576.16    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ1407 4% 09/01/41                              | FANNIE MAE POOL UMBS P#AJ1407 4.00000000                                                         | CUSIP: 3138ASR53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58467 | PA      | $57186.93     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ3086 3.5% 11/01/41                            | FANNIE MAE POOL UMBS P#AJ3086 3.50000000                                                         | CUSIP: 3138AUNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98747 | PA      | $94640.50     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ4724 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AJ4724 3.50000000                                                         | CUSIP: 3138AWHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    156254 | PA      | $150045.99    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ7689 4% 12/01/41                              | FANNIE MAE POOL UMBS P#AJ7689 4.00000000                                                         | CUSIP: 3138E0RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    532583 | PA      | $520868.22    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ9278 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AJ9278 3.50000000                                                         | CUSIP: 3138E2JY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    133487 | PA      | $128377.02    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AJ9317 4% 01/01/42                              | FANNIE MAE POOL UMBS P#AJ9317 4.00000000                                                         | CUSIP: 3138E2K79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    785979 | PA      | $768931.32    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AK4025 3.5% 02/01/42                            | FANNIE MAE POOL UMBS P#AK4025 3.50000000                                                         | CUSIP: 3138E8PK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122408 | PA      | $117241.40    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0045 6% 12/01/32                              | FANNIE MAE POOL UMBS P#AL0045 6.00000000                                                         | CUSIP: 3138EGBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34561 | PA      | $35836.80     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0587 4% 09/01/40                              | FANNIE MAE POOL UMBS P#AL0587 4.00000000                                                         | CUSIP: 3138EGUM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    342932 | PA      | $336397.15    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL0662 5.5% 01/01/38                            | FANNIE MAE POOL UMBS P#AL0662 5.50000000                                                         | CUSIP: 3138EGWY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29326 | PA      | $30122.86     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL1459 4% 10/01/41                              | FANNIE MAE POOL UMBS P#AL1459 4.00000000                                                         | CUSIP: 3138EHTR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    337850 | PA      | $330698.09    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2606 4% 03/01/42                              | FANNIE MAE POOL UMBS P#AL2606 4.00000000                                                         | CUSIP: 3138EJ3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20542 | PA      | $19747.68     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2617 6% 10/01/40                              | FANNIE MAE POOL UMBS P#AL2617 6.00000000                                                         | CUSIP: 3138EJ4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    456737 | PA      | $483075.10    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL2483 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AL2483 3.50000000                                                         | CUSIP: 3138EJXM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102871 | PA      | $98337.99     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3316 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#AL3316 3.50000000                                                         | CUSIP: 3138EKVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    525410 | PA      | $501121.91    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3714 3.5% 01/01/43                            | FANNIE MAE POOL UMBS P#AL3714 3.50000000                                                         | CUSIP: 3138ELDU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    273907 | PA      | $261216.66    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL5788 5% 05/01/42                              | FANNIE MAE POOL UMBS P#AL5788 5.00000000                                                         | CUSIP: 3138ENNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    623626 | PA      | $641309.39    | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL6851 2.5% 10/01/43                            | FANNIE MAE POOL UMBS P#AL6851 2.50000000                                                         | CUSIP: 3138EPTH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900752 | PA      | $807217.69    | 0.00%             | 2043-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL8044 4.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AL8044 4.50000000                                                         | CUSIP: 3138EQ5E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1987797 | PA      | $1999879.41   | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL9764 4.5% 02/01/46                            | FANNIE MAE POOL UMBS P#AL9764 4.50000000                                                         | CUSIP: 3138ERZ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2372105 | PA      | $2386524.93   | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL9960 3% 02/01/44                              | FANNIE MAE POOL UMBS P#AL9960 3.00000000                                                         | CUSIP: 3138ESB64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2206292 | PA      | $2040534.01   | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL8558 6% 07/01/41                              | FANNIE MAE POOL UMBS P#AL8558 6.00000000                                                         | CUSIP: 3138ETQL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1216456 | PA      | $1286562.90   | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7117 3.14% 12/01/26                           | FANNIE MAE POOL UMBS P#AM7117 3.14000000                                                         | CUSIP: 3138L74B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1537106 | PA      | $1525664.33   | 0.01%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM6448 3.25% 09/01/26                           | FANNIE MAE POOL UMBS P#AM6448 3.25000000                                                         | CUSIP: 3138L7EW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1290771 | PA      | $1282905.30   | 0.01%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7321 3.12% 11/01/26                           | FANNIE MAE POOL UMBS P#AM7321 3.12000000                                                         | CUSIP: 3138L8D35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    847747 | PA      | $840792.32    | 0.00%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM7516 3.55% 02/01/30                           | FANNIE MAE POOL UMBS P#AM7516 3.55000000                                                         | CUSIP: 3138L8K60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1472828.90   | 0.01%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8475 3.45% 04/01/35                           | FANNIE MAE POOL UMBS P#AM8475 3.45000000                                                         | CUSIP: 3138L9MZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1601959 | PA      | $1498196.77   | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM8595 2.83% 05/01/27                           | FANNIE MAE POOL UMBS P#AM8595 2.83000000                                                         | CUSIP: 3138L9RR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7461832 | PA      | $7361124.84   | 0.03%             | 2027-05-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| UMBS P#AM9188 3.12% 06/01/35                           | FANNIE MAE POOL UMBS P#AM9188 3.12000000                                                         | CUSIP: 3138LAF61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3373175 | PA      | $3045755.08   | 0.01%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN1330 3.19% 03/01/36                           | FANNIE MAE POOL UMBS P#AN1330 3.19000000                                                         | CUSIP: 3138LDPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1836972 | PA      | $1747499.44   | 0.01%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN2896 2.58% 09/01/28                           | FANNIE MAE POOL UMBS P#AN2896 2.58000000                                                         | CUSIP: 3138LFGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3540612 | PA      | $3426485.73   | 0.01%             | 2028-09-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN2899 2.59% 09/01/28                           | FANNIE MAE POOL UMBS P#AN2899 2.59000000                                                         | CUSIP: 3138LFGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7125878 | PA      | $6897491.63   | 0.03%             | 2028-09-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN3242 2.62% 10/01/28                           | FANNIE MAE POOL UMBS P#AN3242 2.62000000                                                         | CUSIP: 3138LFS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7009185 | PA      | $6754168.72   | 0.03%             | 2028-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN4363 3.25% 02/01/27                           | FANNIE MAE POOL UMBS P#AN4363 3.25000000                                                         | CUSIP: 3138LGZ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4931765 | PA      | $4892739.33   | 0.02%             | 2027-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN4917 3.13% 03/01/27                           | FANNIE MAE POOL UMBS P#AN4917 3.13000000                                                         | CUSIP: 3138LHPB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6301431 | PA      | $6247123.98   | 0.02%             | 2027-03-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6244 3.09% 09/01/29                           | FANNIE MAE POOL UMBS P#AN6244 3.09000000                                                         | CUSIP: 3138LJ5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7484000 | PA      | $7236893.21   | 0.03%             | 2029-09-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN5527 3.02% 07/01/29                           | FANNIE MAE POOL UMBS P#AN5527 3.02000000                                                         | CUSIP: 3138LJD98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7746264 | PA      | $7514133.71   | 0.03%             | 2029-07-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6850 3.22% 09/01/32                           | FANNIE MAE POOL UMBS P#AN6850 3.22000000                                                         | CUSIP: 3138LKTG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5974551 | PA      | $5547938.25   | 0.02%             | 2032-09-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN6933 2.9% 10/01/29                            | FANNIE MAE POOL UMBS P#AN6933 2.90000000                                                         | CUSIP: 3138LKV38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3057437 | PA      | $2945826.75   | 0.01%             | 2029-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8048 3.08% 01/01/28                           | FANNIE MAE POOL UMBS P#AN8048 3.08000000                                                         | CUSIP: 3138LL5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7927934.32   | 0.03%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN7943 3.1% 01/01/28                            | FANNIE MAE POOL UMBS P#AN7943 3.10000000                                                         | CUSIP: 3138LLZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6154003 | PA      | $6065572.04   | 0.02%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8933 3.53% 04/01/33                           | FANNIE MAE POOL UMBS P#AN8933 3.53000000                                                         | CUSIP: 3138LM4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12230000 | PA      | $11629238.18  | 0.05%             | 2033-04-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN8240 3.19% 01/01/33                           | FANNIE MAE POOL UMBS P#AN8240 3.19000000                                                         | CUSIP: 3138LMEN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2819253 | PA      | $2734665.63   | 0.01%             | 2033-01-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN9424 3.66% 03/01/27                           | FANNIE MAE POOL UMBS P#AN9424 3.66000000                                                         | CUSIP: 3138LNPJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2111739 | PA      | $2102706.28   | 0.01%             | 2027-03-01      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| UMBS P#AN9486 3.57% 06/01/28                           | FANNIE MAE POOL UMBS P#AN9486 3.57000000                                                         | CUSIP: 3138LNRG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8040916 | PA      | $7979862.29   | 0.03%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO2970 3% 05/01/42                              | FANNIE MAE POOL UMBS P#AO2970 3.00000000                                                         | CUSIP: 3138LTJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    153620 | PA      | $142116.36    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO2993 3.5% 05/01/42                            | FANNIE MAE POOL UMBS P#AO2993 3.50000000                                                         | CUSIP: 3138LTKF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1916450 | PA      | $1824326.51   | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO4135 3.5% 06/01/42                            | FANNIE MAE POOL UMBS P#AO4135 3.50000000                                                         | CUSIP: 3138LUSZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483454 | PA      | $463348.69    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO8044 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AO8044 3.50000000                                                         | CUSIP: 3138LY5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6475844 | PA      | $6218569.64   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO7225 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO7225 4.00000000                                                         | CUSIP: 3138LYA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    131993 | PA      | $128517.46    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO7761 3.5% 07/01/32                            | FANNIE MAE POOL UMBS P#AO7761 3.50000000                                                         | CUSIP: 3138LYTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31562 | PA      | $31043.59     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO8282 4% 08/01/42                              | FANNIE MAE POOL UMBS P#AO8282 4.00000000                                                         | CUSIP: 3138M0FY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1850825 | PA      | $1812025.45   | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9140 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AO9140 3.50000000                                                         | CUSIP: 3138M1EN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1190422 | PA      | $1135753.79   | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9352 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO9352 4.00000000                                                         | CUSIP: 3138M1MA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165316 | PA      | $160964.44    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AO9353 4% 07/01/42                              | FANNIE MAE POOL UMBS P#AO9353 4.00000000                                                         | CUSIP: 3138M1MB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196317 | PA      | $191082.33    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AP6381 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#AP6381 3.50000000                                                         | CUSIP: 3138MACT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203071 | PA      | $193703.87    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ5136 3.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AQ5136 3.50000000                                                         | CUSIP: 3138MLV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1022251 | PA      | $975943.81    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ7084 3.5% 12/01/32                            | FANNIE MAE POOL UMBS P#AQ7084 3.50000000                                                         | CUSIP: 3138MN2S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75239 | PA      | $73508.84     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ7920 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AQ7920 3.00000000                                                         | CUSIP: 3138MPYS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36502 | PA      | $33743.36     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ8104 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AQ8104 3.00000000                                                         | CUSIP: 3138MQAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12899 | PA      | $11969.10     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ9316 2.5% 01/01/43                            | FANNIE MAE POOL UMBS P#AQ9316 2.50000000                                                         | CUSIP: 3138MRK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    955070 | PA      | $858481.79    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AQ9999 3% 02/01/43                              | FANNIE MAE POOL UMBS P#AQ9999 3.00000000                                                         | CUSIP: 3138MSDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    265496 | PA      | $244858.24    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FN0029 V/R 12/01/26                             | FANNIE MAE POOL UMBS P#FN0029 V/R 4.47200000                                                     | CUSIP: 3138NJA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    484346 | PA      | $485609.70    | 0.00%             | 2026-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR1725 3.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR1725 3.50000000                                                         | CUSIP: 3138NX4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25331 | PA      | $24155.01     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR1397 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AR1397 3.00000000                                                         | CUSIP: 3138NXRT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    578036 | PA      | $533102.27    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR2626 2.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR2626 2.50000000                                                         | CUSIP: 3138NY4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    440095 | PA      | $393949.49    | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR3332 3.5% 02/01/43                            | FANNIE MAE POOL UMBS P#AR3332 3.50000000                                                         | CUSIP: 3138W0V22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14199 | PA      | $13652.62     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR7484 3.5% 02/01/33                            | FANNIE MAE POOL UMBS P#AR7484 3.50000000                                                         | CUSIP: 3138W5J66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138798 | PA      | $136873.88    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR8293 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AR8293 3.00000000                                                         | CUSIP: 3138W6GB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    585124 | PA      | $540788.37    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS0294 3% 08/01/28                              | FANNIE MAE POOL UMBS P#AS0294 3.00000000                                                         | CUSIP: 3138W9KG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147901 | PA      | $146237.49    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS0574 5% 09/01/43                              | FANNIE MAE POOL UMBS P#AS0574 5.00000000                                                         | CUSIP: 3138W9T83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220001 | PA      | $224797.50    | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS1385 4% 12/01/43                              | FANNIE MAE POOL UMBS P#AS1385 4.00000000                                                         | CUSIP: 3138WARF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38081 | PA      | $37101.31     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS2947 4% 07/01/44                              | FANNIE MAE POOL UMBS P#AS2947 4.00000000                                                         | CUSIP: 3138WCHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    712330 | PA      | $692688.03    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS3293 4% 09/01/44                              | FANNIE MAE POOL UMBS P#AS3293 4.00000000                                                         | CUSIP: 3138WCUT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    284887 | PA      | $277031.21    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4184 4% 01/01/45                              | FANNIE MAE POOL UMBS P#AS4184 4.00000000                                                         | CUSIP: 3138WDUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1886054 | PA      | $1826058.26   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5332 4% 07/01/45                              | FANNIE MAE POOL UMBS P#AS5332 4.00000000                                                         | CUSIP: 3138WE4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2156045 | PA      | $2087922.00   | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4715 3% 04/01/45                              | FANNIE MAE POOL UMBS P#AS4715 3.00000000                                                         | CUSIP: 3138WEGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3021341 | PA      | $2769546.27   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4752 2.5% 04/01/30                            | FANNIE MAE POOL UMBS P#AS4752 2.50000000                                                         | CUSIP: 3138WEH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    370367 | PA      | $360955.91    | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4894 2.5% 05/01/30                            | FANNIE MAE POOL UMBS P#AS4894 2.50000000                                                         | CUSIP: 3138WENL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510199 | PA      | $497233.50    | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4956 3% 05/01/30                              | FANNIE MAE POOL UMBS P#AS4956 3.00000000                                                         | CUSIP: 3138WEQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314261 | PA      | $309233.55    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5133 3.5% 06/01/45                            | FANNIE MAE POOL UMBS P#AS5133 3.50000000                                                         | CUSIP: 3138WEV30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2398159 | PA      | $2277059.15   | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5263 3.5% 06/01/45                            | FANNIE MAE POOL UMBS P#AS5263 3.50000000                                                         | CUSIP: 3138WEZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    533467 | PA      | $506140.90    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS5245 3.5% 06/01/40                            | FANNIE MAE POOL UMBS P#AS5245 3.50000000                                                         | CUSIP: 3138WEZK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    617234 | PA      | $595578.30    | 0.00%             | 2040-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6286 4% 12/01/45                              | FANNIE MAE POOL UMBS P#AS6286 4.00000000                                                         | CUSIP: 3138WF6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283122 | PA      | $273883.41    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7125 2.5% 05/01/46                            | FANNIE MAE POOL UMBS P#AS7125 2.50000000                                                         | CUSIP: 3138WG4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392113 | PA      | $341274.25    | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7155 3% 05/01/46                              | FANNIE MAE POOL UMBS P#AS7155 3.00000000                                                         | CUSIP: 3138WG5R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2118801 | PA      | $1926906.51   | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6302 3.5% 12/01/45                            | FANNIE MAE POOL UMBS P#AS6302 3.50000000                                                         | CUSIP: 3138WGAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169361 | PA      | $160738.57    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6304 4% 12/01/45                              | FANNIE MAE POOL UMBS P#AS6304 4.00000000                                                         | CUSIP: 3138WGAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1185008 | PA      | $1146584.25   | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6515 4% 01/01/46                              | FANNIE MAE POOL UMBS P#AS6515 4.00000000                                                         | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705156 | PA      | $682364.07    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7530 2.5% 07/01/46                            | FANNIE MAE POOL UMBS P#AS7530 2.50000000                                                         | CUSIP: 3138WHLL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    936743 | PA      | $815294.22    | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7660 2.5% 08/01/46                            | FANNIE MAE POOL UMBS P#AS7660 2.50000000                                                         | CUSIP: 3138WHQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364057 | PA      | $316850.57    | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7693 2% 08/01/31                              | FANNIE MAE POOL UMBS P#AS7693 2.00000000                                                         | CUSIP: 3138WHRP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    652187 | PA      | $624978.39    | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7795 4% 08/01/46                              | FANNIE MAE POOL UMBS P#AS7795 4.00000000                                                         | CUSIP: 3138WHUV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    939130 | PA      | $908286.70    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS7844 3% 09/01/46                              | FANNIE MAE POOL UMBS P#AS7844 3.00000000                                                         | CUSIP: 3138WHWE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    346910 | PA      | $314776.95    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8960 4% 03/01/47                              | FANNIE MAE POOL UMBS P#AS8960 4.00000000                                                         | CUSIP: 3138WJ5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2102524 | PA      | $2023129.90   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8269 3% 11/01/46                              | FANNIE MAE POOL UMBS P#AS8269 3.00000000                                                         | CUSIP: 3138WJFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    759135 | PA      | $688695.47    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS8461 3.5% 12/01/46                            | FANNIE MAE POOL UMBS P#AS8461 3.50000000                                                         | CUSIP: 3138WJMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1302395 | PA      | $1228186.14   | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT0656 4% 04/01/43                              | FANNIE MAE POOL UMBS P#AT0656 4.00000000                                                         | CUSIP: 3138WMWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2601119 | PA      | $2542809.37   | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT1572 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AT1572 3.00000000                                                         | CUSIP: 3138WNXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96400 | PA      | $89075.31     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2016 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AT2016 3.00000000                                                         | CUSIP: 3138WPG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    487919 | PA      | $450896.52    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2014 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AT2014 3.00000000                                                         | CUSIP: 3138WPGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    381521 | PA      | $352732.16    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3487 3.5% 04/01/43                            | FANNIE MAE POOL UMBS P#AT3487 3.50000000                                                         | CUSIP: 3138WQ2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1305262 | PA      | $1243974.52   | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT2725 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AT2725 3.00000000                                                         | CUSIP: 3138WQA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3149661 | PA      | $2911004.10   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3012 3.5% 04/01/43                            | FANNIE MAE POOL UMBS P#AT3012 3.50000000                                                         | CUSIP: 3138WQK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    551236 | PA      | $525696.24    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT3922 3% 08/01/43                              | FANNIE MAE POOL UMBS P#AT3922 3.00000000                                                         | CUSIP: 3138WRLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    650092 | PA      | $600834.44    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT4051 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AT4051 3.50000000                                                         | CUSIP: 3138WRQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    499539 | PA      | $474433.02    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT4943 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AT4943 3.50000000                                                         | CUSIP: 3138WSP51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17167 | PA      | $16376.59     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT5026 3% 05/01/43                              | FANNIE MAE POOL UMBS P#AT5026 3.00000000                                                         | CUSIP: 3138WSSQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7591864 | PA      | $7015786.37   | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT7117 3.5% 06/01/33                            | FANNIE MAE POOL UMBS P#AT7117 3.50000000                                                         | CUSIP: 3138WU4B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50242 | PA      | $49325.05     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT6765 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT6765 3.00000000                                                         | CUSIP: 3138WUQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21702 | PA      | $20044.32     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8027 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT8027 3.00000000                                                         | CUSIP: 3138WV4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57562 | PA      | $53188.71     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8292 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AT8292 3.00000000                                                         | CUSIP: 3138WWGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    166779 | PA      | $154072.27    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT8331 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT8331 3.00000000                                                         | CUSIP: 3138WWHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161577 | PA      | $148963.88    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT9193 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AT9193 3.00000000                                                         | CUSIP: 3138WXGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    582628 | PA      | $538236.91    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT9668 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AT9668 3.00000000                                                         | CUSIP: 3138WXW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199259 | PA      | $184244.10    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU0972 3% 08/01/43                              | FANNIE MAE POOL UMBS P#AU0972 3.00000000                                                         | CUSIP: 3138X0CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1677640 | PA      | $1551054.64   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU1629 3% 07/01/43                              | FANNIE MAE POOL UMBS P#AU1629 3.00000000                                                         | CUSIP: 3138X0Y36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2748613 | PA      | $2539777.55   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5339 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AU5339 3.00000000                                                         | CUSIP: 3138X44Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20465 | PA      | $18873.98     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5016 3% 10/01/43                              | FANNIE MAE POOL UMBS P#AU5016 3.00000000                                                         | CUSIP: 3138X4SE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37652 | PA      | $34759.85     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU5938 3% 09/01/28                              | FANNIE MAE POOL UMBS P#AU5938 3.00000000                                                         | CUSIP: 3138X5S40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    232782 | PA      | $229783.10    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV0606 4% 11/01/43                              | FANNIE MAE POOL UMBS P#AV0606 4.00000000                                                         | CUSIP: 3138XBU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    783504 | PA      | $765290.25    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV3992 3% 12/01/28                              | FANNIE MAE POOL UMBS P#AV3992 3.00000000                                                         | CUSIP: 3138XFNJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102350 | PA      | $100993.73    | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AV5470 4% 12/01/43                              | FANNIE MAE POOL UMBS P#AV5470 4.00000000                                                         | CUSIP: 3138XHCG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    543566 | PA      | $528912.94    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AX5316 4.5% 01/01/42                            | FANNIE MAE POOL UMBS P#AX5316 4.50000000                                                         | CUSIP: 3138Y64A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    758535 | PA      | $763146.85    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AX7276 3.5% 12/01/29                            | FANNIE MAE POOL UMBS P#AX7276 3.50000000                                                         | CUSIP: 3138Y9CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376652 | PA      | $372790.23    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AY7670 3.5% 04/01/45                            | FANNIE MAE POOL UMBS P#AY7670 3.50000000                                                         | CUSIP: 3138YMQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4016593 | PA      | $3817118.17   | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AY8243 3.5% 05/01/30                            | FANNIE MAE POOL UMBS P#AY8243 3.50000000                                                         | CUSIP: 3138YNER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92227 | PA      | $90847.07     | 0.00%             | 2030-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AZ3743 3.5% 11/01/45                            | FANNIE MAE POOL UMBS P#AZ3743 3.50000000                                                         | CUSIP: 3138YVER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    885089 | PA      | $834689.13    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#650236 5% 12/01/32                              | FANNIE MAE POOL UMBS P#650236 5.00000000                                                         | CUSIP: 31390MLR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $331.01       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#653815 7% 02/01/33                              | FANNIE MAE POOL UMBS P#653815 7.00000000                                                         | CUSIP: 31390RK44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $439.97       | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#658481 V/R 09/01/33                             | FANNIE MAE POOL UMBS P#658481 V/R 5.90600000                                                     | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17285 | PA      | $17546.50     | 0.00%             | 2033-09-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| UMBS P#674349 6% 03/01/33                              | FANNIE MAE POOL UMBS P#674349 6.00000000                                                         | CUSIP: 31391REW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $319.03       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#675555 6% 12/01/32                              | FANNIE MAE POOL UMBS P#675555 6.00000000                                                         | CUSIP: 31391SQG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4021 | PA      | $4125.67      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#679886 6.5% 02/01/32                            | FANNIE MAE POOL UMBS P#679886 6.50000000                                                         | CUSIP: 31391XJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9040 | PA      | $9379.60      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 PD 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL PD 7.00000000                                                   | CUSIP: 3139204E7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1302 | PA      | $1358.53      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 PU 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL PU 7.00000000                                                   | CUSIP: 3139204T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1595 | PA      | $1677.84      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-44 MY 7% 09/25/31                             | FANNIE MAE REMICS SER 2001-44 CL MY 7.00000000                                                   | CUSIP: 3139205U0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9313 | PA      | $9750.91      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-30 PM 7% 07/25/31                             | FANNIE MAE REMICS SER 2001-30 CL PM 7.00000000                                                   | CUSIP: 313920BG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3416 | PA      | $3517.26      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-36 DE 7% 08/25/31                             | FANNIE MAE REMICS SER 2001-36 CL DE 7.00000000                                                   | CUSIP: 313920LG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8143 | PA      | $8485.36      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-60 PX 6% 11/25/31                             | FANNIE MAE REMICS SER 2001-60 CL PX 6.00000000                                                   | CUSIP: 3139213T3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12267 | PA      | $12674.79     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2001-60 QS V/R 09/25/31                            | FANNIE MAE REMICS SER 2001-60 CL QS V/R 10.53965500                                              | CUSIP: 3139214L9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4375 | PA      | $5125.19      | 0.00%             | 2031-09-25      | Variable      | 10.54%                | No            |                  2 | On Loan: No      |
| FNR 2001-49 Z 6.5% 09/25/31                            | FANNIE MAE REMICS SER 2001-49 CL Z 6.50000000                                                    | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2235 | PA      | $2333.30      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-52 KB 6.5% 10/25/31                           | FANNIE MAE REMICS SER 2001-52 CL KB 6.50000000                                                   | CUSIP: 313921KW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1574 | PA      | $1616.99      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2001-61 Z 7% 11/25/31                              | FANNIE MAE REMICS SER 2001-61 CL Z 7.00000000                                                    | CUSIP: 313921M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13739 | PA      | $14306.03     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#B90491 7.5% 01/01/32                           | FREDDIE MAC GOLD POOL P#B90491 7.50000000                                                        | CUSIP: 313929RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14636 | PA      | $15036.81     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-13 SJ V/R 03/25/32                            | FANNIE MAE REMICS SER 2002-13 CL SJ V/R 1.60000000                                               | CUSIP: 31392A7G7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6837 | PA      | $109.64       | 0.00%             | 2032-03-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNR 2002-13 ST V/R 03/25/32                            | FANNIE MAE REMICS SER 2002-13 CL ST V/R 10.00000000                                              | CUSIP: 31392B5S1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       104 | PA      | $108.96       | 0.00%             | 2032-03-25      | Variable      | 10.00%                | No            |                  2 | On Loan: No      |
| FNR 2001-72 SX V/R 12/25/31                            | FANNIE MAE REMICS SER 2001-72 CL SX V/R 8.17706700                                               | CUSIP: 31392BJG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       218 | PA      | $232.89       | 0.00%             | 2031-12-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FNR 2001-81 LO ZCP 01/25/32                            | FANNIE MAE REMICS SER 2001-81 CL LO ZCP 0.00000000                                               | CUSIP: 31392BNB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       281 | PA      | $247.05       | 0.00%             | 2032-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-1 SA V/R 02/25/32                             | FANNIE MAE REMICS SER 2002-1 CL SA V/R 12.22432300                                               | CUSIP: 31392BVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1325 | PA      | $1571.09      | 0.00%             | 2032-02-25      | Variable      | 12.22%                | No            |                  2 | On Loan: No      |
| FNR 2002-28 PK 6.5% 05/25/32                           | FANNIE MAE REMICS SER 2002-28 CL PK 6.50000000                                                   | CUSIP: 31392CA46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11274 | PA      | $11783.39     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-15 ZA 6% 04/25/32                             | FANNIE MAE REMICS SER 2002-15 CL ZA 6.00000000                                                   | CUSIP: 31392CKK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32438 | PA      | $33622.39     | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-21 LO ZCP 04/25/32                            | FANNIE MAE REMICS SER 2002-21 CL LO ZCP 0.00000000                                               | CUSIP: 31392CNN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       377 | PA      | $332.25       | 0.00%             | 2032-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-21 PE 6.5% 04/25/32                           | FANNIE MAE REMICS SER 2002-21 CL PE 6.50000000                                                   | CUSIP: 31392CPT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5504 | PA      | $5760.01      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-37 Z 6.5% 06/25/32                            | FANNIE MAE REMICS SER 2002-37 CL Z 6.50000000                                                    | CUSIP: 31392DCF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5401 | PA      | $5599.09      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-48 GH 6.5% 08/25/32                           | FANNIE MAE REMICS SER 2002-48 CL GH 6.50000000                                                   | CUSIP: 31392DS45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12924 | PA      | $13559.05     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2002-77 S V/R 12/25/32                             | FANNIE MAE REMICS SER 2002-77 CL S V/R 7.17076800                                                | CUSIP: 31392F6E2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2270 | PA      | $2348.43      | 0.00%             | 2032-12-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNR 2002-78 Z 5.5% 12/25/32                            | FANNIE MAE REMICS SER 2002-78 CL Z 5.50000000                                                    | CUSIP: 31392FA72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30705 | PA      | $31660.80     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNGT 2002-T16 A2 7% 07/25/42                           | FANNIE MAE GRANTOR TRUST 2002-T16 SER 2002-T16 CL A2 7.00000000                                  | CUSIP: 31392FDC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57528 | PA      | $61312.42     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-71 AP 5% 11/25/32                             | FANNIE MAE REMICS SER 2002-71 CL AP 5.00000000                                                   | CUSIP: 31392FES2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1328 | PA      | $1321.22      | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2002-90 A1 6.5% 06/25/42                           | FANNIE MAE REMICS SER 2002-90 CL A1 6.50000000                                                   | CUSIP: 31392GEK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25420 | PA      | $25790.37     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W1 1A1 V/R 12/25/42                           | FANNIE MAE REMIC TRUST 2003-W1 SER 2003-W1 CL 1A1 V/R 4.70490000                                 | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43842 | PA      | $44247.49     | 0.00%             | 2042-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W1 2A V/R 12/25/42                            | FANNIE MAE REMIC TRUST 2003-W1 SER 2003-W1 CL 2A V/R 5.08397000                                  | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12548 | PA      | $12693.04     | 0.00%             | 2042-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNR 2003-9 NZ 6.5% 02/25/33                            | FANNIE MAE REMICS SER 2003-9 CL NZ 6.50000000                                                    | CUSIP: 31392HA45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6257 | PA      | $6576.20      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W2 1A1 6.5% 07/25/42                          | FANNIE MAE TRUST 2003-W2 SER 2003-W2 CL 1A1 6.50000000                                           | CUSIP: 31392JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40243 | PA      | $42207.01     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W2 2A9 5.9% 07/25/42                          | FANNIE MAE TRUST 2003-W2 SER 2003-W2 CL 2A9 5.90000000                                           | CUSIP: 31392JAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24136 | PA      | $24442.10     | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNR 2003-14 TI 5% 03/25/33                             | FANNIE MAE REMICS SER 2003-14 CL TI 5.00000000                                                   | CUSIP: 31392JFP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1484 | PA      | $17.51        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHR 2435 CJ 6.5% 04/15/32                              | FREDDIE MAC REMICS SER 2435 CL CJ 6.50000000                                                     | CUSIP: 31392K2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13964 | PA      | $14647.39     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2455 GK 6.5% 05/15/32                              | FREDDIE MAC REMICS SER 2455 CL GK 6.50000000                                                     | CUSIP: 31392K5C6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8332 | PA      | $8774.65      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2450 SW V/R 03/15/32                               | FREDDIE MAC REMICS SER 2450 CL SW V/R 3.90167000                                                 | CUSIP: 31392KMK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4333 | PA      | $405.86       | 0.00%             | 2032-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHR 2450 GZ 7% 05/15/32                                | FREDDIE MAC REMICS SER 2450 CL GZ 7.00000000                                                     | CUSIP: 31392KPH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8339 | PA      | $8846.08      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2444 ES V/R 03/15/32                               | FREDDIE MAC REMICS SER 2444 CL ES V/R 3.85167000                                                 | CUSIP: 31392KUY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6642 | PA      | $583.70       | 0.00%             | 2032-03-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FSPC T-41 3A V/R 07/25/32                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-41 CL 3A V/R 4.44885000                   | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29128 | PA      | $26970.47     | 0.00%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FSPC T-42 A5 7.5% 02/25/42                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-42 CL A5 7.50000000                       | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118269 | PA      | $127779.05    | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHR 2466 DH 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2466 CL DH 6.50000000                                                     | CUSIP: 31392MM82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2928 | PA      | $3080.53      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2466 PH 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2466 CL PH 6.50000000                                                     | CUSIP: 31392MN99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10694 | PA      | $11236.03     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2458 ZM 6.5% 06/15/32                              | FREDDIE MAC REMICS SER 2458 CL ZM 6.50000000                                                     | CUSIP: 31392PAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3931 | PA      | $3994.15      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2474 NR 6.5% 07/15/32                              | FREDDIE MAC REMICS SER 2474 CL NR 6.50000000                                                     | CUSIP: 31392R3C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9742 | PA      | $10160.33     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2484 LZ 6.5% 07/15/32                              | FREDDIE MAC REMICS SER 2484 CL LZ 6.50000000                                                     | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12039 | PA      | $12669.41     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2475 S V/R 02/15/32                                | FREDDIE MAC REMICS SER 2475 CL S V/R 3.90167000                                                  | CUSIP: 31392RB59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16500 | PA      | $1799.13      | 0.00%             | 2032-02-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHR 2500 MC 6% 09/15/32                                | FREDDIE MAC REMICS SER 2500 CL MC 6.00000000                                                     | CUSIP: 31392UXE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7911 | PA      | $8230.53      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-48 1A V/R 07/25/33                              | FSPC T-48 1A V/R 07/25/33 4.31575000                                                             | CUSIP: 31392UZ56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82783 | PA      | $80373.44     | 0.00%             | 2033-07-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FSPC T-51 2A V/R 08/25/42                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-51 CL 2A V/R 7.50000000                   | CUSIP: 31392W7D6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25827 | PA      | $25887.43     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-39 IO V/R 05/25/33                            | FANNIE MAE REMICS SER 2003-39 CL IO V/R 6.00000000                                               | CUSIP: 31393A5Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2453 | PA      | $345.99       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-22 UD 4% 04/25/33                             | FANNIE MAE REMICS SER 2003-22 CL UD 4.00000000                                                   | CUSIP: 31393ANT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58784 | PA      | $58336.17     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W4 2A V/R 10/25/42                            | FANNIE MAE REMIC TRUST 2003-W4 SER 2003-W4 CL 2A V/R 5.05338000                                  | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5984 | PA      | $6075.41      | 0.00%             | 2042-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNR 2003-33 IA 6.5% 05/25/33                           | FANNIE MAE REMICS SER 2003-33 CL IA 6.50000000                                                   | CUSIP: 31393BFR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22177 | PA      | $2844.02      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-35 EA ZCP 05/25/33                            | FANNIE MAE REMICS SER 2003-35 CL EA ZCP 0.00000000                                               | CUSIP: 31393BP33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1819 | PA      | $1617.23      | 0.00%             | 2033-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W6 2 5.204% 09/25/42                          | FANNIE MAE TRUST 2003-W6 SER 2003-W6 CL 2A4 5.20400000                                           | CUSIP: 31393BU52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136295 | PA      | $136170.53    | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W6 3A 6.5% 09/25/42                           | FANNIE MAE TRUST 2003-W6 SER 2003-W6 CL 3A 6.50000000                                            | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47973 | PA      | $49539.48     | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-42 GB 4% 05/25/33                             | FANNIE MAE REMICS SER 2003-42 CL GB 4.00000000                                                   | CUSIP: 31393BUX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4295 | PA      | $4249.15      | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 GE 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL GE 6.00000000                                                   | CUSIP: 31393CAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25540 | PA      | $26609.26     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 AX 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL AX 6.00000000                                                   | CUSIP: 31393CDE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9138 | PA      | $9583.65      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 ED 6% 05/25/33                             | FANNIE MAE REMICS SER 2003-34 CL ED 6.00000000                                                   | CUSIP: 31393CDP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40589 | PA      | $42166.29     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-47 PE 5.75% 06/25/33                          | FANNIE MAE REMICS SER 2003-47 CL PE 5.75000000                                                   | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17269 | PA      | $18013.07     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNR 2003-52 SX V/R 10/25/31                            | FANNIE MAE REMICS SER 2003-52 CL SX V/R 10.98399000                                              | CUSIP: 31393CV67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2902 | PA      | $3289.14      | 0.00%             | 2031-10-25      | Variable      | 10.98%                | No            |                  2 | On Loan: No      |
| FNW 2003-W8 2A 7% 10/25/42                             | FANNIE MAE TRUST 2003-W8 SER 2003-W8 CL 2A 7.00000000                                            | CUSIP: 31393CW82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52122 | PA      | $53878.24     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNW 2003-W8 3F1 V/R 05/25/42                           | FANNIE MAE TRUST 2003-W8 SER 2003-W8 CL 3F1 V/R 4.38867000                                       | CUSIP: 31393CX24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11004 | PA      | $10977.60     | 0.00%             | 2042-05-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNR 2003-73 HC 5.5% 08/25/33                           | FANNIE MAE REMICS SER 2003-73 CL HC 5.50000000                                                   | CUSIP: 31393DB91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26453 | PA      | $27530.52     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-64 SX V/R 07/25/33                            | FANNIE MAE REMICS SER 2003-64 CL SX V/R 3.40217500                                               | CUSIP: 31393DJU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6041 | PA      | $5960.74      | 0.00%             | 2033-07-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNR 2003-72 IE 5.5% 08/25/33                           | FANNIE MAE REMICS SER 2003-72 CL IE 5.50000000                                                   | CUSIP: 31393DXG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69576 | PA      | $8040.22      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-105 AZ 5.5% 10/25/33                          | FANNIE MAE REMICS SER 2003-105 CL AZ 5.50000000                                                  | CUSIP: 31393E7F0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    195764 | PA      | $203708.03    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2003-74 SH V/R 08/25/33                            | FANNIE MAE REMICS SER 2003-74 CL SH V/R 2.99039400                                               | CUSIP: 31393EBW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4821 | PA      | $4347.93      | 0.00%             | 2033-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNR 2003-71 DS V/R 08/25/33                            | FANNIE MAE REMICS SER 2003-71 CL DS V/R 1.94784400                                               | CUSIP: 31393EKS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31935 | PA      | $30237.69     | 0.00%             | 2033-08-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNR 2003-91 SD V/R 09/25/33                            | FANNIE MAE REMICS SER 2003-91 CL SD V/R 5.85221700                                               | CUSIP: 31393EQX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4009 | PA      | $4210.80      | 0.00%             | 2033-09-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHR 2544 HC 6% 12/15/32                                | FREDDIE MAC REMICS SER 2544 CL HC 6.00000000                                                     | CUSIP: 31393FQX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6609 | PA      | $6923.19      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2543 YX 6% 12/15/32                                | FREDDIE MAC REMICS SER 2543 CL YX 6.00000000                                                     | CUSIP: 31393HGW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23036 | PA      | $24014.11     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2552 ME 6% 01/15/33                                | FREDDIE MAC REMICS SER 2552 CL ME 6.00000000                                                     | CUSIP: 31393HXK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15884 | PA      | $16494.43     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2567 QD 6% 02/15/33                                | FREDDIE MAC REMICS SER 2567 CL QD 6.00000000                                                     | CUSIP: 31393KA39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14807 | PA      | $15456.47     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2575 ME 6% 02/15/33                                | FREDDIE MAC REMICS SER 2575 CL ME 6.00000000                                                     | CUSIP: 31393KSG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63482 | PA      | $66227.88     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2571 FY    V/R 12/15/32                            | FREDDIE MAC REMICS 2571 FY V/R 4.84833000                                                        | CUSIP: 31393L6N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11146 | PA      | $11200.93     | 0.00%             | 2032-12-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHR 2571 SY V/R 12/15/32                               | FREDDIE MAC REMICS SER 2571 CL SY V/R 8.76400800                                                 | CUSIP: 31393LB28<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6571 | PA      | $7253.34      | 0.00%             | 2032-12-15      | Variable      | 8.76%                 | No            |                  2 | On Loan: No      |
| FSPC T-54 2A 6.5% 02/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-54 CL 2A 6.50000000                       | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150943 | PA      | $151527.67    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-54 3A 7% 02/25/43                               | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-54 CL 3A 7.00000000                       | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48402 | PA      | $50354.47     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2586 WI 6.5% 03/15/33                              | FREDDIE MAC REMICS SER 2586 CL WI 6.50000000                                                     | CUSIP: 31393MWB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5216 | PA      | $672.79       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2596 QG 6% 03/15/33                                | FREDDIE MAC REMICS SER 2596 CL QG 6.00000000                                                     | CUSIP: 31393NXU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8436 | PA      | $8828.05      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-56 A5 5.231% 05/25/43                           | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-56 CL A5 5.23100000                       | CUSIP: 31393RGG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    308748 | PA      | $294168.95    | 0.00%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHR 2631 SA V/R 06/15/33                               | FREDDIE MAC REMICS SER 2631 CL SA V/R 7.33639500                                                 | CUSIP: 31393RY20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18075 | PA      | $18989.82     | 0.00%             | 2033-06-15      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNR 2003-116 SB V/R 11/25/33                           | FANNIE MAE REMICS SER 2003-116 CL SB V/R 3.61133000                                              | CUSIP: 31393T4W3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25540 | PA      | $2281.28      | 0.00%             | 2033-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W1 2A2 7% 12/25/33                            | FANNIE MAE TRUST 2004-W1 SER 2004-W1 CL 2A2 7.00000000                                           | CUSIP: 31393U4Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84340 | PA      | $88804.30     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-132 OA ZCP 08/25/33                           | FANNIE MAE REMICS SER 2003-132 CL OA ZCP 0.00000000                                              | CUSIP: 31393UVB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       126 | PA      | $123.52       | 0.00%             | 2033-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2003-130 SX V/R 01/25/34                           | FANNIE MAE REMICS SER 2003-130 CL SX V/R 5.53699500                                              | CUSIP: 31393UWF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       292 | PA      | $302.35       | 0.00%             | 2034-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FHR 2642 SL V/R 07/15/33                               | FREDDIE MAC REMICS SER 2642 CL SL V/R 4.73043500                                                 | CUSIP: 31393VYC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       462 | PA      | $409.60       | 0.00%             | 2033-07-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHR 2653 PZ 5% 07/15/33                                | FREDDIE MAC REMICS SER 2653 CL PZ 5.00000000                                                     | CUSIP: 31393WQ51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72168 | PA      | $73772.18     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-36 FA V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-36 CL FA V/R 4.38867000                                               | CUSIP: 31393X5U7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51608 | PA      | $51341.63     | 0.00%             | 2034-05-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNR 2004-36 SA V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-36 CL SA V/R 8.55615800                                               | CUSIP: 31393X5V5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22065 | PA      | $24479.21     | 0.00%             | 2034-05-25      | Variable      | 8.56%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T2 1A 7.5% 11/25/43                          | FANNIE MAE GRANTOR TRUST 2004-T2 SER 2004-T2 CL 1A4 7.50000000                                   | CUSIP: 31393X7D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70069 | PA      | $70884.16     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T2 2 V/R 07/25/43                            | FANNIE MAE GRANTOR TRUST SERIES 2004-T2 CLASS 2A V/R 5.42018000                                  | CUSIP: 31393X7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28574 | PA      | $29058.07     | 0.00%             | 2043-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T1 1A 6.5% 01/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T1 SER 2004-T1 CL 1A2 6.50000000                                   | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7192 | PA      | $7425.22      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W2 2A2 7% 02/25/44                            | FANNIE MAE TRUST 2004-W2 SER 2004-W2 CL 2A2 7.00000000                                           | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10660 | PA      | $11072.66     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-25 SA V/R 04/25/34                            | FANNIE MAE REMICS SER 2004-25 CL SA V/R 8.55615800                                               | CUSIP: 31393XRE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7666 | PA      | $8319.60      | 0.00%             | 2034-04-25      | Variable      | 8.56%                 | No            |                  2 | On Loan: No      |
| FNR 2004-17 H 5.5% 04/25/34                            | FANNIE MAE REMICS SER 2004-17 CL H 5.50000000                                                    | CUSIP: 31393XZV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65919 | PA      | $68117.31     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2004-51 SY V/R 07/25/34                            | FANNIE MAE REMICS SER 2004-51 CL SY V/R 6.26266000                                               | CUSIP: 31393Y4T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3725 | PA      | $3867.09      | 0.00%             | 2034-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNR 2004-28 PF V/R 03/25/34                            | FANNIE MAE REMICS SER 2004-28 CL PF V/R 4.38867000                                               | CUSIP: 31393YFC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       502 | PA      | $501.84       | 0.00%             | 2034-03-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 EP V/R 03/25/34                            | FANNIE MAE REMICS SER 2004-46 CL EP V/R 0.00000000                                               | CUSIP: 31393YQ99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       547 | PA      | $545.60       | 0.00%             | 2034-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 SK V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-46 CL SK V/R 5.53115800                                               | CUSIP: 31393YT54<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1779 | PA      | $1913.73      | 0.00%             | 2034-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNR 2004-46 QB V/R 05/25/34                            | FANNIE MAE REMICS SER 2004-46 CL QB V/R 8.04532000                                               | CUSIP: 31393YT96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5059 | PA      | $5438.63      | 0.00%             | 2034-05-25      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A 6.5% 02/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL 1A2 6.50000000                                   | CUSIP: 31393YU60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    137850 | PA      | $141397.02    | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A3 7% 02/25/44                           | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL 1A3 7.00000000                                   | CUSIP: 31393YU78<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59024 | PA      | $60916.63     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 PT1 V/R 01/25/44                          | FANNIE MAE GRANTOR TRUST 2004-T3 SER 2004-T3 CL PT1 V/R 9.10775000                               | CUSIP: 31393YV85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10177 | PA      | $10974.98     | 0.00%             | 2044-01-25      | Variable      | 9.11%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W11 1A1 6% 05/25/44                           | FANNIE MAE REMIC TRUST 2004-W11 SER 2004-W11 CL 1A1 6.00000000                                   | CUSIP: 31394AB39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36688 | PA      | $38495.28     | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2004-50 VZ 5.5% 07/25/34                           | FANNIE MAE REMICS SER 2004-50 CL VZ 5.50000000                                                   | CUSIP: 31394AJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    123510 | PA      | $128831.97    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W8 3A 7.5% 06/25/44                           | FANNIE MAE TRUST 2004-W8 SER 2004-W8 CL 3A 7.50000000                                            | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8518 | PA      | $8761.46      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W10 A 5.75% 08/25/34                          | FANNIE MAE REMIC TRUST 2004-W10 SER 2004-W10 CL A6 5.75000000                                    | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149934 | PA      | $154889.88    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNR 2004-74 SW V/R 11/25/31                            | FANNIE MAE REMICS SER 2004-74 CL SW V/R 7.39762000                                               | CUSIP: 31394AR81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4231 | PA      | $4439.42      | 0.00%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNR 2004-61 FH V/R 11/25/32                            | FANNIE MAE REMICS SER 2004-61 CL FH V/R 4.78867000                                               | CUSIP: 31394ARN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61147 | PA      | $61493.32     | 0.00%             | 2032-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNR 2004-61 SK V/R 11/25/32                            | FANNIE MAE REMICS SER 2004-61 CL SK V/R 8.50000000                                               | CUSIP: 31394ATX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3992 | PA      | $4160.33      | 0.00%             | 2032-11-25      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNR 2004-59 BG ZCP 12/25/32                            | FANNIE MAE REMICS SER 2004-59 CL BG ZCP 0.00000000                                               | CUSIP: 31394AVD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2765 | PA      | $2483.32      | 0.00%             | 2032-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W15 2AF V/R 08/25/44                          | FANNIE MAE TRUST 2004-W15 SER 2004-W15 CL 2AF V/R 4.23867000                                     | CUSIP: 31394B2B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34647 | PA      | $34320.32     | 0.00%             | 2044-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNR 2004-87 F V/R 01/25/34                             | FANNIE MAE REMICS SER 2004-87 CL F V/R 4.73867000                                                | CUSIP: 31394BNG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34850 | PA      | $35035.53     | 0.00%             | 2034-01-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W1 1A2 6.5% 10/25/44                          | FANNIE MAE REMIC TRUST 2005-W1 SER 2005-W1 CL 1A2 6.50000000                                     | CUSIP: 31394CB43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62958 | PA      | $65691.13     | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-56 S V/R 07/25/35                             | FANNIE MAE REMICS SER 2005-56 CL S V/R 2.72133000                                                | CUSIP: 31394D6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19266 | PA      | $1424.11      | 0.00%             | 2035-07-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNR 2005-25 PF V/R 04/25/35                            | FANNIE MAE REMICS SER 2005-25 CL PF V/R 4.33867000                                               | CUSIP: 31394DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30340 | PA      | $30076.91     | 0.00%             | 2035-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNR 2005-42 PS V/R 05/25/35                            | FANNIE MAE REMICS SER 2005-42 CL PS V/R 7.02832500                                               | CUSIP: 31394DRU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       578 | PA      | $597.93       | 0.00%             | 2035-05-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNR 2005-68 PG 5.5% 08/25/35                           | FANNIE MAE REMICS SER 2005-68 CL PG 5.50000000                                                   | CUSIP: 31394E7B8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19956 | PA      | $20494.93     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-73 ZB 5.5% 08/25/35                           | FANNIE MAE REMICS SER 2005-73 CL ZB 5.50000000                                                   | CUSIP: 31394EB80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    223775 | PA      | $231924.79    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-73 PS V/R 08/25/35                            | FANNIE MAE REMICS SER 2005-73 CL PS V/R 6.72832500                                               | CUSIP: 31394EC48<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7139 | PA      | $7362.91      | 0.00%             | 2035-08-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNR 2005-66 SG V/R 07/25/35                            | FANNIE MAE REMICS SER 2005-66 CL SG V/R 7.40332500                                               | CUSIP: 31394EKR8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9255 | PA      | $10232.41     | 0.00%             | 2035-07-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNR 2005-66 ZH 5.75% 07/25/35                          | FANNIE MAE REMICS SER 2005-66 CL ZH 5.75000000                                                   | CUSIP: 31394EKW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    622344 | PA      | $648736.88    | 0.00%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNR 2005-59 SU V/R 06/25/35                            | FANNIE MAE REMICS SER 2005-59 CL SU V/R 5.55665000                                               | CUSIP: 31394ETN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9435 | PA      | $10515.31     | 0.00%             | 2035-06-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNR 2005-72 SB V/R 08/25/35                            | FANNIE MAE REMICS SER 2005-72 CL SB V/R 6.90332500                                               | CUSIP: 31394EWU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4075 | PA      | $4293.40      | 0.00%             | 2035-08-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNR 2005-75 SV V/R 09/25/35                            | FANNIE MAE REMICS SER 2005-75 CL SV V/R 8.24532000                                               | CUSIP: 31394FAV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1240 | PA      | $1416.26      | 0.00%             | 2035-09-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| FNR 05-84 XM 5.75% 10/25/35                            | FNR 05-84 XM 5.75% 10/25/35 5.75000000                                                           | CUSIP: 31394FN50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12893 | PA      | $13302.81     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W3 2AF V/R 03/25/45                           | FANNIE MAE TRUST 2005-W3 SER 2005-W3 CL 2AF V/R 4.20867000                                       | CUSIP: 31394FSB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    288790 | PA      | $286302.45    | 0.00%             | 2045-03-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNR 2005-90 ES V/R 10/25/35                            | FANNIE MAE REMICS SER 2005-90 CL ES V/R 6.90332500                                               | CUSIP: 31394FVU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6857 | PA      | $7240.83      | 0.00%             | 2035-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FHR 2671 S V/R 09/15/33                                | FREDDIE MAC REMICS SER 2671 CL S V/R 7.24472800                                                  | CUSIP: 31394HVK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5365 | PA      | $5921.22      | 0.00%             | 2033-09-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FSPC T-57 1A3 7.5% 07/25/43                            | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-57 CL 1A3 7.50000000                      | CUSIP: 31394JDA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27757 | PA      | $30047.92     | 0.00%             | 2043-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-57 1AP ZCP 07/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-57 CL 1AP ZCP 0.00000000                  | CUSIP: 31394JDD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9807 | PA      | $6007.65      | 0.00%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-58 4A 7.5% 09/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-58 CL 4A 7.50000000                       | CUSIP: 31394JY50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    147153 | PA      | $153644.60    | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FSPC T-58 APO ZCP 09/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-58 CL APO ZCP 0.00000000                  | CUSIP: 31394JY76<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9472 | PA      | $7858.64      | 0.00%             | 2043-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2692 SC V/R 07/15/33                               | FREDDIE MAC REMICS SER 2692 CL SC V/R 5.09000700                                                 | CUSIP: 31394KZD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8860 | PA      | $9467.50      | 0.00%             | 2033-07-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHR 2722 PF V/R 12/15/33                               | FREDDIE MAC REMICS SER 2722 CL PF V/R 4.69833000                                                 | CUSIP: 31394NG93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44297 | PA      | $44344.31     | 0.00%             | 2033-12-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHR 2733 SB V/R 10/15/33                               | FREDDIE MAC REMICS SER 2733 CL SB V/R 4.32150300                                                 | CUSIP: 31394NUY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136233 | PA      | $135664.25    | 0.00%             | 2033-10-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FSPC T-59 1A2 7% 10/25/43                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-59 CL 1A2 7.00000000                      | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    141244 | PA      | $148527.76    | 0.00%             | 2043-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-59 1AP ZCP 10/25/43                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-59 CL 1AP ZCP 0.00000000                  | CUSIP: 31394PPU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11581 | PA      | $5812.95      | 0.00%             | 2043-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2744 PE 5.5% 02/15/34                              | FREDDIE MAC REMICS SER 2744 CL PE 5.50000000                                                     | CUSIP: 31394PR88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        94 | PA      | $93.88        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-106 US V/R 11/25/35                           | FANNIE MAE REMICS SER 2005-106 CL US V/R 9.94154700                                              | CUSIP: 31394UN81<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18953 | PA      | $20076.70     | 0.00%             | 2035-11-25      | Variable      | 9.94%                 | No            |                  2 | On Loan: No      |
| FNR 2005-110 GL 5.5% 12/25/35                          | FANNIE MAE REMICS SER 2005-110 CL GL 5.50000000                                                  | CUSIP: 31394US60<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150044 | PA      | $156260.15    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-109 PC 6% 12/25/35                            | FANNIE MAE REMICS SER 2005-109 CL PC 6.00000000                                                  | CUSIP: 31394UZE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1553 | PA      | $1585.70      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-16 OA ZCP 03/25/36                            | FANNIE MAE REMICS SER 2006-16 CL OA ZCP 0.00000000                                               | CUSIP: 31394V4X5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4281 | PA      | $3866.15      | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-16 HZ 5.5% 03/25/36                           | FANNIE MAE REMICS SER 2006-16 CL HZ 5.50000000                                                   | CUSIP: 31394V6A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14889 | PA      | $15424.24     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-11 PS V/R 03/25/36                            | FANNIE MAE REMICS SER 2006-11 CL PS V/R 9.94154700                                               | CUSIP: 31394V7G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5900 | PA      | $6998.50      | 0.00%             | 2036-03-25      | Variable      | 9.94%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W4 1A1 6% 08/25/35                            | FANNIE MAE TRUST 2005-W4 SER 2005-W4 CL 1A1 6.00000000                                           | CUSIP: 31394VPT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12904 | PA      | $13260.44     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-12 BZ 5.5% 03/25/36                           | FANNIE MAE REMICS SER 2006-12 CL BZ 5.50000000                                                   | CUSIP: 31394VQ29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58104 | PA      | $60688.63     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 JZ 5.5% 03/25/36                            | FANNIE MAE REMICS SER 2006-8 CL JZ 5.50000000                                                    | CUSIP: 31394VW97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71732 | PA      | $74119.29     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 WQ ZCP 03/25/36                             | FANNIE MAE REMICS SER 2006-8 CL WQ ZCP 0.00000000                                                | CUSIP: 31394VX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55845 | PA      | $46952.17     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-8 WN V/R 03/25/36                             | FANNIE MAE REMICS SER 2006-8 CL WN V/R 2.71133000                                                | CUSIP: 31394VX47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    204764 | PA      | $19463.39     | 0.00%             | 2036-03-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHR 2780 SY V/R 11/15/33                               | FREDDIE MAC REMICS SER 2780 CL SY V/R 7.48367400                                                 | CUSIP: 31394XSF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3328 | PA      | $3769.79      | 0.00%             | 2033-11-15      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FHR 2802 OH 6% 05/15/34                                | FREDDIE MAC REMICS SER 2802 CL OH 6.00000000                                                     | CUSIP: 31394YPD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10890 | PA      | $11248.61     | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-23 FK V/R 04/25/36                            | FANNIE MAE REMICS SER 2006-23 CL FK V/R 4.23867000                                               | CUSIP: 31395B4A8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35511 | PA      | $35090.15     | 0.00%             | 2036-04-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNR 2006-23 KO ZCP 04/25/36                            | FANNIE MAE REMICS SER 2006-23 CL KO ZCP 0.00000000                                               | CUSIP: 31395B4J9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3773 | PA      | $3440.54      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-22 AO ZCP 04/25/36                            | FANNIE MAE REMICS SER 2006-22 CL AO ZCP 0.00000000                                               | CUSIP: 31395BA52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15833 | PA      | $14220.02     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-27 OH V/R 04/25/36                            | FANNIE MAE REMICS SER 2006-27 CL OH V/R 0.00000000                                               | CUSIP: 31395BZL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6296 | PA      | $5557.93      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-46 FW V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-46 CL FW V/R 4.38867000                                               | CUSIP: 31395D7E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9809 | PA      | $9740.13      | 0.00%             | 2036-06-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNR 2006-46 SW V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-46 CL SW V/R 9.57470200                                               | CUSIP: 31395D7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1566 | PA      | $1753.27      | 0.00%             | 2036-06-25      | Variable      | 9.57%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W1 1AF1 V/R 11/25/46                          | FANNIE MAE WHOLE LOAN SER 2007-W1 CL 1AF1 V/R 4.24867000                                         | CUSIP: 31395D7H6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    291205 | PA      | $288814.80    | 0.00%             | 2046-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNR 2006-43 PO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-43 CL PO ZCP 0.00000000                                               | CUSIP: 31395DC98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4964 | PA      | $4472.12      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-43 DO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-43 CL DO ZCP 0.00000000                                               | CUSIP: 31395DF38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15130 | PA      | $13309.39     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-33 LS V/R 05/25/36                            | FANNIE MAE REMICS SER 2006-33 CL LS V/R 12.20098500                                              | CUSIP: 31395DKV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4825 | PA      | $5872.23      | 0.00%             | 2036-05-25      | Variable      | 12.20%                | No            |                  2 | On Loan: No      |
| FNR 2006-50 PS ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-50 CL PS ZCP 0.00000000                                               | CUSIP: 31395DTS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39551 | PA      | $35860.70     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-50 JO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-50 CL JO ZCP 0.00000000                                               | CUSIP: 31395DUD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31656 | PA      | $27639.46     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2835 QO ZCP 12/15/32                               | FREDDIE MAC REMICS SER 2835 CL QO ZCP 0.00000000                                                 | CUSIP: 31395FEZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5192 | PA      | $4678.25      | 0.00%             | 2032-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-62 1A1 V/R 10/25/44                             | FSPC T-62 1A1 V/R 10/25/44 5.22927000                                                            | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    167768 | PA      | $154740.00    | 0.00%             | 2044-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHR 2929 MS V/R 02/15/35                               | FREDDIE MAC REMICS SER 2929 CL MS V/R 10.12734800                                                | CUSIP: 31395MB65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12571 | PA      | $13651.35     | 0.00%             | 2035-02-15      | Variable      | 10.13%                | No            |                  2 | On Loan: No      |
| FNW 2006-W2 1AF1 V/R 02/25/36                          | FANNIE MAE TRUST 2006-W2 SER 2006-W2 CL 1AF1 V/R 4.20867000                                      | CUSIP: 31395N5A1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    126272 | PA      | $124955.19    | 0.00%             | 2046-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNW 2006-W2 2A V/R 11/25/35                            | FANNIE MAE TRUST 2006-W2 SER 2006-W2 CL 2A V/R 5.69216000                                        | CUSIP: 31395N5E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37510 | PA      | $38591.89     | 0.00%             | 2045-11-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNR 2006-62 PS V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-62 CL PS V/R 15.96798000                                              | CUSIP: 31395N7D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4112 | PA      | $5962.82      | 0.00%             | 2036-07-25      | Variable      | 15.97%                | No            |                  2 | On Loan: No      |
| FNR 2006-44 P ZCP 12/25/33                             | FANNIE MAE REMICS SER 2006-44 CL P ZCP 0.00000000                                                | CUSIP: 31395NBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27211 | PA      | $24009.17     | 0.00%             | 2033-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-44 GO ZCP 06/25/36                            | FANNIE MAE REMICS SER 2006-44 CL GO ZCP 0.00000000                                               | CUSIP: 31395NBG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9530 | PA      | $8493.29      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 FL V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL FL V/R 4.44867000                                               | CUSIP: 31395NC96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9606 | PA      | $9555.73      | 0.00%             | 2036-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 PO ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL PO ZCP 0.00000000                                               | CUSIP: 31395ND20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5950 | PA      | $5221.87      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 AP ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL AP ZCP 0.00000000                                               | CUSIP: 31395NE29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3247 | PA      | $2663.89      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-58 IG V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-58 CL IG V/R 2.53133000                                               | CUSIP: 31395NE86<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10641 | PA      | $871.82       | 0.00%             | 2036-07-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNR 2006-53 US V/R 06/25/36                            | FANNIE MAE REMICS SER 2006-53 CL US V/R 2.59133000                                               | CUSIP: 31395NJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38793 | PA      | $3059.03      | 0.00%             | 2036-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNR 2006-63 ZH 6.5% 07/25/36                           | FANNIE MAE REMICS SER 2006-63 CL ZH 6.50000000                                                   | CUSIP: 31395NQK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55111 | PA      | $59308.87     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-60 AK V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-60 CL AK V/R 12.84532000                                              | CUSIP: 31395NUZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5898 | PA      | $6807.17      | 0.00%             | 2036-07-25      | Variable      | 12.85%                | No            |                  2 | On Loan: No      |
| FNR 2006-56 FC V/R 07/25/36                            | FANNIE MAE REMICS SER 2006-56 CL FC V/R 4.27867000                                               | CUSIP: 31395NXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78512 | PA      | $77965.52     | 0.00%             | 2036-07-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNS 411 F1 V/R 08/25/42                                | FANNIE MAE INTEREST STRIP SER 411 CL F1 V/R 4.53867000                                           | CUSIP: 31395QDC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    566720 | PA      | $562550.39    | 0.00%             | 2042-08-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNS 412 F2 V/R 08/25/42                                | FANNIE MAE INTEREST STRIP SER 412 CL F2 V/R 4.48867000                                           | CUSIP: 31395QDG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177997 | PA      | $172563.58    | 0.00%             | 2042-08-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHR 2968 EH 6% 04/15/35                                | FREDDIE MAC REMICS SER 2968 CL EH 6.00000000                                                     | CUSIP: 31395RQ27<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    255699 | PA      | $264481.05    | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2981 FA V/R 05/15/35                               | FREDDIE MAC REMICS SER 2981 CL FA V/R 4.49833000                                                 | CUSIP: 31395U5N7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13261 | PA      | $13185.17     | 0.00%             | 2035-05-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 2988 AF V/R 06/15/35                               | FREDDIE MAC REMICS SER 2988 CL AF V/R 4.39833000                                                 | CUSIP: 31395UVT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26418 | PA      | $26172.24     | 0.00%             | 2035-06-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHR 2990 GO ZCP 02/15/35                               | FREDDIE MAC REMICS SER 2990 CL GO ZCP 0.00000000                                                 | CUSIP: 31395V2T5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10329 | PA      | $9103.87      | 0.00%             | 2035-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 2990 WP V/R 06/15/35                               | FREDDIE MAC REMICS SER 2990 CL WP V/R 6.45430900                                                 | CUSIP: 31395V4V8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       186 | PA      | $191.96       | 0.00%             | 2035-06-15      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHR 3014 OD ZCP 08/15/35                               | FREDDIE MAC REMICS SER 3014 CL OD ZCP 0.00000000                                                 | CUSIP: 31395XBJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2546 | PA      | $2244.30      | 0.00%             | 2035-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3029 SO ZCP 09/15/35                               | FREDDIE MAC REMICS SER 3029 CL SO ZCP 0.00000000                                                 | CUSIP: 31396AH64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7224 | PA      | $6720.33      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3064 SG V/R 11/15/35                               | FREDDIE MAC REMICS SER 3064 CL SG V/R 6.33890000                                                 | CUSIP: 31396ERQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10075 | PA      | $11082.81     | 0.00%             | 2035-11-15      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHR 3085 WF V/R 08/15/35                               | FREDDIE MAC REMICS SER 3085 CL WF V/R 4.89833000                                                 | CUSIP: 31396FSM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15539 | PA      | $15631.76     | 0.00%             | 2035-08-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHR 3101 UZ 6% 01/15/36                                | FREDDIE MAC REMICS SER 3101 CL UZ 6.00000000                                                     | CUSIP: 31396GLR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36264 | PA      | $38586.71     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3102 HS V/R 01/15/36                               | FREDDIE MAC REMICS SER 3102 CL HS V/R 9.53945700                                                 | CUSIP: 31396H5V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       995 | PA      | $1148.22      | 0.00%             | 2036-01-15      | Variable      | 9.54%                 | No            |                  2 | On Loan: No      |
| FHR 3117 AO ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL AO ZCP 0.00000000                                                 | CUSIP: 31396HUA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10925 | PA      | $10063.93     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3117 EO ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL EO ZCP 0.00000000                                                 | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8063 | PA      | $7227.43      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3117 OG ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL OG ZCP 0.00000000                                                 | CUSIP: 31396HVT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3483 | PA      | $3097.88      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3117 OK ZCP 02/15/36                               | FREDDIE MAC REMICS SER 3117 CL OK ZCP 0.00000000                                                 | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7497 | PA      | $6603.12      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3134 PO ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3134 CL PO ZCP 0.00000000                                                 | CUSIP: 31396J5T8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1996 | PA      | $1668.65      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3122 OH ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3122 CL OH ZCP 0.00000000                                                 | CUSIP: 31396JLG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6745 | PA      | $5907.74      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3122 OP ZCP 03/15/36                               | FREDDIE MAC REMICS SER 3122 CL OP ZCP 0.00000000                                                 | CUSIP: 31396JLH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6253 | PA      | $5754.85      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3122 ZB 6% 03/15/36                                | FREDDIE MAC REMICS SER 3122 CL ZB 6.00000000                                                     | CUSIP: 31396JMD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3647 | PA      | $3873.51      | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHRR R006 ZA 6% 04/15/36                               | FREDDIE MAC REFERENCE REMIC SER R006 CL ZA 6.00000000                                            | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93206 | PA      | $98076.65     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-94 GK V/R 10/25/26                            | FANNIE MAE REMICS SER 2006-94 CL GK V/R 13.30665000                                              | CUSIP: 31396K4D1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       151 | PA      | $156.02       | 0.00%             | 2026-10-25      | Variable      | 13.31%                | No            |                  2 | On Loan: No      |
| FNR 2006-95 SG V/R 10/25/36                            | FANNIE MAE REMICS SER 2006-95 CL SG V/R 10.24532000                                              | CUSIP: 31396K4K5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6136 | PA      | $7700.53      | 0.00%             | 2036-10-25      | Variable      | 10.25%                | No            |                  2 | On Loan: No      |
| FNR 2006-65 QO ZCP 07/25/36                            | FANNIE MAE REMICS SER 2006-65 CL QO ZCP 0.00000000                                               | CUSIP: 31396KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10875 | PA      | $9414.77      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-85 MZ 6.5% 09/25/36                           | FANNIE MAE REMICS SER 2006-85 CL MZ 6.50000000                                                   | CUSIP: 31396KB50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2707 | PA      | $2876.69      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-78 BZ 6.5% 08/25/36                           | FANNIE MAE REMICS SER 2006-78 CL BZ 6.50000000                                                   | CUSIP: 31396KDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8053 | PA      | $8606.79      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-77 PC 6.5% 08/25/36                           | FANNIE MAE REMICS SER 2006-77 CL PC 6.50000000                                                   | CUSIP: 31396KGX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16943 | PA      | $17534.07     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-72 TO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-72 CL TO ZCP 0.00000000                                               | CUSIP: 31396KHT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3449 | PA      | $2885.60      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-86 OB ZCP 09/25/36                            | FANNIE MAE REMICS SER 2006-86 CL OB ZCP 0.00000000                                               | CUSIP: 31396KJ52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11961 | PA      | $10320.43     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-72 GO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-72 CL GO ZCP 0.00000000                                               | CUSIP: 31396KJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17112 | PA      | $15205.60     | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-90 AO ZCP 09/25/36                            | FANNIE MAE REMICS SER 2006-90 CL AO ZCP 0.00000000                                               | CUSIP: 31396KU42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5505 | PA      | $4979.40      | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-71 ZL 6% 07/25/36                             | FANNIE MAE REMICS SER 2006-71 CL ZL 6.00000000                                                   | CUSIP: 31396KUT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    126172 | PA      | $132934.74    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 OP ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL OP ZCP 0.00000000                                               | CUSIP: 31396KXD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12118 | PA      | $10124.03     | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 DF V/R 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL DF V/R 4.33867000                                               | CUSIP: 31396KYA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30287 | PA      | $30067.46     | 0.00%             | 2036-08-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNR 2006-79 DO ZCP 08/25/36                            | FANNIE MAE REMICS SER 2006-79 CL DO ZCP 0.00000000                                               | CUSIP: 31396KYB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7179 | PA      | $6136.24      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-118 A1 V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-118 CL A1 V/R 4.24628000                                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19969 | PA      | $19519.35     | 0.00%             | 2036-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNR 06-118 A2 V/R 12/25/36                             | FANNIE MAE SERIES 2006-118 CLASS A2 4.24628000                                                   | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83593 | PA      | $82112.99     | 0.00%             | 2036-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNW 2006-W3 2A 6% 09/25/46                             | FANNIE MAE REMIC TRUST 2006-W3 SER 2006-W3 CL 2A 6.00000000                                      | CUSIP: 31396L7E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29419 | PA      | $30348.03     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-117 GS V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-117 CL GS V/R 2.66133000                                              | CUSIP: 31396LD23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44378 | PA      | $4258.27      | 0.00%             | 2036-12-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNR 2006-119 PO ZCP 12/25/36                           | FANNIE MAE REMICS SER 2006-119 CL PO ZCP 0.00000000                                              | CUSIP: 31396LM80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5247 | PA      | $4677.09      | 0.00%             | 2036-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-109 PO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-109 CL PO ZCP 0.00000000                                              | CUSIP: 31396LQW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3567 | PA      | $3104.25      | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-111 EO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-111 CL EO ZCP 0.00000000                                              | CUSIP: 31396LSR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9153 | PA      | $7453.84      | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-115 ES V/R 12/25/36                           | FANNIE MAE REMICS SER 2006-115 CL ES V/R 10.60532000                                             | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700 | PA      | $785.82       | 0.00%             | 2036-12-25      | Variable      | 10.61%                | No            |                  2 | On Loan: No      |
| FNR 2006-115 OK ZCP 12/25/36                           | FANNIE MAE REMICS SER 2006-115 CL OK ZCP 0.00000000                                              | CUSIP: 31396LU57<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9067 | PA      | $7407.40      | 0.00%             | 2036-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-110 PO ZCP 11/25/36                           | FANNIE MAE REMICS SER 2006-110  CL PO ZCP 0.00000000                                             | CUSIP: 31396LVP2<br>LEI: N/A                  | Long             | RE               | CORP              | US        |     15933 | PA      | $13932.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHR 3137 XP 6% 04/15/36                                | FREDDIE MAC REMICS SER 3137 CL XP 6.00000000                                                     | CUSIP: 31396N2Q8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27778 | PA      | $29315.32     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3138 PO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3138 CL PO ZCP 0.00000000                                                 | CUSIP: 31396N7B6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11725 | PA      | $10304.71     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3147 PO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3147 CL PO ZCP 0.00000000                                                 | CUSIP: 31396NLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12787 | PA      | $11759.36     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHRR R007 ZA 6% 05/15/36                               | FREDDIE MAC REFERENCE REMIC SER R007 CL ZA 6.00000000                                            | CUSIP: 31396NRF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121985 | PA      | $128603.95    | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3151 PO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3151 CL PO ZCP 0.00000000                                                 | CUSIP: 31396NU46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12745 | PA      | $10891.36     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-18 MZ 6% 03/25/37                             | FANNIE MAE REMICS SER 2007-18 CL MZ 6.00000000                                                   | CUSIP: 31396P5P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103144 | PA      | $109074.46    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-130 GI 6.5% 07/25/32                          | FANNIE MAE REMICS SER 2006-130 CL GI 6.50000000                                                  | CUSIP: 31396PAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12825 | PA      | $729.13       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-14 ES V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-14 CL ES V/R 2.45133000                                               | CUSIP: 31396PC33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68769 | PA      | $7372.17      | 0.00%             | 2037-03-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNR 2007-14 OP ZCP 03/25/37                            | FANNIE MAE REMICS SER 2007-14 CL OP ZCP 0.00000000                                               | CUSIP: 31396PE72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7769 | PA      | $6848.96      | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-128 PO ZCP 01/25/37                           | FANNIE MAE REMICS SER 2006-128 CL PO ZCP 0.00000000                                              | CUSIP: 31396PEM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10974 | PA      | $9561.55      | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2006-128 BP 5.5% 01/25/37                          | FANNIE MAE REMICS SER 2006-128 CL BP 5.50000000                                                  | CUSIP: 31396PES6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1579 | PA      | $1597.05      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-1 SD V/R 02/25/37                             | FANNIE MAE REMICS SER 2007-1 CL SD V/R 15.06797400                                               | CUSIP: 31396PHH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8374 | PA      | $14328.17     | 0.00%             | 2037-02-25      | Variable      | 15.07%                | No            |                  2 | On Loan: No      |
| FNR 2007-10 FD V/R 02/25/37                            | FANNIE MAE REMICS SER 2007-10 CL FD V/R 4.23867000                                               | CUSIP: 31396PNF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11131 | PA      | $11017.37     | 0.00%             | 2037-02-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNR 2007-7 SG V/R 08/25/36                             | FANNIE MAE REMICS SER 2007-7 CL SG V/R 2.51133000                                                | CUSIP: 31396PRZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93197 | PA      | $9995.94      | 0.00%             | 2036-08-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNR 2007-22 SC V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-22 CL SC V/R 2.09133000                                               | CUSIP: 31396PU90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       382 | PA      | $13.07        | 0.00%             | 2037-03-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FNR 2007-16 FC V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-16 CL FC V/R 4.73867000                                               | CUSIP: 31396PXY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12608 | PA      | $12642.74     | 0.00%             | 2037-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNR 2009-69 WA V/R 09/25/39                            | FANNIE MAE REMICS SER 2009-69 CL WA V/R 5.96825400                                               | CUSIP: 31396Q5U9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26460 | PA      | $26870.13     | 0.00%             | 2039-09-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNR 2009-65 MT 5% 09/25/39                             | FANNIE MAE REMICS SER 2009-65 CL MT 5.00000000                                                   | CUSIP: 31396QH93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7865 | PA      | $8087.12      | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-47 MT 7% 07/25/39                             | FANNIE MAE REMICS SER 2009-47 CL MT 7.00000000                                                   | CUSIP: 31396QHD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       678 | PA      | $706.00       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-52 PI 5% 07/25/39                             | FANNIE MAE REMICS SER 2009-52 CL PI 5.00000000                                                   | CUSIP: 31396QKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23719 | PA      | $3494.01      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-60 HT 6% 08/25/39                             | FANNIE MAE REMICS SER 2009-60 CL HT 6.00000000                                                   | CUSIP: 31396QPL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    123289 | PA      | $130082.96    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-59 HB 5% 08/25/39                             | FANNIE MAE REMICS SER 2009-59 CL HB 5.00000000                                                   | CUSIP: 31396QRH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97305 | PA      | $99674.83     | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-63 P 5% 03/25/37                              | FANNIE MAE REMICS SER 2009-63 CL P 5.00000000                                                    | CUSIP: 31396QWV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1067 | PA      | $1053.08      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-70 CO ZCP 01/25/37                            | FANNIE MAE REMICS SER 2009-70 CL CO ZCP 0.00000000                                               | CUSIP: 31396QYP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32028 | PA      | $26533.42     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3149 SO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3149 CL SO ZCP 0.00000000                                                 | CUSIP: 31396RJA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7002 | PA      | $5697.64      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3153 EO ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3153 CL EO ZCP 0.00000000                                                 | CUSIP: 31396RKM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15326 | PA      | $13416.11     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3164 MG 6% 06/15/36                                | FREDDIE MAC REMICS SER 3164 CL MG 6.00000000                                                     | CUSIP: 31396TDX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5048 | PA      | $5381.46      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3171 MO ZCP 06/15/36                               | FREDDIE MAC REMICS SER 3171 CL MO ZCP 0.00000000                                                 | CUSIP: 31396TUG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16509 | PA      | $15057.64     | 0.00%             | 2036-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3195 PD 6.5% 07/15/36                              | FREDDIE MAC REMICS SER 3195 CL PD 6.50000000                                                     | CUSIP: 31396UCL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14133 | PA      | $14709.29     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 3194 SA V/R 07/15/36                               | FREDDIE MAC REMICS SER 3194 CL SA V/R 3.00167000                                                 | CUSIP: 31396UD64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4154 | PA      | $436.71       | 0.00%             | 2036-07-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 3179 OA ZCP 07/15/36                               | FREDDIE MAC REMICS SER 3179 CL OA ZCP 0.00000000                                                 | CUSIP: 31396UFA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6676 | PA      | $5826.71      | 0.00%             | 2036-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3181 AZ 6.5% 07/15/36                              | FREDDIE MAC REMICS SER 3181 CL AZ 6.50000000                                                     | CUSIP: 31396UQN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23307 | PA      | $24723.03     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-28 EO ZCP 04/25/37                            | FANNIE MAE REMICS SER 2007-28 CL EO ZCP 0.00000000                                               | CUSIP: 31396VLE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25308 | PA      | $22031.36     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-42 AO ZCP 05/25/37                            | FANNIE MAE REMICS SER 2007-42 CL AO ZCP 0.00000000                                               | CUSIP: 31396VM96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       848 | PA      | $747.77       | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-35 SI V/R 04/25/37                            | FANNIE MAE REMICS SER 2007-35 CL SI V/R 2.11133000                                               | CUSIP: 31396VMR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25228 | PA      | $1314.34      | 0.00%             | 2037-04-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W3 1A 6.75% 04/25/37                          | FANNIE MAE REMIC TRUST 2007-W3 SER 2007-W3 CL 1A3 6.75000000                                     | CUSIP: 31396VQB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10702 | PA      | $10891.69     | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNR 2007-29 SG V/R 04/25/37                            | FANNIE MAE REMICS SER 2007-29 CL SG V/R 9.37100600                                               | CUSIP: 31396VQJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14417 | PA      | $17173.00     | 0.00%             | 2037-04-25      | Variable      | 9.37%                 | No            |                  2 | On Loan: No      |
| FNR 2007-42 B 6% 05/25/37                              | FANNIE MAE REMICS SER 2007-42 CL B 6.00000000                                                    | CUSIP: 31396VR83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42701 | PA      | $45155.50     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-43 FL V/R 05/25/37                            | FANNIE MAE REMICS SER 2007-43 CL FL V/R 4.28867000                                               | CUSIP: 31396VVL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15654 | PA      | $15460.05     | 0.00%             | 2037-05-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNR 2007-78 CB 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-78 CL CB 6.00000000                                                   | CUSIP: 31396W5X0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5395 | PA      | $5702.05      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-78 PE 6.00% 08/25/37                          | FANNIE MAE REMICS SER 2007-78 CL PE 6.00000000                                                   | CUSIP: 31396W5Y8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10227 | PA      | $10801.96     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-53 SH V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-53 CL SH V/R 2.11133000                                               | CUSIP: 31396WCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52218 | PA      | $4361.86      | 0.00%             | 2037-06-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FNR 2007-54 WI V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-54 CL WI V/R 2.11133000                                               | CUSIP: 31396WFF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12328 | PA      | $1256.31      | 0.00%             | 2037-06-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FNR 2007-54 FA V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-54 CL FA V/R 4.38867000                                               | CUSIP: 31396WFQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77526 | PA      | $76864.60     | 0.00%             | 2037-06-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W5 PO ZCP 06/25/37                            | FANNIE MAE REMIC TRUST 2007-W5 SER 2007-W5 CL PO ZCP 0.00000000                                  | CUSIP: 31396WLK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9053 | PA      | $7424.69      | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-65 KI V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-65 CL KI V/R 2.63133000                                               | CUSIP: 31396WLY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44679 | PA      | $4373.33      | 0.00%             | 2037-07-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNR 2007-67 PO ZCP 07/25/37                            | FANNIE MAE REMICS SER 2007-67 CL PO ZCP 0.00000000                                               | CUSIP: 31396WQF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18799 | PA      | $16804.35     | 0.00%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-72 EK V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-72 CL EK V/R 2.41133000                                               | CUSIP: 31396WQH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135454 | PA      | $14976.67     | 0.00%             | 2037-07-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| FNR 2007-70 Z 5.5% 07/25/37                            | FANNIE MAE REMICS SER 2007-70 CL Z 5.50000000                                                    | CUSIP: 31396WRM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48128 | PA      | $50069.27     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-60 AX V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-60 CL AX V/R 3.16133000                                               | CUSIP: 31396WSA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    195687 | PA      | $26133.92     | 0.00%             | 2037-07-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNR 2007-76 AZ 5.5% 08/25/37                           | FANNIE MAE REMICS SER 2007-76 CL AZ 5.50000000                                                   | CUSIP: 31396WT63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5777 | PA      | $6006.93      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W7 1A4 V/R 07/25/37                           | FANNIE MAE REMIC TRUST 2007-W7 SER 2007-W7 CL 1A4 V/R 15.24798000                                | CUSIP: 31396WVA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6069 | PA      | $8300.29      | 0.00%             | 2037-07-25      | Variable      | 15.25%                | No            |                  2 | On Loan: No      |
| FNR 2007-64 FB V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-64 CL FB V/R 4.35867000                                               | CUSIP: 31396WVR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19941 | PA      | $19796.39     | 0.00%             | 2037-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNR 2007-76 ZG 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-76 CL ZG 6.00000000                                                   | CUSIP: 31396WZ90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11980 | PA      | $12356.13     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-62 SE V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-62 CL SE V/R 6.52832500                                               | CUSIP: 31396WZQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10295 | PA      | $11169.12     | 0.00%             | 2037-07-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNR 2007-112 SA V/R 12/25/37                           | FANNIE MAE REMICS SER 2007-112 CL SA V/R 2.46133000                                              | CUSIP: 31396X4C5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68163 | PA      | $8781.85      | 0.00%             | 2037-12-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNR 2007-112 MJ 6.5% 12/25/37                          | FANNIE MAE REMICS SER 2007-112 CL MJ 6.50000000                                                  | CUSIP: 31396X4N1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50276 | PA      | $53103.82     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-116 HI V/R 01/25/38                           | FANNIE MAE REMICS SER 2007-116 CL HI V/R 1.37162100                                              | CUSIP: 31396X6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    105025 | PA      | $6353.99      | 0.00%             | 2038-01-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FNR 2007-81 GE 6% 08/25/37                             | FANNIE MAE REMICS SER 2007-81 CL GE 6.00000000                                                   | CUSIP: 31396XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21344 | PA      | $22550.00     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-97 FC V/R 07/25/37                            | FANNIE MAE REMICS SER 2007-97 CL FC V/R 4.48867000                                               | CUSIP: 31396XB45<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12169 | PA      | $12109.22     | 0.00%             | 2037-07-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2007-97 KI 7% 05/25/33                             | FANNIE MAE REMICS SER 2007-97 CL KI 7.00000000                                                   | CUSIP: 31396XB94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44079 | PA      | $2966.29      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNR 2007-101 A2 V/R 06/27/36                           | FANNIE MAE REMICS SER 2007-101 CL A2 V/R 4.89626900                                              | CUSIP: 31396XC69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150043 | PA      | $151590.07    | 0.00%             | 2036-06-27      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNW 2007-W10 2A V/R 08/25/37                           | FANNIE MAE REMIC TRUST 2007-W1 SER 2007-W10 CL 2A V/R 6.13870000                                 | CUSIP: 31396XD35<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3321 | PA      | $3438.74      | 0.00%             | 2047-08-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNR 2007-79 SB V/R 08/25/37                            | FANNIE MAE REMICS SER 2007-79 CL SB V/R 9.39154600                                               | CUSIP: 31396XDL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14840 | PA      | $17377.51     | 0.00%             | 2037-08-25      | Variable      | 9.39%                 | No            |                  2 | On Loan: No      |
| FNR 2007-106 A7 V/R 10/25/37                           | FANNIE MAE REMICS SER 2007-106 CL A7 V/R 6.06192700                                              | CUSIP: 31396XF25<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15597 | PA      | $15779.53     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNR 2007-98 FB V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-98 CL FB V/R 4.43867000                                               | CUSIP: 31396XJ70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7549 | PA      | $7454.00      | 0.00%             | 2037-06-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNR 2007-77 FG V/R 03/25/37                            | FANNIE MAE REMICS SER 2007-77 CL FG V/R 4.48867000                                               | CUSIP: 31396XJE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19175 | PA      | $19080.83     | 0.00%             | 2037-03-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNR 2007-92 YS V/R 06/25/37                            | FANNIE MAE REMICS SER 2007-92 CL YS V/R 1.79133000                                               | CUSIP: 31396XMZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12928 | PA      | $1016.96      | 0.00%             | 2037-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| FNR 2007-92 YA 6.5% 06/25/37                           | FANNIE MAE REMICS SER 2007-92 CL YA 6.50000000                                                   | CUSIP: 31396XNU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7754 | PA      | $8207.29      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-85 SL V/R 09/25/37                            | FANNIE MAE REMICS SER 2007-85 CL SL V/R 6.17832500                                               | CUSIP: 31396XQU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3200 | PA      | $3310.60      | 0.00%             | 2037-09-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNR 2007-108 SA V/R 12/25/37                           | FANNIE MAE REMICS SER 2007-108 CL SA V/R 2.37133000                                              | CUSIP: 31396XR55<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2652 | PA      | $195.22       | 0.00%             | 2037-12-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNR 2007-88 VI V/R 09/25/37                            | FANNIE MAE REMICS SER 2007-88 CL VI V/R 2.55133000                                               | CUSIP: 31396XUU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64002 | PA      | $5251.26      | 0.00%             | 2037-09-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FNR 2007-100 SM V/R 10/25/37                           | FANNIE MAE REMICS SER 2007-100 CL SM V/R 2.46133000                                              | CUSIP: 31396XXQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45148 | PA      | $4730.39      | 0.00%             | 2037-10-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS SER 2007-1                           | FANNIE MAE REMICS SER 2007-109  CL AI V/R 2.41133000                                             | CUSIP: 31396XY73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58158 | PA      | $5136.23      | 0.00%             | 2037-12-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| FNR 2007-91 ES V/R 10/25/37                            | FANNIE MAE REMICS SER 2007-91 CL ES V/R 2.47133000                                               | CUSIP: 31396XYW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71156 | PA      | $7645.06      | 0.00%             | 2037-10-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNR 2008-27 SN V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-27 CL SN V/R 2.91133000                                               | CUSIP: 31396Y4G4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24971 | PA      | $2644.32      | 0.00%             | 2038-04-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNR 2008-32 SA V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-32 CL SA V/R 2.86133000                                               | CUSIP: 31396Y5B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11785 | PA      | $1029.23      | 0.00%             | 2038-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNR 2008-1 BI V/R 02/25/38                             | FANNIE MAE REMICS SER 2008-1 CL BI V/R 1.92133000                                                | CUSIP: 31396YCX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54168 | PA      | $4330.08      | 0.00%             | 2038-02-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNR 2008-4 SD V/R 02/25/38                             | FANNIE MAE REMICS SER 2008-4 CL SD V/R 2.01133000                                                | CUSIP: 31396YEP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153011 | PA      | $14591.88     | 0.00%             | 2038-02-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNR 2008-10 XI V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-10 CL XI V/R 2.24133000                                               | CUSIP: 31396YKW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23024 | PA      | $2057.20      | 0.00%             | 2038-03-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNR 2008-16 IS V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-16 CL IS V/R 2.21133000                                               | CUSIP: 31396YTG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19533 | PA      | $1557.44      | 0.00%             | 2038-03-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNR 2008-20 SA V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-20 CL SA V/R 3.00133000                                               | CUSIP: 31396YTV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21403 | PA      | $2241.26      | 0.00%             | 2038-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-18 FA V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-18 CL FA V/R 4.88867000                                               | CUSIP: 31396YWQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11917 | PA      | $12016.85     | 0.00%             | 2038-03-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNR 2008-18 SP V/R 03/25/38                            | FANNIE MAE REMICS SER 2008-18 CL SP V/R 6.02266000                                               | CUSIP: 31396YXZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9244 | PA      | $9169.00      | 0.00%             | 2038-03-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNR 2008-28 QS V/R 04/25/38                            | FANNIE MAE REMICS SER 2008-28 CL QS V/R 8.73399000                                               | CUSIP: 31396YY71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8491 | PA      | $9868.48      | 0.00%             | 2038-04-25      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| FHR 3202 HI V/R 08/15/36                               | FREDDIE MAC REMICS SER 3202 CL HI V/R 2.55167000                                                 | CUSIP: 31397ABD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149717 | PA      | $14493.63     | 0.00%             | 2036-08-15      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FHR 3200 AY 5.5% 08/15/36                              | FREDDIE MAC REMICS SER 3200 CL AY 5.50000000                                                     | CUSIP: 31397AGM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50007 | PA      | $51992.15     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3200 PO ZCP 08/15/36                               | FREDDIE MAC REMICS SER 3200 CL PO ZCP 0.00000000                                                 | CUSIP: 31397AJ95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12048 | PA      | $10372.09     | 0.00%             | 2036-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3213 OA ZCP 09/15/36                               | FREDDIE MAC REMICS SER 3213 CL OA ZCP 0.00000000                                                 | CUSIP: 31397B2M2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6816 | PA      | $6096.96      | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3219 DI 6% 04/15/36                                | FREDDIE MAC REMICS SER 3219 CL DI 6.00000000                                                     | CUSIP: 31397BF22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19641 | PA      | $3263.57      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3218 AO ZCP 09/15/36                               | FREDDIE MAC REMICS SER 3218 CL AO ZCP 0.00000000                                                 | CUSIP: 31397BHE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5375 | PA      | $4419.48      | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3232 ST V/R 10/15/36                               | FREDDIE MAC REMICS SER 3232 CL ST V/R 2.60167000                                                 | CUSIP: 31397BP96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24460 | PA      | $1910.24      | 0.00%             | 2036-10-15      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FHR 3225 EO ZCP 10/15/36                               | FREDDIE MAC REMICS SER 3225 CL EO ZCP 0.00000000                                                 | CUSIP: 31397BQR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13021 | PA      | $10945.06     | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3233 OP ZCP 05/15/36                               | FREDDIE MAC REMICS SER 3233 CL OP ZCP 0.00000000                                                 | CUSIP: 31397BYN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2848 | PA      | $2395.38      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3256 PO ZCP 12/15/36                               | FREDDIE MAC REMICS SER 3256 CL  PO ZCP 0.00000000                                                | CUSIP: 31397EBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7076 | PA      | $6019.61      | 0.00%             | 2036-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3260 CS V/R 01/15/37                               | FREDDIE MAC REMICS SER 3260 CL CS V/R 2.04167000                                                 | CUSIP: 31397ELL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12506 | PA      | $1161.85      | 0.00%             | 2037-01-15      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHR 3261 OA ZCP 01/15/37                               | FREDDIE MAC REMICS SER 3261 CL OA ZCP 0.00000000                                                 | CUSIP: 31397EPT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7607 | PA      | $6491.27      | 0.00%             | 2037-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3274 B 6% 02/15/37                                 | FREDDIE MAC REMICS SER 3274 CL B 6.00000000                                                      | CUSIP: 31397F5S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19115 | PA      | $20213.09     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3274 JO ZCP 02/15/37                               | FREDDIE MAC REMICS SER 3274 CL JO ZCP 0.00000000                                                 | CUSIP: 31397F6H0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2345 | PA      | $2062.26      | 0.00%             | 2037-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3275 FL V/R 02/15/37                               | FREDDIE MAC REMICS SER 3275 CL FL V/R 4.53833000                                                 | CUSIP: 31397FDQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10703 | PA      | $10620.32     | 0.00%             | 2037-02-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHR 3290 SB V/R 03/15/37                               | FREDDIE MAC REMICS SER 3290 CL SB V/R 2.35167000                                                 | CUSIP: 31397FR79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23865 | PA      | $2043.75      | 0.00%             | 2037-03-15      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHR 3286 PO ZCP 03/15/37                               | FREDDIE MAC REMICS SER 3286 CL PO ZCP 0.00000000                                                 | CUSIP: 31397G4B3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       714 | PA      | $626.82       | 0.00%             | 2037-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3302 UT 6% 04/15/37                                | FREDDIE MAC REMICS SER 3302 CL UT 6.00000000                                                     | CUSIP: 31397GB82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18914 | PA      | $20029.54     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3305 MG V/R 07/15/34                               | FREDDIE MAC REMICS SER 3305 CL MG V/R 6.31833000                                                 | CUSIP: 31397GU73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12441 | PA      | $12674.12     | 0.00%             | 2034-07-15      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHR 3315 HZ 6% 05/15/37                                | FREDDIE MAC REMICS SER 3315 CL HZ 6.00000000                                                     | CUSIP: 31397H3E6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15045 | PA      | $15922.43     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3318 AO ZCP 05/15/37                               | FREDDIE MAC REMICS SER 3318 CL AO ZCP 0.00000000                                                 | CUSIP: 31397HCU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       262 | PA      | $237.93       | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3316 PO ZCP 05/15/37                               | FREDDIE MAC REMICS SER 3316 CL PO ZCP 0.00000000                                                 | CUSIP: 31397HKV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12941 | PA      | $11002.85     | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3331 PO ZCP 06/15/37                               | FREDDIE MAC REMICS SER 3331 CL PO ZCP 0.00000000                                                 | CUSIP: 31397J5M2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7364 | PA      | $6417.85      | 0.00%             | 2037-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3326 JO ZCP 06/15/37                               | FREDDIE MAC REMICS SER 3326 CL JO ZCP 0.00000000                                                 | CUSIP: 31397JJN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1418 | PA      | $1268.00      | 0.00%             | 2037-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3344 SL V/R 07/15/37                               | FREDDIE MAC REMICS SER 3344 CL SL V/R 2.50167000                                                 | CUSIP: 31397JYA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14527 | PA      | $1281.08      | 0.00%             | 2037-07-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 3365 PO ZCP 09/15/37                               | FREDDIE MAC REMICS SER 3365 CL PO ZCP 0.00000000                                                 | CUSIP: 31397KNK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10692 | PA      | $9117.48      | 0.00%             | 2037-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3371 FA V/R 09/15/37                               | FREDDIE MAC REMICS SER 3371 CL FA V/R 4.69833000                                                 | CUSIP: 31397KNW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5550 | PA      | $5541.26      | 0.00%             | 2037-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHR 3373 TO ZCP 04/15/37                               | FREDDIE MAC REMICS SER 3373 CL TO ZCP 0.00000000                                                 | CUSIP: 31397KUV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7573 | PA      | $6588.91      | 0.00%             | 2037-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-76 2A V/R 10/25/37                              | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES SER T-76 CL 2A V/R 2.19706000                   | CUSIP: 31397KYA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    527838 | PA      | $487718.75    | 0.00%             | 2037-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNR 2008-55 S V/R 07/25/28                             | FANNIE MAE REMICS SER 2008-55 CL S V/R 3.61133000                                                | CUSIP: 31397L4W6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16294 | PA      | $448.31       | 0.00%             | 2028-07-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNR 2008-53 CI V/R 07/25/38                            | FANNIE MAE REMICS SER 2008-53 CL CI V/R 3.21133000                                               | CUSIP: 31397LC23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11607 | PA      | $1146.99      | 0.00%             | 2038-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNR 2008-60 JC 5% 07/25/38                             | FANNIE MAE REMICS SER 2008-60 CL JC 5.00000000                                                   | CUSIP: 31397LJ34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16155 | PA      | $16559.11     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-44 PO ZCP 05/25/38                            | FANNIE MAE REMICS SER 2008-44 CL PO ZCP 0.00000000                                               | CUSIP: 31397LMA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       878 | PA      | $786.10       | 0.00%             | 2038-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-42 AO ZCP 09/25/36                            | FANNIE MAE REMICS SER 2008-42 CL AO ZCP 0.00000000                                               | CUSIP: 31397LPC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4896 | PA      | $4250.67      | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-46 HI V/R 06/25/38                            | FANNIE MAE REMICS SER 2008-46 CL HI V/R 1.82899300                                               | CUSIP: 31397LRU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22134 | PA      | $1343.54      | 0.00%             | 2038-06-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNR 2009-6 GS V/R 02/25/39                             | FANNIE MAE REMICS SER 2009-6 CL GS V/R 2.56133000                                                | CUSIP: 31397M5Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32070 | PA      | $2590.05      | 0.00%             | 2039-02-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNR 2008-56 AC 5% 07/25/38                             | FANNIE MAE REMICS SER 2008-56 CL AC 5.00000000                                                   | CUSIP: 31397MAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12352 | PA      | $12393.64     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2008-80 SA V/R 09/25/38                            | FANNIE MAE REMICS SER 2008-80 CL SA V/R 1.86133000                                               | CUSIP: 31397MRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51801 | PA      | $4205.84      | 0.00%             | 2038-09-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNR 2008-81 SB V/R 09/25/38                            | FANNIE MAE REMICS SER 2008-81 CL SB V/R 1.86133000                                               | CUSIP: 31397MUL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54042 | PA      | $4105.17      | 0.00%             | 2038-09-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNR 2009-4 BD 4.5% 02/25/39                            | FANNIE MAE REMICS SER 2009-4 CL BD 4.50000000                                                    | CUSIP: 31397MW94<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       441 | PA      | $407.76       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2009-17 QS V/R 03/25/39                            | FANNIE MAE REMICS SER 2009-17 CL QS V/R 2.66133000                                               | CUSIP: 31397NGH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11640 | PA      | $1058.05      | 0.00%             | 2039-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNR 2009-19 PW 4.5% 10/25/36                           | FANNIE MAE REMICS SER 2009-19 CL PW 4.50000000                                                   | CUSIP: 31397NUJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49810 | PA      | $50291.62     | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3383 SA V/R 11/15/37                               | FREDDIE MAC REMICS SER 3383 CL SA V/R 2.35167000                                                 | CUSIP: 31397P4L1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49178 | PA      | $3762.63      | 0.00%             | 2037-11-15      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHR 3386 KF V/R 11/15/37                               | FREDDIE MAC REMICS SER 3386 CL KF V/R 4.77833000                                                 | CUSIP: 31397PBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    181163 | PA      | $181375.01    | 0.00%             | 2037-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHR 3387 SA V/R 11/15/37                               | FREDDIE MAC REMICS SER 3387 CL SA V/R 2.32167000                                                 | CUSIP: 31397PFM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98121 | PA      | $7970.81      | 0.00%             | 2037-11-15      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHR 3393 JO V/R 09/15/32                               | FREDDIE MAC REMICS SER 3393 CL JO V/R 0.00000000                                                 | CUSIP: 31397PGA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    269842 | PA      | $246139.53    | 0.00%             | 2032-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3404 SC V/R 01/15/38                               | FREDDIE MAC REMICS SER 3404 CL SC V/R 1.90167000                                                 | CUSIP: 31397PTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    104882 | PA      | $9935.75      | 0.00%             | 2038-01-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNR 2011-2 WA V/R 02/25/51                             | FANNIE MAE REMICS SER 2011-2 CL WA V/R 5.79946900                                                | CUSIP: 31397QHL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21952 | PA      | $22896.62     | 0.00%             | 2051-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNR 2011-19 ZY 6.5% 07/25/36                           | FANNIE MAE REMICS SER 2011-19 CL ZY 6.50000000                                                   | CUSIP: 31397QP69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73044 | PA      | $78608.91     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-147 SA V/R 01/25/41                           | FANNIE MAE REMICS SER 2010-147 CL SA V/R 2.54133000                                              | CUSIP: 31397QW95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    226856 | PA      | $25406.69     | 0.00%             | 2041-01-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHR 3422 SE V/R 02/15/38                               | FREDDIE MAC REMICS SER 3422 CL SE V/R 7.20417500                                                 | CUSIP: 31397RDJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4950 | PA      | $5394.01      | 0.00%             | 2038-02-15      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FHR 3423 PB 5.5% 03/15/38                              | FREDDIE MAC REMICS SER 3423 CL PB 5.50000000                                                     | CUSIP: 31397RVN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    147441 | PA      | $153650.06    | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2011-31 DB 3.5% 04/25/31                           | FANNIE MAE REMICS SER 2011-31 CL DB 3.50000000                                                   | CUSIP: 31397SHK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182135 | PA      | $179571.11    | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2011-30 LS V/R 04/25/41                            | FANNIE MAE REMICS SER 2011-30 CL LS V/R 1.84013400                                               | CUSIP: 31397SMD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145319 | PA      | $10881.56     | 0.00%             | 2041-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FNR 2011-39 ZA 6% 11/25/32                             | FANNIE MAE REMICS SER 2011-39 CL ZA 6.00000000                                                   | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    103831 | PA      | $108380.76    | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3424 PI V/R 04/15/38                               | FREDDIE MAC REMICS SER 3424 CL PI V/R 2.70167000                                                 | CUSIP: 31397T4Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53891 | PA      | $5513.34      | 0.00%             | 2038-04-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FHR 3443 SY V/R 03/15/37                               | FREDDIE MAC REMICS SER 3443 CL SY V/R 9.00000000                                                 | CUSIP: 31397T7H9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6432 | PA      | $7090.76      | 0.00%             | 2037-03-15      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHR 3453 B 5.5% 05/15/38                               | FREDDIE MAC REMICS SER 3453 CL B 5.50000000                                                      | CUSIP: 31397THP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8152 | PA      | $8378.61      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3461 LZ 6% 06/15/38                                | FREDDIE MAC REMICS SER 3461 CL LZ 6.00000000                                                     | CUSIP: 31397TXJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5850 | PA      | $6191.37      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 3461 Z 6% 06/15/38                                 | FREDDIE MAC REMICS SER 3461 CL Z 6.00000000                                                      | CUSIP: 31397TXU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109623 | PA      | $115032.62    | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2011-47 ZA 5.5% 07/25/38                           | FANNIE MAE REMICS SER 2011-47 CL ZA 5.50000000                                                   | CUSIP: 31397UEP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57534 | PA      | $59175.78     | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2011-58 WA V/R 07/25/51                            | FANNIE MAE REMICS SER 2011-58 CL WA V/R 5.50627400                                               | CUSIP: 31397UZD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17538 | PA      | $17292.82     | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHR 3455 SE V/R 06/15/38                               | FREDDIE MAC REMICS SER 3455 CL SE V/R 2.10167000                                                 | CUSIP: 31397WHQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51940 | PA      | $5680.86      | 0.00%             | 2038-06-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHR 3481 SJ V/R 08/15/38                               | FREDDIE MAC REMICS SER 3481 CL SJ V/R 1.75167000                                                 | CUSIP: 31397Y4R9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63997 | PA      | $5904.59      | 0.00%             | 2038-08-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHR 3501 CB 5.5% 01/15/39                              | FREDDIE MAC REMICS SER 3501 CL CB 5.50000000                                                     | CUSIP: 31397YS69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52651 | PA      | $54666.21     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3511 SA V/R 02/15/39                               | FREDDIE MAC REMICS SER 3511 CL SA V/R 1.90167000                                                 | CUSIP: 31397YVF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27657 | PA      | $2267.32      | 0.00%             | 2039-02-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHR 3510 OD ZCP 02/15/37                               | FREDDIE MAC REMICS SER 3510 CL OD ZCP 0.00000000                                                 | CUSIP: 31397YZP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15800 | PA      | $13933.80     | 0.00%             | 2037-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3523 SD V/R 06/15/36                               | FREDDIE MAC REMICS SER 3523 CL SD V/R 8.39209200                                                 | CUSIP: 31398CGJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8136 | PA      | $8563.37      | 0.00%             | 2036-06-15      | Variable      | 8.39%                 | No            |                  2 | On Loan: No      |
| FHR 3531 SA V/R 05/15/39                               | FREDDIE MAC REMICS SER 3531 CL SA V/R 2.20167000                                                 | CUSIP: 31398CVT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40391 | PA      | $3514.37      | 0.00%             | 2039-05-15      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FHR 3531 SM V/R 05/15/39                               | FREDDIE MAC REMICS SER 3531 CL SM V/R 2.00167000                                                 | CUSIP: 31398CVX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4774 | PA      | $318.71       | 0.00%             | 2039-05-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 3546 A V/R 02/15/39                                | FREDDIE MAC REMICS SER 3546 CL A V/R 6.10107900                                                  | CUSIP: 31398E3W2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20367 | PA      | $20724.63     | 0.00%             | 2039-02-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHR 3549 FA V/R 07/15/39                               | FREDDIE MAC REMICS SER 3549 CL FA V/R 5.29833000                                                 | CUSIP: 31398EP99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4645 | PA      | $4739.59      | 0.00%             | 2039-07-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNR 2009-99 SC V/R 12/25/39                            | FANNIE MAE REMICS SER 2009-99 CL SC V/R 2.19133000                                               | CUSIP: 31398F4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19633 | PA      | $1493.68      | 0.00%             | 2039-12-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FNR 2009-99 WA V/R 12/25/39                            | FANNIE MAE REMICS SER 2009-99 CL WA V/R 6.32357400                                               | CUSIP: 31398F4W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59401 | PA      | $60843.00     | 0.00%             | 2039-12-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNW 2009-W1 A 6% 12/25/49                              | FANNIE MAE REMIC TRUST 2009-W1 SER 2009-W1 CL A 6.00000000                                       | CUSIP: 31398F7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86715 | PA      | $90244.98     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-84 WS V/R 10/25/39                            | FANNIE MAE REMICS SER 2009-84 CL WS V/R 1.91133000                                               | CUSIP: 31398FHB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15670 | PA      | $1285.29      | 0.00%             | 2039-10-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNR 2009-86 OT ZCP 10/25/37                            | FANNIE MAE REMICS SER 2009-86 CL OT ZCP 0.00000000                                               | CUSIP: 31398FRT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    163048 | PA      | $140266.25    | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2009-86 IP 5.5% 10/25/39                           | FANNIE MAE REMICS SER 2009-86 CL IP 5.50000000                                                   | CUSIP: 31398FTC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62293 | PA      | $10420.96     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2009-103 MB V/R 12/25/39                           | FANNIE MAE REMICS SER 2009-103 CL MB V/R 6.55343400                                              | CUSIP: 31398GJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52140 | PA      | $52567.88     | 0.00%             | 2039-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNR 2009-112 ST V/R 01/25/40                           | FANNIE MAE REMICS SER 2009-112 CL ST V/R 2.26133000                                              | CUSIP: 31398GKH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42680 | PA      | $4520.64      | 0.00%             | 2040-01-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNR 2010-1 WA V/R 02/25/40                             | FANNIE MAE REMICS SER 2010-1 CL WA V/R 6.28409200                                                | CUSIP: 31398GL23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12210 | PA      | $12425.04     | 0.00%             | 2040-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNR 2009-113 AO ZCP 01/25/40                           | FANNIE MAE REMICS SER 2009-113 CL AO ZCP 0.00000000                                              | CUSIP: 31398GWF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13557 | PA      | $11278.86     | 0.00%             | 2040-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3582 PO ZCP 10/15/49                               | FREDDIE MAC REMICS SER 3582 CL PO ZCP 0.00000000                                                 | CUSIP: 31398KBZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    139394 | PA      | $124270.93    | 0.00%             | 2049-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3610 CA 4.5% 12/15/39                              | FREDDIE MAC REMICS SER 3610 CL CA 4.50000000                                                     | CUSIP: 31398LLE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    875372 | PA      | $885008.62    | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 3608 SC V/R 12/15/39                               | FREDDIE MAC REMICS SER 3608 CL SC V/R 2.15167000                                                 | CUSIP: 31398LQC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22804 | PA      | $1208.06      | 0.00%             | 2039-12-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FHR 3607 AO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3607 CL AO ZCP 0.00000000                                                 | CUSIP: 31398LQK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20362 | PA      | $17606.16     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3607 BO ZCP 04/15/36                               | FREDDIE MAC REMICS SER 3607 CL BO ZCP 0.00000000                                                 | CUSIP: 31398LQM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37358 | PA      | $32942.78     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3607 OP ZCP 07/15/37                               | FREDDIE MAC REMICS SER 3607 CL OP ZCP 0.00000000                                                 | CUSIP: 31398LQS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    111038 | PA      | $95523.68     | 0.00%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3607 PO ZCP 05/15/37______                         | FREDDIE MAC REMICS SER 3607 CL  PO ZCP 0.00000000                                                | CUSIP: 31398LQT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73127 | PA      | $61210.59     | 0.00%             | 2037-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3607 TO ZCP 10/15/39                               | FREDDIE MAC REMICS SER 3607 CL TO ZCP 0.00000000                                                 | CUSIP: 31398LR34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35821 | PA      | $30445.21     | 0.00%             | 2039-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3611 PO ZCP 07/15/34                               | FREDDIE MAC REMICS SER 3611 CL PO ZCP 0.00000000                                                 | CUSIP: 31398LSE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31110 | PA      | $27840.77     | 0.00%             | 2034-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHR 3621 BO ZCP 01/15/40                               | FREDDIE MAC REMICS SER 3621 CL BO ZCP 0.00000000                                                 | CUSIP: 31398LZP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34284 | PA      | $30014.46     | 0.00%             | 2040-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-16 WA V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-16 CL WA V/R 6.43962400                                               | CUSIP: 31398MRP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40144 | PA      | $41096.00     | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNR 2010-16 WB V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-16 CL WB V/R 6.10131800                                               | CUSIP: 31398MRV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59738 | PA      | $60659.23     | 0.00%             | 2040-03-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNR 2010-102 PN 5% 09/25/40                            | FANNIE MAE REMICS SER 2010-102 CL PN 5.00000000                                                  | CUSIP: 31398NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62556 | PA      | $64025.97     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-111 AM 5.5% 10/25/40                          | FANNIE MAE REMICS SER 2010-111 CL AM 5.50000000                                                  | CUSIP: 31398NXS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    312858 | PA      | $326401.35    | 0.00%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-49 SC V/R 03/25/40                            | FANNIE MAE REMICS SER 2010-49_  CL SC V/R 4.68266000                                             | CUSIP: 31398P5R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64767 | PA      | $64579.26     | 0.00%             | 2040-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNR 2010-35 SJ V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-35 CL SJ V/R 4.37110400                                               | CUSIP: 31398PGF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36023 | PA      | $36080.91     | 0.00%             | 2040-04-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNR 2010-35 SB V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-35 CL SB V/R 2.43133000                                               | CUSIP: 31398PKD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26980 | PA      | $1784.28      | 0.00%             | 2040-04-25      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| FNR 2010-40 FJ V/R 04/25/40                            | FANNIE MAE REMICS SER 2010-40 CL FJ V/R 4.58867000                                               | CUSIP: 31398PQB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2471 | PA      | $2470.41      | 0.00%             | 2040-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNR 2010-42 S V/R 05/25/40                             | FANNIE MAE REMICS SER 2010-42 CL S V/R 2.41133000                                                | CUSIP: 31398PSE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17450 | PA      | $1500.31      | 0.00%             | 2040-05-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| FNR 2010-39 OT ZCP 10/25/35                            | FANNIE MAE REMICS SER 2010-39 CL OT ZCP 0.00000000                                               | CUSIP: 31398PU23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6196 | PA      | $5450.75      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-80 AZ 5% 07/25/40                             | FANNIE MAE REMICS SER 2010-80 CL AZ 5.00000000                                                   | CUSIP: 31398R2F1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2097393 | PA      | $2146176.55   | 0.01%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-43 FD V/R 05/25/40                            | FANNIE MAE REMICS SER 2010-43_  CL FD V/R 4.58867000                                             | CUSIP: 31398RCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18525 | PA      | $18487.74     | 0.00%             | 2040-05-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNR 2010-64 DM 5% 06/25/40                             | FANNIE MAE REMICS SER 2010-64 CL DM 5.00000000                                                   | CUSIP: 31398RM85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85018 | PA      | $86310.00     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-63 AP ZCP 06/25/40                            | FANNIE MAE REMICS SER 2010-63 CL AP ZCP 0.00000000                                               | CUSIP: 31398RPH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22172 | PA      | $19479.71     | 0.00%             | 2040-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR 2010-58 MB 5.5% 06/25/40                           | FANNIE MAE REMICS SER 2010-58 CL MB 5.50000000                                                   | CUSIP: 31398RYR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    203229 | PA      | $207803.79    | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-125 SA V/R 11/25/40                           | FANNIE MAE REMICS SER 2010-125 CL SA V/R 0.45133000                                              | CUSIP: 31398SES8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122614 | PA      | $4977.34      | 0.00%             | 2040-11-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FNR 2010-71 HJ 5.5% 07/25/40                           | FANNIE MAE REMICS SER 2010-71 CL HJ 5.50000000                                                   | CUSIP: 31398TDU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85916 | PA      | $89368.53     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNR 2010-103 SB V/R 11/25/49                           | FANNIE MAE REMICS SER 2010-103 CL SB V/R 2.11133000                                              | CUSIP: 31398TY62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36247 | PA      | $3270.69      | 0.00%             | 2049-11-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHR 3645 KZ 5.5% 08/15/36                              | FREDDIE MAC REMICS SER 3645 CL KZ 5.50000000                                                     | CUSIP: 31398VFA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17830 | PA      | $18538.20     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHR 3632 BS V/R 02/15/40                               | FREDDIE MAC REMICS SER 3632 CL BS V/R 3.83890000                                                 | CUSIP: 31398WRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83840 | PA      | $83521.42     | 0.00%             | 2040-02-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHR 3654 DC 5% 04/15/30                                | FREDDIE MAC REMICS SER 3654 CL DC 5.00000000                                                     | CUSIP: 31398WV50<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    224515 | PA      | $228116.56    | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#682078 5.5% 11/01/32                            | FANNIE MAE POOL UMBS P#682078 5.50000000                                                         | CUSIP: 31400AXF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20681 | PA      | $21232.13     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#683351 5.5% 02/01/33                            | FANNIE MAE POOL UMBS P#683351 5.50000000                                                         | CUSIP: 31400CEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $476.02       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#688625 6% 03/01/33                              | FANNIE MAE POOL UMBS P#688625 6.00000000                                                         | CUSIP: 31400JA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       729 | PA      | $748.02       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#689977 8% 03/01/27                              | FANNIE MAE POOL UMBS P#689977 8.00000000                                                         | CUSIP: 31400KQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $298.45       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#695533 8% 06/01/27                              | FANNIE MAE POOL UMBS P#695533 8.00000000                                                         | CUSIP: 31400RV24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       552 | PA      | $556.16       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#695584 6% 03/01/33                              | FANNIE MAE POOL UMBS P#695584 6.00000000                                                         | CUSIP: 31400RXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       262 | PA      | $268.71       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#702901 6% 05/01/33                              | FANNIE MAE POOL UMBS P#702901 6.00000000                                                         | CUSIP: 31401A3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $5028.48      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#720155 5.5% 07/01/33                            | FANNIE MAE POOL UMBS P#720155 5.50000000                                                         | CUSIP: 31401WBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2928 | PA      | $2968.83      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#720576 5% 06/01/33                              | FANNIE MAE POOL UMBS P#720576 5.00000000                                                         | CUSIP: 31401WQ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3095 | PA      | $3147.39      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#723852 5% 07/01/33                              | FANNIE MAE POOL UMBS P#723852 5.00000000                                                         | CUSIP: 31402BEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4365 | PA      | $4397.48      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#725017 5.5% 12/01/33                            | FANNIE MAE POOL UMBS P#725017 5.50000000                                                         | CUSIP: 31402CPA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23064 | PA      | $23645.13     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#725025 4.5% 10/01/33                            | FANNIE MAE POOL UMBS P#725025 4.50000000                                                         | CUSIP: 31402CPJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1024151 | PA      | $1020459.01   | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#725027 5% 11/01/33                              | FANNIE MAE POOL UMBS P#725027 5.00000000                                                         | CUSIP: 31402CPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11035 | PA      | $11187.75     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#725773 5.5% 09/01/34                            | FANNIE MAE POOL UMBS P#725773 5.50000000                                                         | CUSIP: 31402DJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5030 | PA      | $5176.73      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#729296 5% 07/01/33                              | FANNIE MAE POOL UMBS P#729296 5.00000000                                                         | CUSIP: 31402HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3674 | PA      | $3699.91      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#729379 6% 08/01/33                              | FANNIE MAE POOL UMBS P#729379 6.00000000                                                         | CUSIP: 31402HJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1837 | PA      | $1884.98      | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#735060 6% 11/01/34                              | FANNIE MAE POOL UMBS P#735060 6.00000000                                                         | CUSIP: 31402QTR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1394 | PA      | $1453.48      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#735228 5.5% 02/01/35                            | FANNIE MAE POOL UMBS P#735228 5.50000000                                                         | CUSIP: 31402QYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16859 | PA      | $17584.28     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA P#555436 6% 5/1/33__                              | FNMA P#555436 6% 5/1/33__ 6.00000000                                                             | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25774 | PA      | $26952.68     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#735591 5% 06/01/35                              | FANNIE MAE POOL UMBS P#735591 5.00000000                                                         | CUSIP: 31402RF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    135737 | PA      | $137856.49    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#735676 5% 07/01/35                              | FANNIE MAE POOL UMBS P#735676 5.00000000                                                         | CUSIP: 31402RJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    757281 | PA      | $769117.79    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA P#735925 5% 10/1/35                               | FEDERAL NATIONAL MORTGAGE ASSN  POOL #735925 5.00000000                                          | CUSIP: 31402RSN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69135 | PA      | $70960.84     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#737825 6% 09/01/33                              | FANNIE MAE POOL UMBS P#737825 6.00000000                                                         | CUSIP: 31402TVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3442 | PA      | $3531.58      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#743546 V/R 11/01/33                             | FANNIE MAE POOL UMBS P#743546 V/R 5.93300000                                                     | CUSIP: 31403BBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11566 | PA      | $11780.11     | 0.00%             | 2033-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#745275 5% 02/01/36                              | FANNIE MAE POOL UMBS P#745275 5.00000000                                                         | CUSIP: 31403C6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10409 | PA      | $10690.17     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745148 5% 01/01/36                              | FANNIE MAE POOL UMBS P#745148 5.00000000                                                         | CUSIP: 31403CZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13273 | PA      | $13634.56     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745418 5.5% 04/01/36                            | FANNIE MAE POOL UMBS P#745418 5.50000000                                                         | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18828 | PA      | $19684.60     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#745445 V/R 01/01/36                             | FANNIE MAE POOL UMBS P#745445 V/R 6.19100000                                                     | CUSIP: 31403DES4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7239 | PA      | $7448.15      | 0.00%             | 2036-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#745862 V/R 04/01/35                             | FANNIE MAE POOL UMBS P#745862 V/R 6.38400000                                                     | CUSIP: 31403DTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8344 | PA      | $8583.55      | 0.00%             | 2035-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#745946 5.5% 11/01/36                            | FANNIE MAE POOL UMBS P#745946 5.50000000                                                         | CUSIP: 31403DWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6508 | PA      | $6804.72      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA P745948  6.50% 10/01/36                           | FNMA P745948  6.50% 10/01/36 6.50000000                                                          | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10923 | PA      | $11562.00     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#746299 V/R 09/01/33                             | FANNIE MAE POOL UMBS P#746299 V/R 6.64000000                                                     | CUSIP: 31403EDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2727 | PA      | $2827.22      | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| UMBS P#750977 4.5% 11/01/33                            | FANNIE MAE POOL UMBS P#750977 4.50000000                                                         | CUSIP: 31403KJW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3139 | PA      | $3141.61      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#751341 5.5% 03/01/34                            | FANNIE MAE POOL UMBS P#751341 5.50000000                                                         | CUSIP: 31403KWA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2707 | PA      | $2744.63      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#752786 6% 09/01/33                              | FANNIE MAE POOL UMBS P#752786 6.00000000                                                         | CUSIP: 31403MJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5144 | PA      | $5210.97      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#753174 4% 12/01/33                              | FANNIE MAE POOL UMBS P#753174 4.00000000                                                         | CUSIP: 31403MXB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17499 | PA      | $17257.34     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#755109 5.5% 11/01/33                            | FANNIE MAE POOL UMBS P#755109 5.50000000                                                         | CUSIP: 31403Q3S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       825 | PA      | $844.42       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#755973 8% 11/01/28                              | FANNIE MAE POOL UMBS P#755973 8.00000000                                                         | CUSIP: 31403R2E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2928 | PA      | $2995.78      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#759424 5.5% 01/01/34                            | FANNIE MAE POOL UMBS P#759424 5.50000000                                                         | CUSIP: 31403VVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2781 | PA      | $2826.91      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#766610 V/R 01/01/34                             | FANNIE MAE POOL UMBS P#766610 V/R 6.35000000                                                     | CUSIP: 31404EVB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1298 | PA      | $1326.50      | 0.00%             | 2034-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| UMBS P#770405 5% 04/01/34                              | FANNIE MAE POOL UMBS P#770405 5.00000000                                                         | CUSIP: 31404J3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22332 | PA      | $22404.34     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#776708 5% 05/01/34                              | FANNIE MAE POOL UMBS P#776708 5.00000000                                                         | CUSIP: 31404R3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11214 | PA      | $11389.83     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#777132 V/R 06/01/34                             | FANNIE MAE POOL UMBS P#777132 V/R 6.29500000                                                     | CUSIP: 31404SLM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10511 | PA      | $10853.97     | 0.00%             | 2034-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#781563 V/R 11/01/34                             | FANNIE MAE POOL UMBS P#781563 V/R 5.87400000                                                     | CUSIP: 31404XJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1051 | PA      | $1075.65      | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| UMBS P#782306 V/R 07/01/34                             | FANNIE MAE POOL UMBS P#782306 V/R 5.67000000                                                     | CUSIP: 31404YDK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $278.38       | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#790235 V/R 08/01/34                             | FANNIE MAE POOL UMBS P#790235 V/R 6.23300000                                                     | CUSIP: 31405H4U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4684 | PA      | $4803.21      | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| UMBS P#790964 V/R 09/01/34                             | FANNIE MAE POOL UMBS P#790964 V/R 6.39600000                                                     | CUSIP: 31405JWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       530 | PA      | $545.05       | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#794792 V/R 10/01/34                             | FANNIE MAE POOL UMBS P#794792 V/R 6.21200000                                                     | CUSIP: 31405N7D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2875 | PA      | $2953.23      | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#799912 V/R 11/01/34                             | FANNIE MAE POOL UMBS P#799912 V/R 6.23800000                                                     | CUSIP: 31405UVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1399 | PA      | $1432.13      | 0.00%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| UMBS P#800422 V/R 08/01/34                             | FANNIE MAE POOL UMBS P#800422 V/R 5.93200000                                                     | CUSIP: 31405VG76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10140 | PA      | $10236.82     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| UMBS P#809319 V/R 01/01/35                             | FANNIE MAE POOL UMBS P#809319 V/R 6.67000000                                                     | CUSIP: 31406GDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       908 | PA      | $932.71       | 0.00%             | 2035-01-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#810896 V/R 01/01/35                             | FANNIE MAE POOL UMBS P#810896 V/R 5.92500000                                                     | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34764 | PA      | $36124.38     | 0.00%             | 2035-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| UMBS P#810997 5.5% 10/01/34                            | FANNIE MAE POOL UMBS P#810997 5.50000000                                                         | CUSIP: 31406H7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8745 | PA      | $8733.18      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#810663 5% 01/01/35                              | FANNIE MAE POOL UMBS P#810663 5.00000000                                                         | CUSIP: 31406HTU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5762 | PA      | $5906.36      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#816594 V/R 02/01/35                             | FANNIE MAE POOL UMBS P#816594 V/R 6.24900000                                                     | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1184 | PA      | $1212.47      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#820347 5% 09/01/35                              | FANNIE MAE POOL UMBS P#820347 5.00000000                                                         | CUSIP: 31406UL48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18813 | PA      | $19298.69     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#820602 V/R 03/01/35                             | FANNIE MAE POOL UMBS P#820602 V/R 6.60500000                                                     | CUSIP: 31406UU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5119 | PA      | $5249.13      | 0.00%             | 2035-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| UMBS P#821378 V/R 05/01/35                             | FANNIE MAE POOL UMBS P#821378 V/R 6.03900000                                                     | CUSIP: 31406VQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3825 | PA      | $3871.73      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| UMBS P#823660 V/R 05/01/35                             | FANNIE MAE POOL UMBS P#823660 V/R 6.58500000                                                     | CUSIP: 31406YB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2457 | PA      | $2523.70      | 0.00%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#827776 5% 07/01/35                              | FANNIE MAE POOL UMBS P#827776 5.00000000                                                         | CUSIP: 31407DT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3349 | PA      | $3355.31      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#832801 V/R 09/01/35                             | FANNIE MAE POOL UMBS P#832801 V/R 6.45500000                                                     | CUSIP: 31407KGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       749 | PA      | $769.81       | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| UMBS P#833629 7% 03/01/36                              | FANNIE MAE POOL UMBS P#833629 7.00000000                                                         | CUSIP: 31407LEA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       799 | PA      | $839.08       | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#849251 V/R 01/01/36                             | FANNIE MAE POOL UMBS P#849251 V/R 6.04900000                                                     | CUSIP: 31408EQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25521 | PA      | $26092.81     | 0.00%             | 2036-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#851432 V/R 10/01/35                             | FANNIE MAE POOL UMBS P#851432 V/R 6.58100000                                                     | CUSIP: 31408G4R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17660 | PA      | $18328.10     | 0.00%             | 2035-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#868952 V/R 05/01/36                             | FANNIE MAE POOL UMBS P#868952 V/R 6.80500000                                                     | CUSIP: 31409EL90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1027 | PA      | $1058.53      | 0.00%             | 2036-05-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#870770 6.5% 07/01/36                            | FANNIE MAE POOL UMBS P#870770 6.50000000                                                         | CUSIP: 31409GMT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2477.11      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#872825 V/R 06/01/36                             | FANNIE MAE POOL UMBS P#872825 V/R 6.42000000                                                     | CUSIP: 31409JVS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10076 | PA      | $10383.45     | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| UMBS P#880219 7% 02/01/36                              | FANNIE MAE POOL UMBS P#880219 7.00000000                                                         | CUSIP: 31409V4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5868 | PA      | $6036.53      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#DD5580 6.5% 03/01/55                            | FANNIE MAE POOL UMBS P#DD5580 6.50000000                                                         | CUSIP: 3140B6FW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1322716 | PA      | $1401735.17   | 0.01%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#DD7369 6.5% 04/01/55                            | FANNIE MAE POOL UMBS P#DD7369 6.50000000                                                         | CUSIP: 3140B8FK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1742883 | PA      | $1829860.65   | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BC2521 3.5% 01/01/46                            | FANNIE MAE POOL UMBS P#BC2521 3.50000000                                                         | CUSIP: 3140EWYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2871198 | PA      | $2720582.94   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BC5981 3.5% 04/01/46                            | FANNIE MAE POOL UMBS P#BC5981 3.50000000                                                         | CUSIP: 3140F1UF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392654 | PA      | $370626.15    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE3667 3.5% 06/01/47                            | FANNIE MAE POOL UMBS P#BE3667 3.50000000                                                         | CUSIP: 3140FPCD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203265 | PA      | $191936.82    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE8354 4% 03/01/48                              | FANNIE MAE POOL UMBS P#BE8354 4.00000000                                                         | CUSIP: 3140FUH84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    807520 | PA      | $779609.80    | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0805 3% 04/01/64                              | FANNIE MAE POOL UMBS P#BF0805 3.00000000                                                         | CUSIP: 3140FX3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14533284 | PA      | $12679079.48  | 0.05%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0246 4.5% 06/01/51                            | FANNIE MAE POOL UMBS P#BF0246 4.50000000                                                         | CUSIP: 3140FXHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9618905 | PA      | $9559604.95   | 0.04%             | 2051-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0316 4% 07/01/52                              | FANNIE MAE POOL UMBS P#BF0316 4.00000000                                                         | CUSIP: 3140FXK68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10907685 | PA      | $10498997.63  | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0345 3% 10/01/43                              | FANNIE MAE POOL UMBS P#BF0345 3.00000000                                                         | CUSIP: 3140FXL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4796562 | PA      | $4460104.27   | 0.02%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0464 3.5% 03/01/60                            | FANNIE MAE POOL UMBS P#BF0464 3.50000000                                                         | CUSIP: 3140FXQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5107574 | PA      | $4685810.57   | 0.02%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0497 3% 07/01/60                              | FANNIE MAE POOL UMBS P#BF0497 3.00000000                                                         | CUSIP: 3140FXRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6602169 | PA      | $5743770.13   | 0.02%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0546 2.5% 07/01/61                            | FANNIE MAE POOL UMBS P#BF0546 2.50000000                                                         | CUSIP: 3140FXTC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8581418 | PA      | $7066015.05   | 0.03%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0560 2.5% 09/01/61                            | FANNIE MAE POOL UMBS P#BF0560 2.50000000                                                         | CUSIP: 3140FXTS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4948913 | PA      | $4074957.61   | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0604 3.5% 03/01/62                            | FANNIE MAE POOL UMBS P#BF0604 3.50000000                                                         | CUSIP: 3140FXU67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7638649 | PA      | $6940813.60   | 0.03%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0579 3% 12/01/61                              | FANNIE MAE POOL UMBS P#BF0579 3.00000000                                                         | CUSIP: 3140FXUD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8894352 | PA      | $7682520.76   | 0.03%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0617 2.5% 03/01/62                            | FANNIE MAE POOL UMBS P#BF0617 2.50000000                                                         | CUSIP: 3140FXVK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7990693 | PA      | $6579561.71   | 0.03%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0657 4.5% 06/01/62                            | FANNIE MAE POOL UMBS P#BF0657 4.50000000                                                         | CUSIP: 3140FXWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6421638 | PA      | $6268628.96   | 0.02%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BH4684 4% 06/01/47                              | FANNIE MAE POOL UMBS P#BH4684 4.00000000                                                         | CUSIP: 3140GTF21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1182631 | PA      | $1143413.25   | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BH7058 3.5% 12/01/47                            | FANNIE MAE POOL UMBS P#BH7058 3.50000000                                                         | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1413293 | PA      | $1330002.21   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ0669 3.5% 03/01/33                            | FANNIE MAE POOL UMBS P#BJ0669 3.50000000                                                         | CUSIP: 3140H1W71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    724213 | PA      | $716081.77    | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ5756 4% 01/01/48                              | FANNIE MAE POOL UMBS P#BJ5756 4.00000000                                                         | CUSIP: 3140H7ME4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1983485 | PA      | $1903343.43   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ7310 4% 01/01/48                              | FANNIE MAE POOL UMBS P#BJ7310 4.00000000                                                         | CUSIP: 3140H9DQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3505504 | PA      | $3388344.63   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK0436 3% 12/01/49                              | FANNIE MAE POOL UMBS P#BK0436 3.00000000                                                         | CUSIP: 3140HDPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    553571 | PA      | $498943.98    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK8758 4.5% 07/01/49                            | FANNIE MAE POOL UMBS P#BK8758 4.50000000                                                         | CUSIP: 3140HNWU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2036482 | PA      | $2022537.47   | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL1040 3.81% 12/01/28                           | FANNIE MAE POOL UMBS P#BL1040 3.81000000                                                         | CUSIP: 3140HSEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6981271.01   | 0.03%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL2643 3.39% 07/01/34                           | FANNIE MAE POOL UMBS P#BL2643 3.39000000                                                         | CUSIP: 3140HT5D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7858720.90   | 0.03%             | 2034-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL4333 2.52% 11/01/29                           | FANNIE MAE POOL UMBS P#BL4333 2.52000000                                                         | CUSIP: 3140HVY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13352930 | PA      | $12651093.35  | 0.05%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL6438 2.05% 06/01/35                           | FANNIE MAE POOL UMBS P#BL6438 2.05000000                                                         | CUSIP: 3140HYEL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2450000 | PA      | $2010215.94   | 0.01%             | 2035-06-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL8708 1.4% 11/01/32                            | FANNIE MAE POOL UMBS P#BL8708 1.40000000                                                         | CUSIP: 3140J1VA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7023505.55   | 0.03%             | 2032-11-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL9627 1.56% 01/01/31                           | FANNIE MAE POOL UMBS P#BL9627 1.56000000                                                         | CUSIP: 3140J2VV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2275000 | PA      | $2007696.28   | 0.01%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| UMBS P#BL9645 1.5% 01/01/31                            | FANNIE MAE POOL UMBS P#BL9645 1.50000000                                                         | CUSIP: 3140J2WF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8810256.80   | 0.04%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM1753 4% 05/01/37                              | FANNIE MAE POOL UMBS P#BM1753 4.00000000                                                         | CUSIP: 3140J55P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2383816 | PA      | $2352106.43   | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM2007 4% 09/01/48                              | FANNIE MAE POOL UMBS P#BM2007 4.00000000                                                         | CUSIP: 3140J6GR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241562 | PA      | $233413.41    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3665 4% 03/01/48                              | FANNIE MAE POOL UMBS P#BM3665 4.00000000                                                         | CUSIP: 3140J8CB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4179219 | PA      | $4047087.82   | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3904 5% 05/01/48                              | FANNIE MAE POOL UMBS P#BM3904 5.00000000                                                         | CUSIP: 3140J8KS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    782523 | PA      | $795564.32    | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4716 3.5% 12/01/30                            | FANNIE MAE POOL UMBS P#BM4716 3.50000000                                                         | CUSIP: 3140J9G21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    353358 | PA      | $350747.97    | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4856 4% 04/01/47                              | FANNIE MAE POOL UMBS P#BM4856 4.00000000                                                         | CUSIP: 3140J9ME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4587524 | PA      | $4445372.64   | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM4896 3% 02/01/47                              | FANNIE MAE POOL UMBS P#BM4896 3.00000000                                                         | CUSIP: 3140J9NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    344649 | PA      | $318474.15    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5430 5% 01/01/49                              | FANNIE MAE POOL UMBS P#BM5430 5.00000000                                                         | CUSIP: 3140JAA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2871661 | PA      | $2919511.06   | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5469 3% 03/01/44                              | FANNIE MAE POOL UMBS P#BM5469 3.00000000                                                         | CUSIP: 3140JACF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    254004 | PA      | $234743.94    | 0.00%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5787 4% 08/01/47                              | FANNIE MAE POOL UMBS P#BM5787 4.00000000                                                         | CUSIP: 3140JAND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2209410 | PA      | $2138226.20   | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5803 4.5% 04/01/39                            | FANNIE MAE POOL UMBS P#BM5803 4.50000000                                                         | CUSIP: 3140JANV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1939116 | PA      | $1953425.38   | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM5900 3% 11/01/46                              | FANNIE MAE POOL UMBS P#BM5900 3.00000000                                                         | CUSIP: 3140JARW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2314671 | PA      | $2139394.97   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM6492 V/R 11/01/32                             | FANNIE MAE POOL UMBS P#BM6492 V/R 1.50760700                                                     | CUSIP: 3140JBGA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32386859 | PA      | $27251964.58  | 0.11%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM7037 V/R 03/01/32                             | FANNIE MAE POOL UMBS P#BM7037 V/R 1.75464000                                                     | CUSIP: 3140JBZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14915218 | PA      | $13003161.45  | 0.05%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#BN0545 4% 10/01/48                              | FANNIE MAE POOL UMBS P#BN0545 4.00000000                                                         | CUSIP: 3140JGTB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199851 | PA      | $193006.72    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO1728 4% 07/01/49                              | FANNIE MAE POOL UMBS P#BO1728 4.00000000                                                         | CUSIP: 3140JV4N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1753030 | PA      | $1695397.12   | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO1856 3% 08/01/49                              | FANNIE MAE POOL UMBS P#BO1856 3.00000000                                                         | CUSIP: 3140JWB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8995628 | PA      | $8172651.39   | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO4381 4% 10/01/49                              | FANNIE MAE POOL UMBS P#BO4381 4.00000000                                                         | CUSIP: 3140JY2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2287700 | PA      | $2224294.11   | 0.01%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO5032 3% 12/01/49                              | FANNIE MAE POOL UMBS P#BO5032 3.00000000                                                         | CUSIP: 3140K0SW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    167273 | PA      | $150819.80    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP4938 3% 05/01/50                              | FANNIE MAE POOL UMBS P#BP4938 3.00000000                                                         | CUSIP: 3140KCPY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1379399 | PA      | $1242895.76   | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP6618 2.5% 08/01/50                            | FANNIE MAE POOL UMBS P#BP6618 2.50000000                                                         | CUSIP: 3140KEK80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3952996 | PA      | $3376923.53   | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP8607 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#BP8607 2.50000000                                                         | CUSIP: 3140KGR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10948348 | PA      | $9395135.12   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ0040 2.5% 09/01/50                            | FANNIE MAE POOL UMBS P#BQ0040 2.50000000                                                         | CUSIP: 3140KKBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2273191 | PA      | $1960915.62   | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ6306 2% 11/01/50                              | FANNIE MAE POOL UMBS P#BQ6306 2.00000000                                                         | CUSIP: 3140KSAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1187298 | PA      | $979395.56    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS3198 1.8% 10/01/33                            | FANNIE MAE POOL UMBS P#BS3198 1.80000000                                                         | CUSIP: 3140LDRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7475130 | PA      | $6282836.80   | 0.02%             | 2033-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS3637 1.73% 11/01/31                           | FANNIE MAE POOL UMBS P#BS3637 1.73000000                                                         | CUSIP: 3140LEBF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8547239 | PA      | $7522584.08   | 0.03%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4299 2.16% 01/01/34                           | FANNIE MAE POOL UMBS P#BS4299 2.16000000                                                         | CUSIP: 3140LEX51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6070000 | PA      | $5111628.82   | 0.02%             | 2034-01-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4310 2.08% 10/01/33                           | FANNIE MAE POOL UMBS P#BS4310 2.08000000                                                         | CUSIP: 3140LEYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9302240 | PA      | $7957392.07   | 0.03%             | 2033-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4709 2.22% 02/01/32                           | FANNIE MAE POOL UMBS P#BS4709 2.22000000                                                         | CUSIP: 3140LFGT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $4519316.19   | 0.02%             | 2032-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS4866 2.67% 12/01/35                           | FANNIE MAE POOL UMBS P#BS4866 2.67000000                                                         | CUSIP: 3140LFMQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15510000 | PA      | $13109186.01  | 0.05%             | 2035-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS5907 3.54% 06/01/32                           | FANNIE MAE POOL UMBS P#BS5907 3.54000000                                                         | CUSIP: 3140LGR53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15495000 | PA      | $14739980.56  | 0.06%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7111 4.98% 11/01/32                           | FANNIE MAE POOL UMBS P#BS7111 4.98000000                                                         | CUSIP: 3140LH3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7522000 | PA      | $7769429.80   | 0.03%             | 2032-11-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS6339 3.8% 09/01/32                            | FANNIE MAE POOL UMBS P#BS6339 3.80000000                                                         | CUSIP: 3140LHBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9608959 | PA      | $9296702.14   | 0.04%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS6601 3.54% 11/01/32                           | FANNIE MAE POOL UMBS P#BS6601 3.54000000                                                         | CUSIP: 3140LHKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10031000 | PA      | $9519340.66   | 0.04%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7761 4.37% 03/01/33                           | FANNIE MAE POOL UMBS P#BS7761 4.37000000                                                         | CUSIP: 3140LJTT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3077918 | PA      | $3069217.89   | 0.01%             | 2033-03-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7782 4.32% 03/01/30                           | FANNIE MAE POOL UMBS P#BS7782 4.32000000                                                         | CUSIP: 3140LJUG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12400000 | PA      | $12510952.22  | 0.05%             | 2030-03-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7843 3.895% 02/01/33                          | FANNIE MAE POOL UMBS P#BS7843 3.89500000                                                         | CUSIP: 3140LJWD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12350000 | PA      | $11965310.47  | 0.05%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS7853 4.185% 04/01/33                          | FANNIE MAE POOL UMBS P#BS7853 4.18500000                                                         | CUSIP: 3140LJWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1565000 | PA      | $1541783.77   | 0.01%             | 2033-04-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS8195 4.19% 04/01/33                           | FANNIE MAE POOL UMBS P#BS8195 4.19000000                                                         | CUSIP: 3140LKC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7880112.56   | 0.03%             | 2033-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS8167 4.59% 04/01/33                           | FANNIE MAE POOL UMBS P#BS8167 4.59000000                                                         | CUSIP: 3140LKCD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12165000 | PA      | $12244952.76  | 0.05%             | 2033-04-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS8607 4.97% 12/01/30                           | FANNIE MAE POOL UMBS P#BS8607 4.97000000                                                         | CUSIP: 3140LKR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8116833 | PA      | $8359739.28   | 0.03%             | 2030-12-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS8644 4.32% 06/01/33                           | FANNIE MAE POOL UMBS P#BS8644 4.32000000                                                         | CUSIP: 3140LKTA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4990827 | PA      | $4959788.15   | 0.02%             | 2033-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS8846 4.09% 07/01/30                           | FANNIE MAE POOL UMBS P#BS8846 4.09000000                                                         | CUSIP: 3140LKZL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11800000 | PA      | $11781581.03  | 0.05%             | 2030-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS9182 4.52% 10/01/33                           | FANNIE MAE POOL UMBS P#BS9182 4.52000000                                                         | CUSIP: 3140LLFY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5005000 | PA      | $5040935.05   | 0.02%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS9307 4.55% 09/01/33                           | FANNIE MAE POOL UMBS P#BS9307 4.55000000                                                         | CUSIP: 3140LLKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11453371 | PA      | $11561399.56  | 0.05%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#BS9360 4.97% 12/01/32                           | FANNIE MAE POOL UMBS P#BS9360 4.97000000                                                         | CUSIP: 3140LLMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6241000 | PA      | $6419591.83   | 0.03%             | 2032-12-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT3527 3% 10/01/51                              | FANNIE MAE POOL UMBS P#BT3527 3.00000000                                                         | CUSIP: 3140LR4M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1799609 | PA      | $1595641.18   | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU0070 2.5% 10/01/51                            | FANNIE MAE POOL UMBS P#BU0070 2.50000000                                                         | CUSIP: 3140M1CG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9537983 | PA      | $8120026.66   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU1050 2% 10/01/51                              | FANNIE MAE POOL UMBS P#BU1050 2.00000000                                                         | CUSIP: 3140M2EY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8252574 | PA      | $6828564.60   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU9868 2% 01/01/52                              | FANNIE MAE POOL UMBS P#BU9868 2.00000000                                                         | CUSIP: 3140MB6E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25230771 | PA      | $20750995.28  | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV1743 6% 06/01/55                              | FANNIE MAE POOL UMBS P#BV1743 6.00000000                                                         | CUSIP: 3140ME5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11333663 | PA      | $11736084.71  | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV7120 4% 04/01/52                              | FANNIE MAE POOL UMBS P#BV7120 4.00000000                                                         | CUSIP: 3140ML4E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4746098 | PA      | $4519029.55   | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV9931 4% 06/01/52                              | FANNIE MAE POOL UMBS P#BV9931 4.00000000                                                         | CUSIP: 3140MQA90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9947614 | PA      | $9491339.74   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW9898 4.5% 10/01/52                            | FANNIE MAE POOL UMBS P#BW9898 4.50000000                                                         | CUSIP: 3140N27L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7406258 | PA      | $7283786.03   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BY4714 5% 06/01/53                              | FANNIE MAE POOL UMBS P#BY4714 5.00000000                                                         | CUSIP: 3140NMGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14706493 | PA      | $14706005.83  | 0.06%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ0177 5.43% 10/01/32                           | FANNIE MAE POOL UMBS P#BZ0177 5.43000000                                                         | CUSIP: 3140NUFT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2237000 | PA      | $2354950.50   | 0.01%             | 2032-10-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ3753 4.49% 05/01/35                           | FANNIE MAE POOL UMBS P#BZ3753 4.49000000                                                         | CUSIP: 3140NYE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15075249 | PA      | $15034198.28  | 0.06%             | 2035-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ3763 4.29% 05/01/35                           | FANNIE MAE POOL UMBS P#BZ3763 4.29000000                                                         | CUSIP: 3140NYFD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13068000 | PA      | $12790379.88  | 0.05%             | 2035-05-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ3977 4.42% 06/01/32                           | FANNIE MAE POOL UMBS P#BZ3977 4.42000000                                                         | CUSIP: 3140NYM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $7017530.87   | 0.03%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| UMBS P#BZ4871 4.23% 10/01/32                           | FANNIE MAE POOL UMBS P#BZ4871 4.23000000                                                         | CUSIP: 3140Q0MV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11210000 | PA      | $11104048.46  | 0.04%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0789 3.5% 11/01/32                            | FANNIE MAE POOL UMBS P#CA0789 3.50000000                                                         | CUSIP: 3140Q72X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    204833 | PA      | $202428.88    | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0243 4.5% 08/01/47                            | FANNIE MAE POOL UMBS P#CA0243 4.50000000                                                         | CUSIP: 3140Q7HV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    248252 | PA      | $246567.43    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA1576 5% 01/01/48                              | FANNIE MAE POOL UMBS P#CA1576 5.00000000                                                         | CUSIP: 3140Q8XE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327494 | PA      | $332523.51    | 0.00%             | 2048-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA1831 4% 06/01/33                              | FANNIE MAE POOL UMBS P#CA1831 4.00000000                                                         | CUSIP: 3140Q9A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176198 | PA      | $176400.83    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA3809 3% 07/01/49                              | FANNIE MAE POOL UMBS P#CA3809 3.00000000                                                         | CUSIP: 3140QBGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1661163 | PA      | $1498805.18   | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA3861 3.5% 07/01/49                            | FANNIE MAE POOL UMBS P#CA3861 3.50000000                                                         | CUSIP: 3140QBJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13012341 | PA      | $12241190.12  | 0.05%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5354 3.5% 03/01/50                            | FANNIE MAE POOL UMBS P#CA5354 3.50000000                                                         | CUSIP: 3140QC5Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7411228 | PA      | $6868482.34   | 0.03%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4536 3% 11/01/49                              | FANNIE MAE POOL UMBS P#CA4536 3.00000000                                                         | CUSIP: 3140QCBE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825627 | PA      | $743085.02    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4657 3.5% 10/01/48                            | FANNIE MAE POOL UMBS P#CA4657 3.50000000                                                         | CUSIP: 3140QCE77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1710064 | PA      | $1607437.36   | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4881 2.5% 12/01/34                            | FANNIE MAE POOL UMBS P#CA4881 2.50000000                                                         | CUSIP: 3140QCM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5005732 | PA      | $4784297.78   | 0.02%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4860 3% 12/01/49                              | FANNIE MAE POOL UMBS P#CA4860 3.00000000                                                         | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2973823 | PA      | $2676207.82   | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5171 4% 02/01/50                              | FANNIE MAE POOL UMBS P#CA5171 4.00000000                                                         | CUSIP: 3140QCW93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10533463 | PA      | $10122253.92  | 0.04%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5146 3% 02/01/50                              | FANNIE MAE POOL UMBS P#CA5146 3.00000000                                                         | CUSIP: 3140QCWG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12564350 | PA      | $11369456.28  | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5220 3% 02/01/50                              | FANNIE MAE POOL UMBS P#CA5220 3.00000000                                                         | CUSIP: 3140QCYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4760315 | PA      | $4220504.52   | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6256 2.5% 07/01/50                            | FANNIE MAE POOL UMBS P#CA6256 2.50000000                                                         | CUSIP: 3140QD5S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9474265 | PA      | $8178592.01   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5416 2.5% 03/01/50                            | FANNIE MAE POOL UMBS P#CA5416 2.50000000                                                         | CUSIP: 3140QDAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    564452 | PA      | $485990.01    | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5702 2.5% 05/01/50                            | FANNIE MAE POOL UMBS P#CA5702 2.50000000                                                         | CUSIP: 3140QDKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7900105 | PA      | $6810670.11   | 0.03%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5968 2.5% 06/01/50                            | FANNIE MAE POOL UMBS P#CA5968 2.50000000                                                         | CUSIP: 3140QDT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4578620 | PA      | $3954151.30   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7144 2.5% 09/01/35                            | FANNIE MAE POOL UMBS P#CA7144 2.50000000                                                         | CUSIP: 3140QE5E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3190878 | PA      | $3034663.80   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6620 2.5% 08/01/35                            | FANNIE MAE POOL UMBS P#CA6620 2.50000000                                                         | CUSIP: 3140QELA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1297525 | PA      | $1234046.20   | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6847 2.5% 08/01/35                            | FANNIE MAE POOL UMBS P#CA6847 2.50000000                                                         | CUSIP: 3140QETD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2468950 | PA      | $2348147.22   | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6989 2.5% 09/01/50                            | FANNIE MAE POOL UMBS P#CA6989 2.50000000                                                         | CUSIP: 3140QEXT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9633986 | PA      | $8323990.46   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7226 2.5% 10/01/50                            | FANNIE MAE POOL UMBS P#CA7226 2.50000000                                                         | CUSIP: 3140QFA41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5892267 | PA      | $5102207.79   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7497 2.5% 10/01/35                            | FANNIE MAE POOL UMBS P#CA7497 2.50000000                                                         | CUSIP: 3140QFKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95598 | PA      | $90920.78     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA7938 2.5% 11/01/35                            | FANNIE MAE POOL UMBS P#CA7938 2.50000000                                                         | CUSIP: 3140QFZC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161012 | PA      | $153132.16    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA8868 3% 02/01/51                              | FANNIE MAE POOL UMBS P#CA8868 3.00000000                                                         | CUSIP: 3140QG2A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1124420 | PA      | $1017563.08   | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB0858 3% 06/01/51                              | FANNIE MAE POOL UMBS P#CB0858 3.00000000                                                         | CUSIP: 3140QK5U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9379340 | PA      | $8301889.35   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB0478 2% 05/01/36                              | FANNIE MAE POOL UMBS P#CB0478 2.00000000                                                         | CUSIP: 3140QKQ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4801476 | PA      | $4444509.27   | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1273 2% 08/01/51                              | FANNIE MAE POOL UMBS P#CB1273 2.00000000                                                         | CUSIP: 3140QLMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1782467 | PA      | $1460989.56   | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1382 2.5% 08/01/51                            | FANNIE MAE POOL UMBS P#CB1382 2.50000000                                                         | CUSIP: 3140QLRC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7797532 | PA      | $6720895.01   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1469 2% 08/01/36                              | FANNIE MAE POOL UMBS P#CB1469 2.00000000                                                         | CUSIP: 3140QLT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2335412 | PA      | $2163199.13   | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2610 2% 01/01/52                              | FANNIE MAE POOL UMBS P#CB2610 2.00000000                                                         | CUSIP: 3140QM3U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11907833 | PA      | $9730431.60   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2614 2% 01/01/52                              | FANNIE MAE POOL UMBS P#CB2614 2.00000000                                                         | CUSIP: 3140QM3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    432376 | PA      | $350740.94    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2637 2.5% 01/01/52                            | FANNIE MAE POOL UMBS P#CB2637 2.50000000                                                         | CUSIP: 3140QM4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8520781 | PA      | $7338632.18   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2670 3% 01/01/52                              | FANNIE MAE POOL UMBS P#CB2670 3.00000000                                                         | CUSIP: 3140QM6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8096048 | PA      | $7166015.88   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1810 3% 10/01/51                              | FANNIE MAE POOL UMBS P#CB1810 3.00000000                                                         | CUSIP: 3140QMAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19098498 | PA      | $16904560.62  | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1856 2% 10/01/51                              | FANNIE MAE POOL UMBS P#CB1856 2.00000000                                                         | CUSIP: 3140QMB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1450470 | PA      | $1173072.24   | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1874 3% 10/01/51                              | FANNIE MAE POOL UMBS P#CB1874 3.00000000                                                         | CUSIP: 3140QMCL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13319551 | PA      | $11832310.93  | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB1908 2.5% 10/01/51                            | FANNIE MAE POOL UMBS P#CB1908 2.50000000                                                         | CUSIP: 3140QMDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13261493 | PA      | $11372293.87  | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2066 3% 11/01/51                              | FANNIE MAE POOL UMBS P#CB2066 3.00000000                                                         | CUSIP: 3140QMJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3293660 | PA      | $2924451.12   | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2243 2.5% 11/01/36                            | FANNIE MAE POOL UMBS P#CB2243 2.50000000                                                         | CUSIP: 3140QMP57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8706955 | PA      | $8287302.99   | 0.03%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2244 2.5% 11/01/36                            | FANNIE MAE POOL UMBS P#CB2244 2.50000000                                                         | CUSIP: 3140QMP65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7536262 | PA      | $7141659.29   | 0.03%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2275 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#CB2275 2.50000000                                                         | CUSIP: 3140QMQ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5580817 | PA      | $4789092.27   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2276 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#CB2276 2.50000000                                                         | CUSIP: 3140QMQ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18468326 | PA      | $15804748.92  | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2278 2% 12/01/51                              | FANNIE MAE POOL UMBS P#CB2278 2.00000000                                                         | CUSIP: 3140QMQ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10711782 | PA      | $8837414.49   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2287 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#CB2287 2.50000000                                                         | CUSIP: 3140QMRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1047907 | PA      | $901338.42    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3599 3.5% 05/01/52                            | FANNIE MAE POOL UMBS P#CB3599 3.50000000                                                         | CUSIP: 3140QN7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2344263 | PA      | $2180494.75   | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2751 2.5% 02/01/52                            | FANNIE MAE POOL UMBS P#CB2751 2.50000000                                                         | CUSIP: 3140QNBV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    746603 | PA      | $634989.32    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB2802 2% 02/01/52                              | FANNIE MAE POOL UMBS P#CB2802 2.00000000                                                         | CUSIP: 3140QNDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4577538 | PA      | $3747381.42   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3046 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#CB3046 2.50000000                                                         | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6044439 | PA      | $5187217.85   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3050 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#CB3050 2.50000000                                                         | CUSIP: 3140QNL83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9867351 | PA      | $8360607.21   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3126 3.5% 03/01/52                            | FANNIE MAE POOL UMBS P#CB3126 3.50000000                                                         | CUSIP: 3140QNPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1088752 | PA      | $1018639.43   | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3356 2.5% 04/01/52                            | FANNIE MAE POOL UMBS P#CB3356 2.50000000                                                         | CUSIP: 3140QNWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    761543 | PA      | $646697.83    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3378 4% 04/01/52                              | FANNIE MAE POOL UMBS P#CB3378 4.00000000                                                         | CUSIP: 3140QNXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8811075 | PA      | $8408207.89   | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3760 3.5% 05/01/52                            | FANNIE MAE POOL UMBS P#CB3760 3.50000000                                                         | CUSIP: 3140QPFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4449469 | PA      | $4138604.60   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB3768 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#CB3768 3.50000000                                                         | CUSIP: 3140QPFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8090954 | PA      | $7535309.31   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB5769 5% 02/01/53                              | FANNIE MAE POOL UMBS P#CB5769 5.00000000                                                         | CUSIP: 3140QRMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6191106 | PA      | $6199997.17   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB5774 5.5% 02/01/53                            | FANNIE MAE POOL UMBS P#CB5774 5.50000000                                                         | CUSIP: 3140QRMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6490994 | PA      | $6632503.51   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB5986 5% 03/01/53                              | FANNIE MAE POOL UMBS P#CB5986 5.00000000                                                         | CUSIP: 3140QRUL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13208815 | PA      | $13233912.72  | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB7443 6% 11/01/53                              | FANNIE MAE POOL UMBS P#CB7443 6.00000000                                                         | CUSIP: 3140QTHV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9486922 | PA      | $9788501.13   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB8538 5.5% 05/01/54                            | FANNIE MAE POOL UMBS P#CB8538 5.50000000                                                         | CUSIP: 3140QUPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3794263 | PA      | $3864280.26   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB8852 6% 07/01/54                              | FANNIE MAE POOL UMBS P#CB8852 6.00000000                                                         | CUSIP: 3140QUZS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2636288 | PA      | $2743975.91   | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB9904 5.5% 01/01/55                            | FANNIE MAE POOL UMBS P#CB9904 5.50000000                                                         | CUSIP: 3140QWAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9464817 | PA      | $9628339.38   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB9991 6% 02/01/55                              | FANNIE MAE POOL UMBS P#CB9991 6.00000000                                                         | CUSIP: 3140QWC59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9939194 | PA      | $10341789.99  | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA0795 3% 02/01/50                              | FANNIE MAE POOL UMBS P#FA0795 3.00000000                                                         | CUSIP: 3140W03D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12883124 | PA      | $11769051.62  | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA0109 3.5% 10/01/51                            | FANNIE MAE POOL UMBS P#FA0109 3.50000000                                                         | CUSIP: 3140W0DP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12221295 | PA      | $11492214.37  | 0.05%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA0410 5.5% 01/01/55                            | FANNIE MAE POOL UMBS P#FA0410 5.50000000                                                         | CUSIP: 3140W0N43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13660687 | PA      | $13976417.17  | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1020 3% 04/01/52                              | FANNIE MAE POOL UMBS P#FA1020 3.00000000                                                         | CUSIP: 3140W1D26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14485338 | PA      | $12938859.19  | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1022 2.5% 02/01/52                            | FANNIE MAE POOL UMBS P#FA1022 2.50000000                                                         | CUSIP: 3140W1D42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15773929 | PA      | $13654625.32  | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1045 3% 05/01/52                              | FANNIE MAE POOL UMBS P#FA1045 3.00000000                                                         | CUSIP: 3140W1ET6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5638588 | PA      | $4998756.47   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1120 3% 08/01/47                              | FANNIE MAE POOL UMBS P#FA1120 3.00000000                                                         | CUSIP: 3140W1G64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16613234 | PA      | $15055413.81  | 0.06%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1543 3.5% 01/01/50                            | FANNIE MAE POOL UMBS P#FA1543 3.50000000                                                         | CUSIP: 3140W1WD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7175581 | PA      | $6814469.57   | 0.03%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1608 2.5% 09/01/42                            | FANNIE MAE POOL UMBS P#FA1608 2.50000000                                                         | CUSIP: 3140W1YE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    678567 | PA      | $610719.57    | 0.00%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA2696 5.5% 09/01/55                            | FANNIE MAE POOL UMBS P#FA2696 5.50000000                                                         | CUSIP: 3140W27J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5400244 | PA      | $5531976.52   | 0.02%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA1990 6% 04/01/55                              | FANNIE MAE POOL UMBS P#FA1990 6.00000000                                                         | CUSIP: 3140W2F89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13775811 | PA      | $14351138.76  | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA2174 2.5% 04/01/52                            | FANNIE MAE POOL UMBS P#FA2174 2.50000000                                                         | CUSIP: 3140W2MY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14491122 | PA      | $12462695.94  | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA2313 6% 07/01/55                              | FANNIE MAE POOL UMBS P#FA2313 6.00000000                                                         | CUSIP: 3140W2SB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10639235 | PA      | $11106516.62  | 0.04%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FA3375 6% 04/01/55                              | FANNIE MAE POOL UMBS P#FA3375 6.00000000                                                         | CUSIP: 3140W3XD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11588524 | PA      | $12040725.53  | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0021 4% 03/01/49                              | FANNIE MAE POOL UMBS P#FM0021 4.00000000                                                         | CUSIP: 3140X3AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2560250 | PA      | $2472600.73   | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1187 4% 03/01/47                              | FANNIE MAE POOL UMBS P#FM1187 4.00000000                                                         | CUSIP: 3140X4J98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2034241 | PA      | $1968513.99   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1205 3% 07/01/49                              | FANNIE MAE POOL UMBS P#FM1205 3.00000000                                                         | CUSIP: 3140X4KT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    643841 | PA      | $581134.70    | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1361 3.5% 12/01/46                            | FANNIE MAE POOL UMBS P#FM1361 3.50000000                                                         | CUSIP: 3140X4QP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2629506 | PA      | $2513696.81   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1873 3% 11/01/49                              | FANNIE MAE POOL UMBS P#FM1873 3.00000000                                                         | CUSIP: 3140X5CK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4115337 | PA      | $3704326.20   | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM2801 3% 03/01/50                              | FANNIE MAE POOL UMBS P#FM2801 3.00000000                                                         | CUSIP: 3140X6DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1804078 | PA      | $1623508.15   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM2971 4% 08/01/45                              | FANNIE MAE POOL UMBS P#FM2971 4.00000000                                                         | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17114743 | PA      | $16701149.19  | 0.07%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM2989 3% 09/01/34                              | FANNIE MAE POOL UMBS P#FM2989 3.00000000                                                         | CUSIP: 3140X6KB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3796598 | PA      | $3720740.87   | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3118 3% 05/01/50                              | FANNIE MAE POOL UMBS P#FM3118 3.00000000                                                         | CUSIP: 3140X6PC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    284723 | PA      | $257615.10    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3168 3% 05/01/38                              | FANNIE MAE POOL UMBS P#FM3168 3.00000000                                                         | CUSIP: 3140X6QW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4970293 | PA      | $4741549.94   | 0.02%             | 2038-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4376 3% 10/01/35                              | FANNIE MAE POOL UMBS P#FM4376 3.00000000                                                         | CUSIP: 3140X72J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    229587 | PA      | $221807.70    | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4443 3% 09/01/50                              | FANNIE MAE POOL UMBS P#FM4443 3.00000000                                                         | CUSIP: 3140X75D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1455244 | PA      | $1316536.38   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3951 3% 07/01/50                              | FANNIE MAE POOL UMBS P#FM3951 3.00000000                                                         | CUSIP: 3140X7L98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    680179 | PA      | $615347.84    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3978 4% 07/01/50                              | FANNIE MAE POOL UMBS P#FM3978 4.00000000                                                         | CUSIP: 3140X7M48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1910694 | PA      | $1832530.45   | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4719 3% 11/01/50                              | FANNIE MAE POOL UMBS P#FM4719 3.00000000                                                         | CUSIP: 3140X8G50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    304947 | PA      | $274770.70    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5024 2.5% 12/01/50                            | FANNIE MAE POOL UMBS P#FM5024 2.50000000                                                         | CUSIP: 3140X8SN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9128151 | PA      | $7847025.49   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6272 2.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FM6272 2.50000000                                                         | CUSIP: 3140X96J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1056534 | PA      | $914051.17    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5931 2.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FM5931 2.50000000                                                         | CUSIP: 3140X9SV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3247669 | PA      | $2801764.95   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6036 4% 01/01/50                              | FANNIE MAE POOL UMBS P#FM6036 4.00000000                                                         | CUSIP: 3140X9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2676504 | PA      | $2582427.01   | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7340 4% 07/01/49                              | FANNIE MAE POOL UMBS P#FM7340 4.00000000                                                         | CUSIP: 3140XBEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    362000 | PA      | $346153.89    | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7441 3% 05/01/51                              | FANNIE MAE POOL UMBS P#FM7441 3.00000000                                                         | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3248510 | PA      | $2875337.45   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7615 2% 06/01/36                              | FANNIE MAE POOL UMBS P#FM7615 2.00000000                                                         | CUSIP: 3140XBN97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5375056 | PA      | $4983971.48   | 0.02%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8325 2.5% 07/01/35                            | FANNIE MAE POOL UMBS P#FM8325 2.50000000                                                         | CUSIP: 3140XCHB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6268600 | PA      | $6027586.85   | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8368 2% 08/01/51                              | FANNIE MAE POOL UMBS P#FM8368 2.00000000                                                         | CUSIP: 3140XCJN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9880440 | PA      | $8123453.97   | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8804 2.5% 09/01/51                            | FANNIE MAE POOL UMBS P#FM8804 2.50000000                                                         | CUSIP: 3140XCYA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10184658 | PA      | $8776454.71   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9873 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#FM9873 2.50000000                                                         | CUSIP: 3140XD6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10934899 | PA      | $9409989.18   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9876 2.5% 12/01/51                            | FANNIE MAE POOL UMBS P#FM9876 2.50000000                                                         | CUSIP: 3140XD6N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10252009 | PA      | $8849696.77   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9167 2% 10/01/51                              | FANNIE MAE POOL UMBS P#FM9167 2.00000000                                                         | CUSIP: 3140XDFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510706 | PA      | $419677.80    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9504 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FM9504 2.50000000                                                         | CUSIP: 3140XDR24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13660572 | PA      | $11740651.29  | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9671 2% 12/01/51                              | FANNIE MAE POOL UMBS P#FM9671 2.00000000                                                         | CUSIP: 3140XDW93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9877783 | PA      | $8127801.70   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9740 3% 05/01/36                              | FANNIE MAE POOL UMBS P#FM9740 3.00000000                                                         | CUSIP: 3140XDZE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    402071 | PA      | $392231.11    | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0896 3% 12/01/51                              | FANNIE MAE POOL UMBS P#FS0896 3.00000000                                                         | CUSIP: 3140XF7J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16388339 | PA      | $14660128.95  | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0027 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FS0027 2.50000000                                                         | CUSIP: 3140XFA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8108364 | PA      | $7016210.04   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0493 3% 02/01/52                              | FANNIE MAE POOL UMBS P#FS0493 3.00000000                                                         | CUSIP: 3140XFRP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8031404 | PA      | $7218016.99   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0610 2% 02/01/37                              | FANNIE MAE POOL UMBS P#FS0610 2.00000000                                                         | CUSIP: 3140XFVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8102212 | PA      | $7509665.62   | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0664 3% 02/01/52                              | FANNIE MAE POOL UMBS P#FS0664 3.00000000                                                         | CUSIP: 3140XFW23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12425310 | PA      | $11032304.37  | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0739 3.5% 02/01/52                            | FANNIE MAE POOL UMBS P#FS0739 3.50000000                                                         | CUSIP: 3140XFZD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6929708 | PA      | $6455462.07   | 0.03%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1115 2.5% 05/01/51                            | FANNIE MAE POOL UMBS P#FS1115 2.50000000                                                         | CUSIP: 3140XGGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4931590 | PA      | $4299212.58   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1144 3% 03/01/52                              | FANNIE MAE POOL UMBS P#FS1144 3.00000000                                                         | CUSIP: 3140XGHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9543718 | PA      | $8538518.70   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1480 2.5% 11/01/51                            | FANNIE MAE POOL UMBS P#FS1480 2.50000000                                                         | CUSIP: 3140XGUE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1099719 | PA      | $946414.57    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1519 3% 04/01/52                              | FANNIE MAE POOL UMBS P#FS1519 3.00000000                                                         | CUSIP: 3140XGVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7001629 | PA      | $6319720.33   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2645 3% 06/01/52                              | FANNIE MAE POOL UMBS P#FS2645 3.00000000                                                         | CUSIP: 3140XH5F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3533657 | PA      | $3137491.22   | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1836 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#FS1836 2.50000000                                                         | CUSIP: 3140XHBE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26827732 | PA      | $23059427.23  | 0.09%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1973 2% 02/01/42                              | FANNIE MAE POOL UMBS P#FS1973 2.00000000                                                         | CUSIP: 3140XHFP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12752214 | PA      | $11083934.18  | 0.04%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1974 1.5% 02/01/36                            | FANNIE MAE POOL UMBS P#FS1974 1.50000000                                                         | CUSIP: 3140XHFQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8031765 | PA      | $7316010.98   | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2018 4.5% 03/01/50                            | FANNIE MAE POOL UMBS P#FS2018 4.50000000                                                         | CUSIP: 3140XHG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6887521 | PA      | $6773406.49   | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2008 3% 01/01/51                              | FANNIE MAE POOL UMBS P#FS2008 3.00000000                                                         | CUSIP: 3140XHGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    875801 | PA      | $776399.51    | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2037 1.5% 05/01/37                            | FANNIE MAE POOL UMBS P#FS2037 1.50000000                                                         | CUSIP: 3140XHHP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3858710 | PA      | $3492651.48   | 0.01%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2040 2% 02/01/52                              | FANNIE MAE POOL UMBS P#FS2040 2.00000000                                                         | CUSIP: 3140XHHS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12495281 | PA      | $10136155.85  | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2041 2% 08/01/51                              | FANNIE MAE POOL UMBS P#FS2041 2.00000000                                                         | CUSIP: 3140XHHT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6505416 | PA      | $5287321.01   | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2500 3% 03/01/37                              | FANNIE MAE POOL UMBS P#FS2500 3.00000000                                                         | CUSIP: 3140XHX69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2713359 | PA      | $2623574.92   | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2489 5% 08/01/52                              | FANNIE MAE POOL UMBS P#FS2489 5.00000000                                                         | CUSIP: 3140XHXT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8454733 | PA      | $8491283.77   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2743 2.5% 07/01/36                            | FANNIE MAE POOL UMBS P#FS2743 2.50000000                                                         | CUSIP: 3140XJBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3215067 | PA      | $3056067.03   | 0.01%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2898 4.5% 09/01/52                            | FANNIE MAE POOL UMBS P#FS2898 4.50000000                                                         | CUSIP: 3140XJGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5445069 | PA      | $5376258.40   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2943 2% 02/01/51                              | FANNIE MAE POOL UMBS P#FS2943 2.00000000                                                         | CUSIP: 3140XJHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2280172 | PA      | $1855545.68   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS3136 3.5% 08/01/48                            | FANNIE MAE POOL UMBS P#FS3136 3.50000000                                                         | CUSIP: 3140XJPW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8592341 | PA      | $8196526.59   | 0.03%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS3345 3% 02/01/52                              | FANNIE MAE POOL UMBS P#FS3345 3.00000000                                                         | CUSIP: 3140XJWF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4104238 | PA      | $3644147.81   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS4476 3% 05/01/52                              | FANNIE MAE POOL UMBS P#FS4476 3.00000000                                                         | CUSIP: 3140XK6N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4297937 | PA      | $3809668.82   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS4110 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#FS4110 2.50000000                                                         | CUSIP: 3140XKR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1764700 | PA      | $1503916.31   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS4654 2% 07/01/51                              | FANNIE MAE POOL UMBS P#FS4654 2.00000000                                                         | CUSIP: 3140XLE46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12642778 | PA      | $10324226.06  | 0.04%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS4720 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#FS4720 2.50000000                                                         | CUSIP: 3140XLG69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16559119 | PA      | $14281429.54  | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5120 6% 07/01/53                              | FANNIE MAE POOL UMBS P#FS5120 6.00000000                                                         | CUSIP: 3140XLVN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4633343 | PA      | $4853822.16   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5258 4% 12/01/52                              | FANNIE MAE POOL UMBS P#FS5258 4.00000000                                                         | CUSIP: 3140XLZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4184632 | PA      | $4010300.78   | 0.02%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS6185 2% 03/01/37                              | FANNIE MAE POOL UMBS P#FS6185 2.00000000                                                         | CUSIP: 3140XM2T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160018 | PA      | $148314.84    | 0.00%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5759 3.5% 02/01/51                            | FANNIE MAE POOL UMBS P#FS5759 3.50000000                                                         | CUSIP: 3140XMMH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3895405 | PA      | $3651768.23   | 0.01%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5846 2.5% 09/01/52                            | FANNIE MAE POOL UMBS P#FS5846 2.50000000                                                         | CUSIP: 3140XMP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    933035 | PA      | $791299.15    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5832 6% 10/01/53                              | FANNIE MAE POOL UMBS P#FS5832 6.00000000                                                         | CUSIP: 3140XMPS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4358145 | PA      | $4531283.45   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5986 2.5% 02/01/52                            | FANNIE MAE POOL UMBS P#FS5986 2.50000000                                                         | CUSIP: 3140XMUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12498525 | PA      | $10755643.22  | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS6514 2.5% 09/01/51                            | FANNIE MAE POOL UMBS P#FS6514 2.50000000                                                         | CUSIP: 3140XNGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5840977 | PA      | $5037934.97   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8015 6% 07/01/53                              | FANNIE MAE POOL UMBS P#FS8015 6.00000000                                                         | CUSIP: 3140XP3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9696053 | PA      | $10101590.63  | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7241 2.5% 05/01/52                            | FANNIE MAE POOL UMBS P#FS7241 2.50000000                                                         | CUSIP: 3140XPBK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14649294 | PA      | $12606942.56  | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7274 5% 02/01/54                              | FANNIE MAE POOL UMBS P#FS7274 5.00000000                                                         | CUSIP: 3140XPCL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    903364 | PA      | $901121.09    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7499 2% 07/01/51                              | FANNIE MAE POOL UMBS P#FS7499 2.00000000                                                         | CUSIP: 3140XPKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8298882 | PA      | $6772107.32   | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7564 4% 01/01/51                              | FANNIE MAE POOL UMBS P#FS7564 4.00000000                                                         | CUSIP: 3140XPMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6918715 | PA      | $6694355.21   | 0.03%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7594 2.5% 09/01/52                            | FANNIE MAE POOL UMBS P#FS7594 2.50000000                                                         | CUSIP: 3140XPNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17668834 | PA      | $14998356.09  | 0.06%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS7887 4% 07/01/52                              | FANNIE MAE POOL UMBS P#FS7887 4.00000000                                                         | CUSIP: 3140XPXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9427866 | PA      | $8998290.32   | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8931 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#FS8931 2.50000000                                                         | CUSIP: 3140XQ4R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    594832 | PA      | $510400.03    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8995 6% 07/01/54                              | FANNIE MAE POOL UMBS P#FS8995 6.00000000                                                         | CUSIP: 3140XQ7H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9157620 | PA      | $9514723.44   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8114 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#FS8114 3.50000000                                                         | CUSIP: 3140XQAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12212412 | PA      | $11354619.50  | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8359 3.5% 04/01/52                            | FANNIE MAE POOL UMBS P#FS8359 3.50000000                                                         | CUSIP: 3140XQJD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13010402 | PA      | $12122290.56  | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS8579 2% 08/01/42                              | FANNIE MAE POOL UMBS P#FS8579 2.00000000                                                         | CUSIP: 3140XQQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9819411 | PA      | $8571477.17   | 0.03%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS9404 6% 10/01/54                              | FANNIE MAE POOL UMBS P#FS9404 6.00000000                                                         | CUSIP: 3140XRNW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11712345 | PA      | $12189198.04  | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS9680 3% 02/01/49                              | FANNIE MAE POOL UMBS P#FS9680 3.00000000                                                         | CUSIP: 3140XRXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9923347 | PA      | $9169083.15   | 0.04%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FP0013 4% 06/01/48                              | FANNIE MAE POOL UMBS P#FP0013 4.00000000                                                         | CUSIP: 3140XTAP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4401701 | PA      | $4253451.70   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FP0105 2.5% 06/01/51                            | FANNIE MAE POOL UMBS P#FP0105 2.50000000                                                         | CUSIP: 3140XTDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12589051 | PA      | $10734595.04  | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1714 6% 12/01/55                              | FANNIE MAE POOL UMBS P#CC1714 6.00000000                                                         | CUSIP: 3140Y73Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9221083 | PA      | $9626107.94   | 0.04%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1715 6% 12/01/55                              | FANNIE MAE POOL UMBS P#CC1715 6.00000000                                                         | CUSIP: 3140Y73Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10953959 | PA      | $11421692.05  | 0.05%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1196 5% 10/01/55                              | FANNIE MAE POOL UMBS P#CC1196 5.00000000                                                         | CUSIP: 3140Y7KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6652458 | PA      | $6716515.17   | 0.03%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1197 5% 10/01/55                              | FANNIE MAE POOL UMBS P#CC1197 5.00000000                                                         | CUSIP: 3140Y7KK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9038956 | PA      | $9110253.28   | 0.04%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1198 5% 10/01/55                              | FANNIE MAE POOL UMBS P#CC1198 5.00000000                                                         | CUSIP: 3140Y7KL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8475735 | PA      | $8531111.14   | 0.03%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1394 6% 11/01/55                              | FANNIE MAE POOL UMBS P#CC1394 6.00000000                                                         | CUSIP: 3140Y7RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8742928 | PA      | $9166398.74   | 0.04%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CC1466 6.5% 11/01/55                            | FANNIE MAE POOL UMBS P#CC1466 6.50000000                                                         | CUSIP: 3140Y7TY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8411397 | PA      | $8897882.20   | 0.04%             | 2055-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#884722 V/R 08/01/36                             | FANNIE MAE POOL UMBS P#884722 V/R 6.11700000                                                     | CUSIP: 31410B4F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1935 | PA      | $1991.54      | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#884066 V/R 06/01/36                             | FANNIE MAE POOL UMBS P#884066 V/R 6.60700000                                                     | CUSIP: 31410BFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4103 | PA      | $4235.52      | 0.00%             | 2036-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| UMBS P#886558 V/R 08/01/36                             | FANNIE MAE POOL UMBS P#886558 V/R 6.33700000                                                     | CUSIP: 31410D5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20013 | PA      | $20618.74     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| UMBS P#886772 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#886772 V/R 6.48200000                                                     | CUSIP: 31410EFM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15896 | PA      | $16387.69     | 0.00%             | 2036-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| UMBS P#888307 V/R 04/01/37                             | FANNIE MAE POOL UMBS P#888307 V/R 6.62400000                                                     | CUSIP: 31410F3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5725 | PA      | $5897.48      | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#888343 5% 11/01/35                              | FANNIE MAE POOL UMBS P#888343 5.00000000                                                         | CUSIP: 31410F5C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    162434 | PA      | $166725.35    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888373 7% 03/01/37                              | FANNIE MAE POOL UMBS P#888373 7.00000000                                                         | CUSIP: 31410F6J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2923 | PA      | $3008.60      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888016 5.5% 05/01/36                            | FANNIE MAE POOL UMBS P#888016 5.50000000                                                         | CUSIP: 31410FSD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24631 | PA      | $25751.91     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888184 V/R 01/01/37                             | FANNIE MAE POOL UMBS P#888184 V/R 6.29600000                                                     | CUSIP: 31410FXM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7245 | PA      | $7474.07      | 0.00%             | 2037-01-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#888209 5.5% 05/01/36                            | FANNIE MAE POOL UMBS P#888209 5.50000000                                                         | CUSIP: 31410FYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16393 | PA      | $17139.07     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888430 5% 11/01/33                              | FANNIE MAE POOL UMBS P#888430 5.00000000                                                         | CUSIP: 31410GA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    836634 | PA      | $845592.44    | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888408 6% 03/01/37                              | FANNIE MAE POOL UMBS P#888408 6.00000000                                                         | CUSIP: 31410GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19623 | PA      | $19958.73     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888412 7% 04/01/37                              | FANNIE MAE POOL UMBS P#888412 7.00000000                                                         | CUSIP: 31410GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2273 | PA      | $2320.25      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888417 6.5% 01/01/36                            | FANNIE MAE POOL UMBS P#888417 6.50000000                                                         | CUSIP: 31410GAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45426 | PA      | $47131.17     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888476 7.5% 05/01/37                            | FANNIE MAE POOL UMBS P#888476 7.50000000                                                         | CUSIP: 31410GCM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6170 | PA      | $6375.49      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888568 5% 12/01/34                              | FANNIE MAE POOL UMBS P#888568 5.00000000                                                         | CUSIP: 31410GFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7978 | PA      | $8088.36      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#888707 7.5% 10/01/37                            | FANNIE MAE POOL UMBS P#888707 7.50000000                                                         | CUSIP: 31410GKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42249 | PA      | $44724.03     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888890 6.5% 10/01/37                            | FANNIE MAE POOL UMBS P#888890 6.50000000                                                         | CUSIP: 31410GRK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19554 | PA      | $20797.95     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#888892 7.5% 11/01/37                            | FANNIE MAE POOL UMBS P#888892 7.50000000                                                         | CUSIP: 31410GRM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12816 | PA      | $13802.65     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#889020 6.5% 11/01/29                            | FANNIE MAE POOL UMBS P#889020 6.50000000                                                         | CUSIP: 31410GVM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54950 | PA      | $57012.44     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#889588 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#889588 5.50000000                                                         | CUSIP: 31410KJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       521 | PA      | $544.66       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#889579 6% 05/01/38                              | FANNIE MAE POOL UMBS P#889579 6.00000000                                                         | CUSIP: 31410KJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70843 | PA      | $74927.96     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#889705 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#889705 5.50000000                                                         | CUSIP: 31410KNW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37857 | PA      | $39570.79     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#890222 6% 10/01/28                              | FANNIE MAE POOL UMBS P#890222 6.00000000                                                         | CUSIP: 31410LAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5256 | PA      | $5392.56      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#890268 6.5% 10/01/38                            | FANNIE MAE POOL UMBS P#890268 6.50000000                                                         | CUSIP: 31410LCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24091 | PA      | $25623.18     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#890310 4.5% 12/01/40                            | FANNIE MAE POOL UMBS P#890310 4.50000000                                                         | CUSIP: 31410LDP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1377397 | PA      | $1387401.32   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#890385 6% 12/01/39                              | FANNIE MAE POOL UMBS P#890385 6.00000000                                                         | CUSIP: 31410LF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    366566 | PA      | $387704.80    | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#892868 V/R 07/01/36                             | FANNIE MAE POOL UMBS P#892868 V/R 6.52000000                                                     | CUSIP: 31410N6D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8331 | PA      | $8572.37      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#893580 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#893580 V/R 6.31500000                                                     | CUSIP: 31410PXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4495 | PA      | $4631.18      | 0.00%             | 2036-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#894239 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#894239 V/R 6.06500000                                                     | CUSIP: 31410QPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4171 | PA      | $4284.08      | 0.00%             | 2036-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| UMBS P#894452 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#894452 V/R 6.57000000                                                     | CUSIP: 31410QWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10495 | PA      | $10881.24     | 0.00%             | 2036-09-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| UMBS P#896463 V/R 10/01/34                             | FANNIE MAE POOL UMBS P#896463 V/R 6.45000000                                                     | CUSIP: 31410S5Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6362 | PA      | $6589.77      | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| UMBS P#900191 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#900191 V/R 6.82500000                                                     | CUSIP: 31410XC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5277 | PA      | $5480.47      | 0.00%             | 2036-10-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| UMBS P#900197 V/R 10/01/36                             | FANNIE MAE POOL UMBS P#900197 V/R 6.78000000                                                     | CUSIP: 31410XDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24231 | PA      | $25369.30     | 0.00%             | 2036-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| UMBS P#902818 V/R 11/01/36                             | FANNIE MAE POOL UMBS P#902818 V/R 6.32100000                                                     | CUSIP: 31411BAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133 | PA      | $137.66       | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| UMBS P#902955 V/R 12/01/36                             | FANNIE MAE POOL UMBS P#902955 V/R 6.01000000                                                     | CUSIP: 31411BE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10186 | PA      | $10471.21     | 0.00%             | 2036-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| UMBS P#909236 7% 09/01/38                              | FANNIE MAE POOL UMBS P#909236 7.00000000                                                         | CUSIP: 31411JEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27229 | PA      | $28715.19     | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#913984 V/R 02/01/37                             | FANNIE MAE POOL UMBS P#913984 V/R 6.05500000                                                     | CUSIP: 31411SM94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12186 | PA      | $12437.45     | 0.00%             | 2037-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| UMBS P#915645 V/R 02/01/37                             | FANNIE MAE POOL UMBS P#915645 V/R 6.52200000                                                     | CUSIP: 31411VHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6628 | PA      | $6766.94      | 0.00%             | 2037-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| UMBS P#920340 V/R 02/01/36                             | FANNIE MAE POOL UMBS P#920340 V/R 6.87500000                                                     | CUSIP: 31412BPZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2951 | PA      | $2977.68      | 0.00%             | 2036-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#920547 V/R 09/01/36                             | FANNIE MAE POOL UMBS P#920547 V/R 6.22500000                                                     | CUSIP: 31412BWG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11557 | PA      | $11857.72     | 0.00%             | 2036-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#920843 V/R 03/01/36                             | FANNIE MAE POOL UMBS P#920843 V/R 6.96100000                                                     | CUSIP: 31412CBL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62082 | PA      | $64439.97     | 0.00%             | 2036-03-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| UMBS P#920954 V/R 01/01/37                             | FANNIE MAE POOL UMBS P#920954 V/R 5.77400000                                                     | CUSIP: 31412CE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13121 | PA      | $13438.88     | 0.00%             | 2037-01-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| UMBS P#920934 6.5% 01/01/37                            | FANNIE MAE POOL UMBS P#920934 6.50000000                                                         | CUSIP: 31412CEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18861 | PA      | $19366.33     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#928584 6.5% 08/01/37                            | FANNIE MAE POOL UMBS P#928584 6.50000000                                                         | CUSIP: 31412LUH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9471 | PA      | $10073.51     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#928670 7% 09/01/37                              | FANNIE MAE POOL UMBS P#928670 7.00000000                                                         | CUSIP: 31412LW71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17683 | PA      | $18568.98     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#929331 6% 04/01/38                              | FANNIE MAE POOL UMBS P#929331 6.00000000                                                         | CUSIP: 31412MPQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7732 | PA      | $8071.30      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#934591 7% 10/01/38                              | FANNIE MAE POOL UMBS P#934591 7.00000000                                                         | CUSIP: 31412TXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21635 | PA      | $22806.55     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#938346 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#938346 V/R 6.56100000                                                     | CUSIP: 31412X5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7135 | PA      | $7365.39      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| UMBS P#945032 V/R 08/01/37                             | FANNIE MAE POOL UMBS P#945032 V/R 7.08200000                                                     | CUSIP: 31413GLM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28405 | PA      | $29527.77     | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| UMBS P#945870 6.5% 08/01/37                            | FANNIE MAE POOL UMBS P#945870 6.50000000                                                         | CUSIP: 31413HJP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15845 | PA      | $16726.15     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#946260 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#946260 V/R 6.66200000                                                     | CUSIP: 31413HWV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3434 | PA      | $3552.77      | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| UMBS P#946362 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#946362 V/R 6.51200000                                                     | CUSIP: 31413HZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2100 | PA      | $2168.20      | 0.00%             | 2037-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| UMBS P#948208 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#948208 V/R 5.70100000                                                     | CUSIP: 31413K3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10588 | PA      | $10789.89     | 0.00%             | 2037-07-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#952835 V/R 09/01/37                             | FANNIE MAE POOL UMBS P#952835 V/R 6.41100000                                                     | CUSIP: 31413RBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4993 | PA      | $5207.31      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| UMBS P#969230 5.5% 05/01/37                            | FANNIE MAE POOL UMBS P#969230 5.50000000                                                         | CUSIP: 31414LHF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42663 | PA      | $44606.78     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#975376 5.5% 06/01/38                            | FANNIE MAE POOL UMBS P#975376 5.50000000                                                         | CUSIP: 31414TCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259846 | PA      | $271054.57    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#976871 6.5% 08/01/36                            | FANNIE MAE POOL UMBS P#976871 6.50000000                                                         | CUSIP: 31414UW87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37396 | PA      | $38799.19     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#986648 6% 09/01/37                              | FANNIE MAE POOL UMBS P#986648 6.00000000                                                         | CUSIP: 31415RBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28106 | PA      | $29600.92     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#991908 7% 11/01/38                              | FANNIE MAE POOL UMBS P#991908 7.00000000                                                         | CUSIP: 31415W3R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22270 | PA      | $23874.36     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995504 7.5% 11/01/38                            | FANNIE MAE POOL UMBS P#995504 7.50000000                                                         | CUSIP: 31416B3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13097 | PA      | $13784.87     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995505 8% 01/01/38                              | FANNIE MAE POOL UMBS P#995505 8.00000000                                                         | CUSIP: 31416B3N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1089 | PA      | $1132.25      | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995002 5% 07/01/37                              | FANNIE MAE POOL UMBS P#995002 5.00000000                                                         | CUSIP: 31416BKP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180109 | PA      | $182611.35    | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995003 7.5% 01/01/35                            | FANNIE MAE POOL UMBS P#995003 7.50000000                                                         | CUSIP: 31416BKQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6930 | PA      | $7193.21      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995108 V/R 11/01/37                             | FANNIE MAE POOL UMBS P#995108 V/R 6.21100000                                                     | CUSIP: 31416BNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7019 | PA      | $7261.02      | 0.00%             | 2037-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| UMBS P#995149 6.5% 10/01/38                            | FANNIE MAE POOL UMBS P#995149 6.50000000                                                         | CUSIP: 31416BQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95136 | PA      | $100725.29    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995156 7.5% 03/01/35                            | FANNIE MAE POOL UMBS P#995156 7.50000000                                                         | CUSIP: 31416BQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10910 | PA      | $11315.98     | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#995203 5% 07/01/35                              | FANNIE MAE POOL UMBS P#995203 5.00000000                                                         | CUSIP: 31416BRY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    640504 | PA      | $650401.10    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995245 5% 01/01/39                              | FANNIE MAE POOL UMBS P#995245 5.00000000                                                         | CUSIP: 31416BTA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    666430 | PA      | $682359.94    | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995656 7% 06/01/33                              | FANNIE MAE POOL UMBS P#995656 7.00000000                                                         | CUSIP: 31416CBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18131 | PA      | $19039.60     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995783 8% 11/01/37                              | FANNIE MAE POOL UMBS P#995783 8.00000000                                                         | CUSIP: 31416CFY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7612 | PA      | $7932.76      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995919 V/R 07/01/37                             | FANNIE MAE POOL UMBS P#995919 V/R 6.58700000                                                     | CUSIP: 31416CK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16438 | PA      | $16971.65     | 0.00%             | 2037-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA0917 5.5% 09/01/33                            | FANNIE MAE POOL UMBS P#AA0917 5.50000000                                                         | CUSIP: 31416JAT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51213 | PA      | $52449.61     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA0922 6% 09/01/36                              | FANNIE MAE POOL UMBS P#AA0922 6.00000000                                                         | CUSIP: 31416JAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90384 | PA      | $94136.15     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA1019 6% 11/01/36                              | FANNIE MAE POOL UMBS P#AA1019 6.00000000                                                         | CUSIP: 31416JDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12270 | PA      | $12938.71     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB0125 5% 02/01/35                              | FANNIE MAE POOL UMBS P#AB0125 5.00000000                                                         | CUSIP: 31416VD76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150320 | PA      | $152678.56    | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB0110 5% 02/01/35                              | FANNIE MAE POOL UMBS P#AB0110 5.00000000                                                         | CUSIP: 31416VDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    765558 | PA      | $777576.91    | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2459 4% 03/01/41                              | FANNIE MAE POOL UMBS P#AB2459 4.00000000                                                         | CUSIP: 31416XWV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1875259 | PA      | $1836145.18   | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2869 6% 11/01/38                              | FANNIE MAE POOL UMBS P#AB2869 6.00000000                                                         | CUSIP: 31416YFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23529 | PA      | $24775.37     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4438 3.5% 02/01/42                            | FANNIE MAE POOL UMBS P#AB4438 3.50000000                                                         | CUSIP: 31417A4Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90337 | PA      | $86635.96     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4058 4% 12/01/41                              | FANNIE MAE POOL UMBS P#AB4058 4.00000000                                                         | CUSIP: 31417AQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450115 | PA      | $440213.19    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4106 3.5% 12/01/41                            | FANNIE MAE POOL UMBS P#AB4106 3.50000000                                                         | CUSIP: 31417AR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83130 | PA      | $79878.71     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4827 3.5% 04/01/42                            | FANNIE MAE POOL UMBS P#AB4827 3.50000000                                                         | CUSIP: 31417BLH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72025 | PA      | $68985.34     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB5502 3.5% 07/01/42                            | FANNIE MAE POOL UMBS P#AB5502 3.50000000                                                         | CUSIP: 31417CDG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    352904 | PA      | $339320.89    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6015 3.5% 08/01/42                            | FANNIE MAE POOL UMBS P#AB6015 3.50000000                                                         | CUSIP: 31417CVH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249616 | PA      | $238101.78    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7079 3% 11/01/42                              | FANNIE MAE POOL UMBS P#AB7079 3.00000000                                                         | CUSIP: 31417D2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    970893 | PA      | $897729.39    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6317 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#AB6317 3.50000000                                                         | CUSIP: 31417DAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    209286 | PA      | $200064.54    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6524 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6524 3.50000000                                                         | CUSIP: 31417DHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217655 | PA      | $207502.72    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6619 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6619 3.50000000                                                         | CUSIP: 31417DK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    127480 | PA      | $121599.48    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6633 3.5% 10/01/42                            | FANNIE MAE POOL UMBS P#AB6633 3.50000000                                                         | CUSIP: 31417DLP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    341578 | PA      | $326105.82    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB6929 3.5% 11/01/42                            | FANNIE MAE POOL UMBS P#AB6929 3.50000000                                                         | CUSIP: 31417DVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2490263 | PA      | $2375134.65   | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7319 4% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7319 4.00000000                                                         | CUSIP: 31417EDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128554 | PA      | $125645.31    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7397 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7397 3.00000000                                                         | CUSIP: 31417EGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    494605 | PA      | $457281.32    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7410 3% 12/01/42                              | FANNIE MAE POOL UMBS P#AB7410 3.00000000                                                         | CUSIP: 31417EGU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    319925 | PA      | $295749.48    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7473 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7473 3.00000000                                                         | CUSIP: 31417EJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    484935 | PA      | $448341.62    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7505 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7505 3.00000000                                                         | CUSIP: 31417EKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    326213 | PA      | $301561.72    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7728 2.5% 01/01/43                            | FANNIE MAE POOL UMBS P#AB7728 2.50000000                                                         | CUSIP: 31417ESS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4774458 | PA      | $4282732.84   | 0.02%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB7733 3% 01/01/43                              | FANNIE MAE POOL UMBS P#AB7733 3.00000000                                                         | CUSIP: 31417ESX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    560608 | PA      | $518245.33    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB8897 3% 04/01/43                              | FANNIE MAE POOL UMBS P#AB8897 3.00000000                                                         | CUSIP: 31417F3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    876615 | PA      | $810288.17    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB8726 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#AB8726 3.50000000                                                         | CUSIP: 31417FVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1262205 | PA      | $1203595.75   | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9865 3.5% 07/01/43                            | FANNIE MAE POOL UMBS P#AB9865 3.50000000                                                         | CUSIP: 31417G6B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3191696 | PA      | $3041500.07   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9196 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#AB9196 3.50000000                                                         | CUSIP: 31417GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138419 | PA      | $131463.04    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9551 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AB9551 3.00000000                                                         | CUSIP: 31417GTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1063977 | PA      | $983359.88    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB9765 3% 06/01/43                              | FANNIE MAE POOL UMBS P#AB9765 3.00000000                                                         | CUSIP: 31417GZ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1829576 | PA      | $1689992.65   | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC1317 4.5% 09/01/34                            | FANNIE MAE POOL UMBS P#AC1317 4.50000000                                                         | CUSIP: 31417KPB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3598 | PA      | $3574.05      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC2948 5% 09/01/39                              | FANNIE MAE POOL UMBS P#AC2948 5.00000000                                                         | CUSIP: 31417MH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38717 | PA      | $39814.60     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC3740 5.5% 09/01/39                            | FANNIE MAE POOL UMBS P#AC3740 5.50000000                                                         | CUSIP: 31417NEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16379 | PA      | $16939.04     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC5442 4.5% 11/01/39                            | FANNIE MAE POOL UMBS P#AC5442 4.50000000                                                         | CUSIP: 31417SBL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5969 | PA      | $6019.96      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC7296 5.5% 12/01/39                            | FANNIE MAE POOL UMBS P#AC7296 5.50000000                                                         | CUSIP: 31417UDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23692 | PA      | $24554.97     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC9526 5.5% 01/01/40                            | FANNIE MAE POOL UMBS P#AC9526 5.50000000                                                         | CUSIP: 31417WSQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188356 | PA      | $196257.29    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0127 5.5% 06/01/39                            | FANNIE MAE POOL UMBS P#MA0127 5.50000000                                                         | CUSIP: 31417YD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11154 | PA      | $11311.99     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0140 4.5% 08/01/29                            | FANNIE MAE POOL UMBS P#MA0140 4.50000000                                                         | CUSIP: 31417YEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20755 | PA      | $20837.92     | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0171 4.5% 09/01/29                            | FANNIE MAE POOL UMBS P#MA0171 4.50000000                                                         | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23185 | PA      | $23277.10     | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1125 4% 07/01/42                              | FANNIE MAE POOL UMBS P#MA1125 4.00000000                                                         | CUSIP: 31418AHB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150736 | PA      | $146768.20    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1164 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#MA1164 3.50000000                                                         | CUSIP: 31418AJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1580993 | PA      | $1509376.26   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1177 3.5% 09/01/42                            | FANNIE MAE POOL UMBS P#MA1177 3.50000000                                                         | CUSIP: 31418AJX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249902 | PA      | $237346.58    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1208 3% 10/01/42                              | FANNIE MAE POOL UMBS P#MA1208 3.00000000                                                         | CUSIP: 31418AKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1361161 | PA      | $1259019.80   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1328 3.5% 01/01/43                            | FANNIE MAE POOL UMBS P#MA1328 3.50000000                                                         | CUSIP: 31418APN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225821 | PA      | $214473.32    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1373 3.5% 03/01/43                            | FANNIE MAE POOL UMBS P#MA1373 3.50000000                                                         | CUSIP: 31418AQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175519 | PA      | $166699.52    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1437 3.5% 05/01/43                            | FANNIE MAE POOL UMBS P#MA1437 3.50000000                                                         | CUSIP: 31418AS33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    559995 | PA      | $531852.93    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1510 4% 07/01/43                              | FANNIE MAE POOL UMBS P#MA1510 4.00000000                                                         | CUSIP: 31418AVC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    290448 | PA      | $282799.08    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1608 3.5% 10/01/33                            | FANNIE MAE POOL UMBS P#MA1608 3.50000000                                                         | CUSIP: 31418AYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2499587 | PA      | $2452445.00   | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2608 3% 05/01/46                              | FANNIE MAE POOL UMBS P#MA2608 3.00000000                                                         | CUSIP: 31418B3S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9283003 | PA      | $8442255.68   | 0.03%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2415 4% 10/01/45                              | FANNIE MAE POOL UMBS P#MA2415 4.00000000                                                         | CUSIP: 31418BVH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    212793 | PA      | $205915.03    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2706 3.5% 08/01/46                            | FANNIE MAE POOL UMBS P#MA2706 3.50000000                                                         | CUSIP: 31418CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1421284 | PA      | $1344520.84   | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2707 3% 08/01/36                              | FANNIE MAE POOL UMBS P#MA2707 3.00000000                                                         | CUSIP: 31418CAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    357189 | PA      | $340799.38    | 0.00%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2761 3.5% 09/01/46                            | FANNIE MAE POOL UMBS P#MA2761 3.50000000                                                         | CUSIP: 31418CB78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1381953 | PA      | $1305600.04   | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2781 2.5% 10/01/46                            | FANNIE MAE POOL UMBS P#MA2781 2.50000000                                                         | CUSIP: 31418CCT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    303442 | PA      | $264095.03    | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2806 3% 11/01/46                              | FANNIE MAE POOL UMBS P#MA2806 3.00000000                                                         | CUSIP: 31418CDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2648018 | PA      | $2402994.34   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2841 2.5% 12/01/36                            | FANNIE MAE POOL UMBS P#MA2841 2.50000000                                                         | CUSIP: 31418CEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    889048 | PA      | $831262.55    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2863 3% 01/01/47                              | FANNIE MAE POOL UMBS P#MA2863 3.00000000                                                         | CUSIP: 31418CFD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1591973 | PA      | $1437636.43   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2920 3% 03/01/47                              | FANNIE MAE POOL UMBS P#MA2920 3.00000000                                                         | CUSIP: 31418CG65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    276789 | PA      | $250960.43    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3076 2.5% 07/01/32                            | FANNIE MAE POOL UMBS P#MA3076 2.50000000                                                         | CUSIP: 31418CM27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1741000 | PA      | $1679280.28   | 0.01%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3114 2.5% 08/01/32                            | FANNIE MAE POOL UMBS P#MA3114 2.50000000                                                         | CUSIP: 31418CN83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1953363 | PA      | $1887993.18   | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3120 3.5% 09/01/47                            | FANNIE MAE POOL UMBS P#MA3120 3.50000000                                                         | CUSIP: 31418CPE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    720724 | PA      | $679047.53    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3124 2.5% 09/01/32                            | FANNIE MAE POOL UMBS P#MA3124 2.50000000                                                         | CUSIP: 31418CPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1849325 | PA      | $1786680.75   | 0.01%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3153 4% 10/01/37                              | FANNIE MAE POOL UMBS P#MA3153 4.00000000                                                         | CUSIP: 31418CQF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    468231 | PA      | $459518.71    | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3182 3.5% 11/01/47                            | FANNIE MAE POOL UMBS P#MA3182 3.50000000                                                         | CUSIP: 31418CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2021419 | PA      | $1895954.16   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3183 4% 11/01/47                              | FANNIE MAE POOL UMBS P#MA3183 4.00000000                                                         | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1862298 | PA      | $1800063.34   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3238 3.5% 01/01/48                            | FANNIE MAE POOL UMBS P#MA3238 3.50000000                                                         | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1694817 | PA      | $1593049.22   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3284 3.5% 02/01/33                            | FANNIE MAE POOL UMBS P#MA3284 3.50000000                                                         | CUSIP: 31418CUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103380 | PA      | $102338.07    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3332 3.5% 04/01/48                            | FANNIE MAE POOL UMBS P#MA3332 3.50000000                                                         | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8838460 | PA      | $8281644.68   | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3340 3.5% 04/01/33                            | FANNIE MAE POOL UMBS P#MA3340 3.50000000                                                         | CUSIP: 31418CWA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    467772 | PA      | $462450.40    | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3416 4.5% 07/01/48                            | FANNIE MAE POOL UMBS P#MA3416 4.50000000                                                         | CUSIP: 31418CYN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1348111 | PA      | $1338962.47   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3442 3.5% 08/01/48                            | FANNIE MAE POOL UMBS P#MA3442 3.50000000                                                         | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4965647 | PA      | $4648157.13   | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4377 1.5% 07/01/51                            | FANNIE MAE POOL UMBS P#MA4377 1.50000000                                                         | CUSIP: 31418D2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6025196 | PA      | $4656258.99   | 0.02%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4378 2% 07/01/51                              | FANNIE MAE POOL UMBS P#MA4378 2.00000000                                                         | CUSIP: 31418D2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2366309 | PA      | $1924714.91   | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4402 1.5% 08/01/36                            | FANNIE MAE POOL UMBS P#MA4402 1.50000000                                                         | CUSIP: 31418D3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8857162 | PA      | $8034820.59   | 0.03%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4407 2% 08/01/41                              | FANNIE MAE POOL UMBS P#MA4407 2.00000000                                                         | CUSIP: 31418D3R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10492929 | PA      | $9136632.36   | 0.04%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4413 2% 09/01/51                              | FANNIE MAE POOL UMBS P#MA4413 2.00000000                                                         | CUSIP: 31418D3X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10118718 | PA      | $8224077.61   | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4417 1.5% 09/01/36                            | FANNIE MAE POOL UMBS P#MA4417 1.50000000                                                         | CUSIP: 31418D4B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3893914 | PA      | $3531210.73   | 0.01%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4437 2% 10/01/51                              | FANNIE MAE POOL UMBS P#MA4437 2.00000000                                                         | CUSIP: 31418D4X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3120997 | PA      | $2534677.07   | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4446 2% 10/01/41                              | FANNIE MAE POOL UMBS P#MA4446 2.00000000                                                         | CUSIP: 31418D5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    775685 | PA      | $675173.20    | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4465 2% 11/01/51                              | FANNIE MAE POOL UMBS P#MA4465 2.00000000                                                         | CUSIP: 31418D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8067602 | PA      | $6549481.44   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4469 1.5% 11/01/36                            | FANNIE MAE POOL UMBS P#MA4469 1.50000000                                                         | CUSIP: 31418D6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2466473 | PA      | $2235248.13   | 0.01%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3937 3% 02/01/50                              | FANNIE MAE POOL UMBS P#MA3937 3.00000000                                                         | CUSIP: 31418DLT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3480679 | PA      | $3116120.86   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3956 3% 03/01/35                              | FANNIE MAE POOL UMBS P#MA3956 3.00000000                                                         | CUSIP: 31418DME9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2763630 | PA      | $2672216.77   | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3960 3% 03/01/50                              | FANNIE MAE POOL UMBS P#MA3960 3.00000000                                                         | CUSIP: 31418DMJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1063119 | PA      | $949352.19    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA3990 2.5% 04/01/50                            | FANNIE MAE POOL UMBS P#MA3990 2.50000000                                                         | CUSIP: 31418DNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9387660 | PA      | $8011039.75   | 0.03%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4045 2% 06/01/40                              | FANNIE MAE POOL UMBS P#MA4045 2.00000000                                                         | CUSIP: 31418DP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2144896 | PA      | $1884492.08   | 0.01%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4047 2% 06/01/50                              | FANNIE MAE POOL UMBS P#MA4047 2.00000000                                                         | CUSIP: 31418DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23309435 | PA      | $19054133.99  | 0.08%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4018 2% 05/01/50                              | FANNIE MAE POOL UMBS P#MA4018 2.00000000                                                         | CUSIP: 31418DPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12319374 | PA      | $10071061.81  | 0.04%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4026 4% 05/01/50                              | FANNIE MAE POOL UMBS P#MA4026 4.00000000                                                         | CUSIP: 31418DPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2038229 | PA      | $1957235.77   | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4077 2% 07/01/50                              | FANNIE MAE POOL UMBS P#MA4077 2.00000000                                                         | CUSIP: 31418DQ70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7883445 | PA      | $6426831.82   | 0.03%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4048 3% 06/01/50                              | FANNIE MAE POOL UMBS P#MA4048 3.00000000                                                         | CUSIP: 31418DQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1671771 | PA      | $1495115.76   | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4071 2% 07/01/40                              | FANNIE MAE POOL UMBS P#MA4071 2.00000000                                                         | CUSIP: 31418DQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2040434 | PA      | $1815087.30   | 0.01%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4097 3% 08/01/50                              | FANNIE MAE POOL UMBS P#MA4097 3.00000000                                                         | CUSIP: 31418DRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3773425 | PA      | $3371172.10   | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4119 2% 09/01/50                              | FANNIE MAE POOL UMBS P#MA4119 2.00000000                                                         | CUSIP: 31418DSH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17869517 | PA      | $14607403.58  | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4128 2% 09/01/40                              | FANNIE MAE POOL UMBS P#MA4128 2.00000000                                                         | CUSIP: 31418DSS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1166956 | PA      | $1035876.82   | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4175 1.5% 11/01/40                            | FANNIE MAE POOL UMBS P#MA4175 1.50000000                                                         | CUSIP: 31418DT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4882658 | PA      | $4168837.58   | 0.02%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4157 1.5% 10/01/50                            | FANNIE MAE POOL UMBS P#MA4157 1.50000000                                                         | CUSIP: 31418DTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1648668 | PA      | $1272103.97   | 0.01%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4158 2% 10/01/50                              | FANNIE MAE POOL UMBS P#MA4158 2.00000000                                                         | CUSIP: 31418DTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36460562 | PA      | $29766609.30  | 0.12%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4159 2.5% 10/01/50                            | FANNIE MAE POOL UMBS P#MA4159 2.50000000                                                         | CUSIP: 31418DTR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32880303 | PA      | $28088714.87  | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4181 1.5% 11/01/50                            | FANNIE MAE POOL UMBS P#MA4181 1.50000000                                                         | CUSIP: 31418DUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9904007 | PA      | $7641833.89   | 0.03%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4182 2% 11/01/50                              | FANNIE MAE POOL UMBS P#MA4182 2.00000000                                                         | CUSIP: 31418DUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14764325 | PA      | $12046042.13  | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4232 2% 01/01/41                              | FANNIE MAE POOL UMBS P#MA4232 2.00000000                                                         | CUSIP: 31418DV25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1080395 | PA      | $944647.60    | 0.00%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4236 1.5% 01/01/51                            | FANNIE MAE POOL UMBS P#MA4236 1.50000000                                                         | CUSIP: 31418DV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1316044 | PA      | $1015437.31   | 0.00%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4237 2% 01/01/51                              | FANNIE MAE POOL UMBS P#MA4237 2.00000000                                                         | CUSIP: 31418DV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31576202 | PA      | $25765822.47  | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4208 2% 12/01/50                              | FANNIE MAE POOL UMBS P#MA4208 2.00000000                                                         | CUSIP: 31418DVA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8133639 | PA      | $6640348.75   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4209 1.5% 12/01/50                            | FANNIE MAE POOL UMBS P#MA4209 1.50000000                                                         | CUSIP: 31418DVB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21044466 | PA      | $16254876.05  | 0.06%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4210 2.5% 12/01/50                            | FANNIE MAE POOL UMBS P#MA4210 2.50000000                                                         | CUSIP: 31418DVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    397952 | PA      | $339958.73    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4268 2% 02/01/41                              | FANNIE MAE POOL UMBS P#MA4268 2.00000000                                                         | CUSIP: 31418DW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5700608 | PA      | $5007033.22   | 0.02%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4254 1.5% 02/01/51                            | FANNIE MAE POOL UMBS P#MA4254 1.50000000                                                         | CUSIP: 31418DWQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16106203 | PA      | $12431325.43  | 0.05%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4255 2% 02/01/51                              | FANNIE MAE POOL UMBS P#MA4255 2.00000000                                                         | CUSIP: 31418DWR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8319818 | PA      | $6783676.17   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4260 1.5% 02/01/36                            | FANNIE MAE POOL UMBS P#MA4260 1.50000000                                                         | CUSIP: 31418DWW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2532539 | PA      | $2299023.70   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4280 1.5% 03/01/51                            | FANNIE MAE POOL UMBS P#MA4280 1.50000000                                                         | CUSIP: 31418DXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2107495 | PA      | $1631331.18   | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4281 2% 03/01/51                              | FANNIE MAE POOL UMBS P#MA4281 2.00000000                                                         | CUSIP: 31418DXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32809866 | PA      | $26738320.53  | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4282 2.5% 03/01/51                            | FANNIE MAE POOL UMBS P#MA4282 2.50000000                                                         | CUSIP: 31418DXL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9013217 | PA      | $7697729.57   | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4285 2% 03/01/31                              | FANNIE MAE POOL UMBS P#MA4285 2.00000000                                                         | CUSIP: 31418DXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2890023 | PA      | $2779449.17   | 0.01%             | 2031-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4286 1.5% 03/01/41                            | FANNIE MAE POOL UMBS P#MA4286 1.50000000                                                         | CUSIP: 31418DXQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    907623 | PA      | $773752.22    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4333 2% 05/01/41                              | FANNIE MAE POOL UMBS P#MA4333 2.00000000                                                         | CUSIP: 31418DY71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18646097 | PA      | $16251135.02  | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4305 2% 04/01/51                              | FANNIE MAE POOL UMBS P#MA4305 2.00000000                                                         | CUSIP: 31418DYB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7635182 | PA      | $6219905.26   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4306 2.5% 04/01/51                            | FANNIE MAE POOL UMBS P#MA4306 2.50000000                                                         | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20540667 | PA      | $17524624.49  | 0.07%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4307 3% 04/01/51                              | FANNIE MAE POOL UMBS P#MA4307 3.00000000                                                         | CUSIP: 31418DYD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4780206 | PA      | $4255341.54   | 0.02%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4326 2.5% 05/01/51                            | FANNIE MAE POOL UMBS P#MA4326 2.50000000                                                         | CUSIP: 31418DYY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8641441 | PA      | $7369853.94   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4364 2% 06/01/41                              | FANNIE MAE POOL UMBS P#MA4364 2.00000000                                                         | CUSIP: 31418DZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8585916 | PA      | $7490291.42   | 0.03%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4356 2.5% 06/01/51                            | FANNIE MAE POOL UMBS P#MA4356 2.50000000                                                         | CUSIP: 31418DZW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11454049 | PA      | $9766786.73   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4513 3% 01/01/52                              | FANNIE MAE POOL UMBS P#MA4513 3.00000000                                                         | CUSIP: 31418EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9281980 | PA      | $8219018.93   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4523 2% 01/01/32                              | FANNIE MAE POOL UMBS P#MA4523 2.00000000                                                         | CUSIP: 31418EAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6099814 | PA      | $5823153.71   | 0.02%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4563 2.5% 03/01/52                            | FANNIE MAE POOL UMBS P#MA4563 2.50000000                                                         | CUSIP: 31418EB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9541274 | PA      | $8088188.68   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4539 1.5% 02/01/42                            | FANNIE MAE POOL UMBS P#MA4539 1.50000000                                                         | CUSIP: 31418EBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1180444 | PA      | $994910.50    | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4548 2.5% 02/01/52                            | FANNIE MAE POOL UMBS P#MA4548 2.50000000                                                         | CUSIP: 31418EBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9583507 | PA      | $8153805.60   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4578 2.5% 04/01/52                            | FANNIE MAE POOL UMBS P#MA4578 2.50000000                                                         | CUSIP: 31418ECQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15788364 | PA      | $13423097.19  | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4579 3% 04/01/52                              | FANNIE MAE POOL UMBS P#MA4579 3.00000000                                                         | CUSIP: 31418ECR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13750330 | PA      | $12196211.39  | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4580 3.5% 04/01/52                            | FANNIE MAE POOL UMBS P#MA4580 3.50000000                                                         | CUSIP: 31418ECS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189092 | PA      | $175243.89    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4586 2% 04/01/42                              | FANNIE MAE POOL UMBS P#MA4586 2.00000000                                                         | CUSIP: 31418ECY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4772300 | PA      | $4142030.64   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4587 2.5% 04/01/42                            | FANNIE MAE POOL UMBS P#MA4587 2.50000000                                                         | CUSIP: 31418ECZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4543065 | PA      | $4024086.76   | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4625 3.5% 06/01/52                            | FANNIE MAE POOL UMBS P#MA4625 3.50000000                                                         | CUSIP: 31418ED72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3750730 | PA      | $3476053.42   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4626 4% 06/01/52                              | FANNIE MAE POOL UMBS P#MA4626 4.00000000                                                         | CUSIP: 31418ED80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6207836 | PA      | $5924480.63   | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4597 2% 05/01/52                              | FANNIE MAE POOL UMBS P#MA4597 2.00000000                                                         | CUSIP: 31418EDB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10257881 | PA      | $8317946.03   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4599 3% 05/01/52                              | FANNIE MAE POOL UMBS P#MA4599 3.00000000                                                         | CUSIP: 31418EDD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35004708 | PA      | $31023049.29  | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4600 3.5% 05/01/52                            | FANNIE MAE POOL UMBS P#MA4600 3.50000000                                                         | CUSIP: 31418EDE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1299237 | PA      | $1204089.74   | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4604 3% 05/01/37                              | FANNIE MAE POOL UMBS P#MA4604 3.00000000                                                         | CUSIP: 31418EDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8861411 | PA      | $8523996.11   | 0.03%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4654 3.5% 07/01/52                            | FANNIE MAE POOL UMBS P#MA4654 3.50000000                                                         | CUSIP: 31418EE48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7255196 | PA      | $6723876.71   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4656 4.5% 07/01/52                            | FANNIE MAE POOL UMBS P#MA4656 4.50000000                                                         | CUSIP: 31418EE63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3565278 | PA      | $3495101.04   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4686 5% 06/01/52                              | FANNIE MAE POOL UMBS P#MA4686 5.00000000                                                         | CUSIP: 31418EF47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5933968 | PA      | $5943099.65   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4701 4.5% 08/01/52                            | FANNIE MAE POOL UMBS P#MA4701 4.50000000                                                         | CUSIP: 31418EGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11619171 | PA      | $11390465.02  | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4709 5% 07/01/52                              | FANNIE MAE POOL UMBS P#MA4709 5.00000000                                                         | CUSIP: 31418EGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    381847 | PA      | $382434.21    | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4731 3.5% 09/01/52                            | FANNIE MAE POOL UMBS P#MA4731 3.50000000                                                         | CUSIP: 31418EHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3752929 | PA      | $3478090.73   | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4732 4% 09/01/52                              | FANNIE MAE POOL UMBS P#MA4732 4.00000000                                                         | CUSIP: 31418EHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26275256 | PA      | $25033169.29  | 0.10%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4733 4.5% 09/01/52                            | FANNIE MAE POOL UMBS P#MA4733 4.50000000                                                         | CUSIP: 31418EHK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14197768 | PA      | $13916838.42  | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4737 5% 08/01/52                              | FANNIE MAE POOL UMBS P#MA4737 5.00000000                                                         | CUSIP: 31418EHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7630259 | PA      | $7642000.93   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4785 5% 10/01/52                              | FANNIE MAE POOL UMBS P#MA4785 5.00000000                                                         | CUSIP: 31418EJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22679966 | PA      | $22749948.96  | 0.09%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4761 5% 09/01/52                              | FANNIE MAE POOL UMBS P#MA4761 5.00000000                                                         | CUSIP: 31418EJF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20192511 | PA      | $20223584.82  | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4804 4% 11/01/52                              | FANNIE MAE POOL UMBS P#MA4804 4.00000000                                                         | CUSIP: 31418EKS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7233304 | PA      | $6900894.27   | 0.03%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4805 4.5% 11/01/52                            | FANNIE MAE POOL UMBS P#MA4805 4.50000000                                                         | CUSIP: 31418EKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19432318 | PA      | $19041808.00  | 0.08%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4807 5.5% 11/01/52                            | FANNIE MAE POOL UMBS P#MA4807 5.50000000                                                         | CUSIP: 31418EKV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5719687 | PA      | $5838040.30   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4842 5.5% 12/01/52                            | FANNIE MAE POOL UMBS P#MA4842 5.50000000                                                         | CUSIP: 31418ELY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11806577 | PA      | $12033011.58  | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4940 5% 03/01/53                              | FANNIE MAE POOL UMBS P#MA4940 5.00000000                                                         | CUSIP: 31418EP20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17024058 | PA      | $17042572.98  | 0.07%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4941 5.5% 03/01/53                            | FANNIE MAE POOL UMBS P#MA4941 5.50000000                                                         | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35969464 | PA      | $36610625.77  | 0.15%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4918 5% 02/01/53                              | FANNIE MAE POOL UMBS P#MA4918 5.00000000                                                         | CUSIP: 31418EPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5489693 | PA      | $5497011.30   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4920 6% 02/01/53                              | FANNIE MAE POOL UMBS P#MA4920 6.00000000                                                         | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5222985 | PA      | $5374080.26   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4978 5% 04/01/53                              | FANNIE MAE POOL UMBS P#MA4978 5.00000000                                                         | CUSIP: 31418EQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16874687 | PA      | $16895442.08  | 0.07%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4979 5.5% 04/01/53                            | FANNIE MAE POOL UMBS P#MA4979 5.50000000                                                         | CUSIP: 31418EQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1626241 | PA      | $1654895.58   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5137 5% 09/01/53                              | FANNIE MAE POOL UMBS P#MA5137 5.00000000                                                         | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236408 | PA      | $236455.01    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5139 6% 09/01/53                              | FANNIE MAE POOL UMBS P#MA5139 6.00000000                                                         | CUSIP: 31418EV98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8998419 | PA      | $9257500.14   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5190 5.5% 11/01/53                            | FANNIE MAE POOL UMBS P#MA5190 5.50000000                                                         | CUSIP: 31418EXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9919569 | PA      | $10085199.61  | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5191 6% 11/01/53                              | FANNIE MAE POOL UMBS P#MA5191 6.00000000                                                         | CUSIP: 31418EXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4158901 | PA      | $4278234.78   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5496 5% 10/01/54                              | FANNIE MAE POOL UMBS P#MA5496 5.00000000                                                         | CUSIP: 31418FDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12026330 | PA      | $12001436.03  | 0.05%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0780 7.5% 04/01/39                            | FANNIE MAE POOL UMBS P#AD0780 7.50000000                                                         | CUSIP: 31418M2N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55558 | PA      | $59853.91     | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0085 V/R 11/01/37                             | FANNIE MAE POOL UMBS P#AD0085 V/R 5.73600000                                                     | CUSIP: 31418MCX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15386 | PA      | $15605.27     | 0.00%             | 2037-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0179 V/R 12/01/37                             | FANNIE MAE POOL UMBS P#AD0179 V/R 5.78000000                                                     | CUSIP: 31418MFV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6890 | PA      | $7129.90      | 0.00%             | 2037-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0198 5.5% 09/01/38                            | FANNIE MAE POOL UMBS P#AD0198 5.50000000                                                         | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    228805 | PA      | $239216.66    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0249 5.5% 04/01/37                            | FANNIE MAE POOL UMBS P#AD0249 5.50000000                                                         | CUSIP: 31418MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38237 | PA      | $39277.72     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0523 6% 11/01/48                              | FANNIE MAE POOL UMBS P#AD0523 6.00000000                                                         | CUSIP: 31418MSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18910 | PA      | $19281.19     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD0753 7% 01/01/39                              | FANNIE MAE POOL UMBS P#AD0753 7.00000000                                                         | CUSIP: 31418MZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78831 | PA      | $83832.58     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD3796 5% 04/01/40                              | FANNIE MAE POOL UMBS P#AD3796 5.00000000                                                         | CUSIP: 31418RGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77637 | PA      | $79837.96     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD8522 4% 08/01/40                              | FANNIE MAE POOL UMBS P#AD8522 4.00000000                                                         | CUSIP: 31418WPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42090 | PA      | $41359.50     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD9153 4.5% 08/01/40                            | FANNIE MAE POOL UMBS P#AD9153 4.50000000                                                         | CUSIP: 31418XE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    952006 | PA      | $959652.51    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD9151 5% 08/01/40                              | FANNIE MAE POOL UMBS P#AD9151 5.00000000                                                         | CUSIP: 31418XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71704 | PA      | $73826.03     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0828 3.5% 02/01/41                            | FANNIE MAE POOL UMBS P#AE0828 3.50000000                                                         | CUSIP: 31419A4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2352588 | PA      | $2267877.86   | 0.01%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0049 6% 09/01/29                              | FANNIE MAE POOL UMBS P#AE0049 6.00000000                                                         | CUSIP: 31419ABT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3409 | PA      | $3497.84      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0113 4% 07/01/40                              | FANNIE MAE POOL UMBS P#AE0113 4.00000000                                                         | CUSIP: 31419ADT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1335046 | PA      | $1316411.58   | 0.01%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE0218 4.5% 08/01/40                            | FANNIE MAE POOL UMBS P#AE0218 4.50000000                                                         | CUSIP: 31419AG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    944669 | PA      | $951966.80    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNS 430 C56 3% 08/25/52                                | FANNIE MAE INTEREST STRIP SER 430 CL C56 3.00000000                                              | CUSIP: 31424QMF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2261287 | PA      | $396624.37    | 0.00%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX4528 5% 02/01/55                              | FREDDIE MAC POOL UMBS P#QX4528 5.00000000                                                        | CUSIP: 31426AA65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2480695 | PA      | $2487462.78   | 0.01%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX4834 6.5% 02/01/55                            | FREDDIE MAC POOL UMBS P#QX4834 6.50000000                                                        | CUSIP: 31426ALQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1383149 | PA      | $1455238.49   | 0.01%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX4963 5% 02/01/55                              | FREDDIE MAC POOL UMBS P#QX4963 5.00000000                                                        | CUSIP: 31426AQR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4233716 | PA      | $4245156.93   | 0.02%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QX8832 6% 03/01/55                              | FREDDIE MAC POOL UMBS P#QX8832 6.00000000                                                        | CUSIP: 31426FY68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3362879 | PA      | $3484579.43   | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QY1310 6.5% 04/01/55                            | FREDDIE MAC POOL UMBS P#QY1310 6.50000000                                                        | CUSIP: 31426KN44<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2927870 | PA      | $3122902.28   | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QZ7843 5.5% 11/01/55                            | FREDDIE MAC POOL UMBS P#QZ7843 5.50000000                                                        | CUSIP: 31427HWD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14265230 | PA      | $14695799.88  | 0.06%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL0112 6% 11/01/54                              | FREDDIE MAC POOL UMBS P#SL0112 6.00000000                                                        | CUSIP: 31427MDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1062341 | PA      | $1112951.62   | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL0393 6% 02/01/55                              | FREDDIE MAC POOL UMBS P#SL0393 6.00000000                                                        | CUSIP: 31427MNK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7845750 | PA      | $8245634.82   | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL0508 4.5% 07/01/53                            | FREDDIE MAC POOL UMBS P#SL0508 4.50000000                                                        | CUSIP: 31427MR60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2420837 | PA      | $2372670.34   | 0.01%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL0915 3.5% 07/01/52                            | FREDDIE MAC POOL UMBS P#SL0915 3.50000000                                                        | CUSIP: 31427NAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12021760 | PA      | $11196186.69  | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL1562 3% 10/01/53                              | FREDDIE MAC POOL UMBS P#SL1562 3.00000000                                                        | CUSIP: 31427NWY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8628672 | PA      | $7647191.76   | 0.03%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SL2772 6.5% 08/01/55                            | FREDDIE MAC POOL UMBS P#SL2772 6.50000000                                                        | CUSIP: 31427QCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7378210 | PA      | $7766935.41   | 0.03%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP 4.95% 10/17/48                              | FEDEX CORP REGD SER * 4.95000000                                                                 | CUSIP: 31428XDV5<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2620601.31   | 0.01%             | 2048-10-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DES 5.25% 04/26/29                         | FED CAISSES DESJARDINS REGD 144A P/P 5.25000000                                                  | CUSIP: 31429KAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   7700000 | PA      | $7968746.02   | 0.03%             | 2029-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHS 405 C20 4% 05/25/53                                | FREDDIE MAC STRIPS SER 405 CL C20 4.00000000                                                     | CUSIP: 3142G5QF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12840863 | PA      | $2740503.62   | 0.01%             | 2053-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RJ1752 4.5% 05/01/54                            | FREDDIE MAC POOL UMBS P#RJ1752 4.50000000                                                        | CUSIP: 3142GR5N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2751065 | PA      | $2704847.85   | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RJ1757 5% 06/01/54                              | FREDDIE MAC POOL UMBS P#RJ1757 5.00000000                                                        | CUSIP: 3142GR5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2843959 | PA      | $2862453.85   | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RJ1758 5% 06/01/54                              | FREDDIE MAC POOL UMBS P#RJ1758 5.00000000                                                        | CUSIP: 3142GR5U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2894910 | PA      | $2913344.40   | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RJ4375 5.5% 06/01/55                            | FREDDIE MAC POOL UMBS P#RJ4375 5.50000000                                                        | CUSIP: 3142GU2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7867309 | PA      | $8104753.72   | 0.03%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RR0048 5% 12/01/40                              | FREDDIE MAC POOL UMBS P#RR0048 5.00000000                                                        | CUSIP: 3142JCBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2039719 | PA      | $2066243.56   | 0.01%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FU 3.046% 01/31/27                         | FELLS POINT FUNDING TR REGD 144A P/P 3.04600000                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9320000 | PA      | $9207384.39   | 0.04%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FIDELITY INV MMKT GOVT-INST                            | FIDELITY GOVERNMENT PORTFOLIO CL INSTITUTIONAL 0.00000000                                        | CUSIP: 31607A703<br>LEI: N/A                  | Long             | EC               | RF                | US        | 763059279 | NS      | $763059278.74 | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHAMS 2005-FA8  5.5% 11/25/35                          | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 20 SER 2005-FA8 CL 1A19 REGD 5.50000000      | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46637 | PA      | $20287.20     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHAMS 2007-FA4 1 V/R 08/25/37                          | FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUS SER 2007-FA4 CL 1A2 V/R REGD 1.80379000       | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    512181 | PA      | $44651.10     | 0.00%             | 2037-08-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FIAOT 2025-1A  4.31% 02/15/27                          | FIRST INVESTORS AUTO OWNER TRUST 2025-1 SER 2025-1A CL A2 REGD 144A P/P 4.31000000               | CUSIP: 32059WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7589000 | PA      | $7599457.64   | 0.03%             | 2028-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TR 2.866% 09/15/28                         | FIRSTENERGY TRANSMISSION REGD 144A P/P 2.86600000                                                | CUSIP: 33767BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2781000 | PA      | $2688526.19   | 0.01%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRA 4.75% 01/15/33                         | FIRSTENERGY TRANSMISSION REGD 144A P/P 4.75000000                                                | CUSIP: 33767BAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3349000 | PA      | $3347930.70   | 0.01%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FKH 2022-SFR2  4.25% 07/17/27                          | FIRSTKEY HOMES 2022-SFR2 TRUST SER 2022-SFR2 CL A REGD 144A P/P 4.25000000                       | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10420870 | PA      | $10416809.07  | 0.04%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 1.538% 08/17/26                          | FIRSTKEY HOMES 2021-SFR1 TRUST SER 2021-SFR1 CL A REGD 144A P/P 1.53800000                       | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10780681 | PA      | $10600234.68  | 0.04%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| FKH 2021-SFR1 2.189% 08/17/26                          | FIRSTKEY HOMES 2021-SFR1 TRUST SER 2021-SFR1 CL D REGD 144A P/P 2.18900000                       | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7500000 | PA      | $7371165.75   | 0.03%             | 2038-08-17      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FKH 2022-SFR1 4.145% 05/17/27                          | FIRSTKEY HOMES 2022-SFR1 TRUST SER 2022-SFR1 CL A REGD 144A P/P 4.14500000                       | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10423294 | PA      | $10403855.68  | 0.04%             | 2039-05-19      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FKH 2022-SFR1 5.197% 05/17/27                          | FIRSTKEY HOMES 2022-SFR1 TRUST SER 2022-SFR1 CL D REGD 144A P/P 5.19700000                       | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4935000 | PA      | $4925168.49   | 0.02%             | 2039-05-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC 3.2% 07/01/26                               | FISERV INC REGD 3.20000000                                                                       | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    890000 | PA      | $886141.66    | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC 4.4% 07/01/49                               | FISERV INC REGD 4.40000000                                                                       | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2236149.62   | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FISERV INC 5.625% 08/21/33                             | FISERV INC REGD 5.62500000                                                                       | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   4575000 | PA      | $4717570.36   | 0.02%             | 2033-08-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FISERV INC 5.15% 08/12/34                              | FISERV INC REGD 5.15000000                                                                       | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |  10735000 | PA      | $10652008.68  | 0.04%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP 4.15% 07/15/27                        | FIRSTENERGY CORP REGD SER B 3.90000000                                                           | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |  21189000 | PA      | $21104463.09  | 0.08%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS F 5.791% 02/15/33                         | FIVE CORNERS FND TR III REGD 144A P/P 5.79100000                                                 | CUSIP: 33830GAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2108454.92   | 0.01%             | 2033-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| FLEX LTD 3.75% 02/01/26                                | FLEX LTD REGD 3.75000000                                                                         | CUSIP: 33938XAC9<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $13987799.28  | 0.06%             | 2026-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FLEX LTD 5.25% 01/15/32                                | FLEX LTD REGD 5.25000000                                                                         | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3057961.02   | 0.01%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER &  5.4% 09/01/35                         | FLORIDA POWER & LIGHT CO REGD 5.40000000                                                         | CUSIP: 341081EU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $725943.56    | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER &  5.6% 02/15/66                         | FLORIDA POWER & LIGHT CO REGD 5.60000000                                                         | CUSIP: 341081HB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3974000 | PA      | $3911670.23   | 0.02%             | 2066-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FORDO 2023-B A 5.23% 12/15/26                          | FORD CREDIT AUTO OWNER TRUST 2023-B SER 2023-B CL A3 REGD 5.23000000                             | CUSIP: 344930AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    940188 | PA      | $946265.58    | 0.00%             | 2028-05-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FORDR 2021-2 B 1.91% 11/15/26                          | FORD CREDIT AUTO OWNER TRUST 2021-REV2 SER 2021-2 CL B REGD 144A P/P 1.91000000                  | CUSIP: 345285AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2150000 | PA      | $2107259.94   | 0.01%             | 2034-05-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| FORDF 2023-1 A 4.92% 05/15/26                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2023-1 CL A1 REGD 144A P/P 4.92000000             | CUSIP: 34528QHV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $11035058.10  | 0.04%             | 2028-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FORDF 2024-3 A1 4.3% 09/15/27                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2024-3 CL A1 REGD 144A P/P 4.30000000             | CUSIP: 34528QJK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12825000 | PA      | $12928432.34  | 0.05%             | 2029-09-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-1 A 4.63% 04/15/28                          | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2025-1 CL A1 REGD 4.63000000                      | CUSIP: 34529BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17900000 | PA      | $18197215.18  | 0.07%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATIO 2.815% 06/01/70                         | FORD FOUNDATION/THE REGD SER 2020 2.81500000                                                     | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    790000 | PA      | $445371.01    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FORDR 2025-1 A V/R 02/15/30                            | FORD CREDIT AUTO OWNER TRUST/FORD CREDIT SER 2025-1 CL A V/R REGD 144A P/P 4.86000000            | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  37225000 | PA      | $38254181.91  | 0.15%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FORDR 2021-1 B 1.61% 04/15/26                          | FORD CREDIT AUTO OWNER TRUST 2021-REV1 SER 2021-1 CL B REGD 144A P/P 1.61000000                  | CUSIP: 345340AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2320000 | PA      | $2301639.75   | 0.01%             | 2033-10-17      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| FORDR 2023-2 A 5.28% 08/15/28                          | FORD CREDIT AUTO OWNER TRUST 2023-REV2 SER 2023-2 CL A REGD 144A P/P 5.28000000                  | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8800000 | PA      | $9095480.24   | 0.04%             | 2036-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FORDO 2024-A A 5.09% 12/15/28                          | FORD CREDIT AUTO OWNER TRUST 2024-A SER 2024-A CL A3 REGD 5.09000000                             | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4789222 | PA      | $4829880.40   | 0.02%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FORDR 2023-1 A 4.85% 02/15/28                          | FORD CREDIT AUTO OWNER TRUST 2023-REV1 SER 2023-1 CL A REGD 144A P/P 4.85000000                  | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18470000 | PA      | $18838753.55  | 0.07%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FORDR 2025-2 A V/R 08/15/30                            | FORD CREDIT AUTO OWNER TRUST 2025-REV2 SER 2025-2 CL A V/R REGD 144A P/P 4.37000000              | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28409000 | PA      | $28643107.21  | 0.11%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT  4% 11/13/30                         | FORD MOTOR CREDIT CO LLC REGD 4.00000000                                                         | CUSIP: 345397B36<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3240000 | PA      | $3057569.40   | 0.01%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRE 3.625% 06/17/31                         | FORD MOTOR CREDI REGD 3.62500000                                                                 | CUSIP: 345397B69<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1159186.92   | 0.00%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI 2.9% 02/10/29                         | FORD MOTOR CREDIT CO LLC REGD 2.90000000                                                         | CUSIP: 345397B93<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6720000 | PA      | $6315110.32   | 0.03%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRED 7.35% 03/06/30                         | FORD MOTOR CREDIT CO LLC REGD 7.35000000                                                         | CUSIP: 345397C68<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1357631.38   | 0.01%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRE 6.798% 11/07/28                         | FORD MOTOR CREDIT CO LLC REGD 6.79800000                                                         | CUSIP: 345397D59<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $456367.13    | 0.00%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI 5.8% 03/08/29                         | FORD MOTOR CREDIT CO LLC REGD 5.80000000                                                         | CUSIP: 345397E58<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10735000 | PA      | $10968432.36  | 0.04%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRE 5.875% 11/07/29                         | FORD MOTOR CREDIT CO LLC REGD 5.87500000                                                         | CUSIP: 345397G49<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2489300.50   | 0.01%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRE 5.918% 03/20/28                         | FORD MOTOR CREDIT CO LLC REGD 5.91800000                                                         | CUSIP: 345397G72<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1944074.97   | 0.01%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRED 5.73% 09/05/30                         | FORD MOTOR CREDIT CO LLC REGD 5.73000000                                                         | CUSIP: 345397H48<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12731000 | PA      | $12927017.17  | 0.05%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CRE 5.113% 05/03/29                         | FORD MOTOR CREDIT CO LLC REGD 5.11300000                                                         | CUSIP: 345397ZR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5432000 | PA      | $5440384.07   | 0.02%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FORTIS INC 3.055% 10/04/26                             | FORTIS INC REGD SER WI 3.05500000                                                                | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |   1568000 | PA      | $1555044.04   | 0.01%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FFIN 2024-2A B 4.93% 03/15/50                          | FOUNDATION FINANCE TRUST 2024-2 SER 2024-2A CL B REGD 144A P/P 4.93000000                        | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4451066 | PA      | $4465285.93   | 0.02%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FFIN 2023-2A A 6.53% 11/15/30                          | FOUNDATION FINANCE TRUST 2023-2 SER 2023-2A CL A REGD 144A P/P 6.53000000                        | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1417210 | PA      | $1478924.68   | 0.01%             | 2049-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FFIN 2023-2A D 9.1% 07/15/31                           | FOUNDATION FINANCE TRUST 2023-2 SER 2023-2A CL D REGD 144A P/P 9.10000000                        | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4016063 | PA      | $4293389.78   | 0.02%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLD 6.25% 01/25/35                         | FOUNDRY JV HOLDCO LLC REGD 144A P/P 6.25000000                                                   | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $3228891.57   | 0.01%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDC 5.9% 01/25/33                         | FOUNDRY JV HOLDCO LLC REGD 144A P/P 5.90000000                                                   | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1569520.74   | 0.01%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SCRT 2022-1 MT 3.25% 11/25/61                          | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1 SER 2022-1 CL MTU 3.25000000       | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7606258 | PA      | $6632943.84   | 0.03%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SCRT 2017-4 MT 3.5% 06/25/57                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST 2017-4 SER 2017-4 CL MT 3.50000000               | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2066138 | PA      | $1883689.43   | 0.01%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-1 M60 3.5% 05/25/57                          | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 SER 2018-1 CL M60C 3.50000000      | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7499013 | PA      | $7016994.40   | 0.03%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-2 MT 3.5% 11/25/57                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2 SER 2018-2 CL MT 3.50000000        | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4800202 | PA      | $4318056.75   | 0.02%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2018-4 MZ 3.5% 03/25/58                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SER 2018-4 CL MZ 3.50000000        | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10277014 | PA      | $7856665.46   | 0.03%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-1 MT 3.5% 07/25/58                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SER 2019-1 CL MT 3.50000000        | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5541928 | PA      | $4970202.60   | 0.02%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2023-1 MT 3% 10/25/62                             | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2023-1 SER 2023-1 CL MT 3.00000000        | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7634016 | PA      | $6446674.19   | 0.03%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-3 MB 3.5% 10/25/58                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3 SER 2019-3 CL MB 3.50000000        | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3880000 | PA      | $3282189.39   | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2019-4 M55D 4% 02/25/59                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SER 2019-4 CL M55D 4.00000000      | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3448061 | PA      | $3248026.75   | 0.01%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2020-1 M55G 3% 08/25/59                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1 SER 2020-1 CL M55G 3.00000000      | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4241608 | PA      | $3859169.60   | 0.02%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-1 MT 3% 11/25/63                             | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-1 SER 2024-1 CL MT 3.00000000        | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4226355 | PA      | $3590290.02   | 0.01%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2020-3 M5TW 3% 05/25/60                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3 SER 2020-3 CL M5TW 3.00000000      | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4459545 | PA      | $4027381.01   | 0.02%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-2 MT 3.5% 05/25/64                           | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2 SER 2024-2 CL MT 3.50000000        | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9779765 | PA      | $8586485.18   | 0.03%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRT 2025-1 MT 3.25% 11/25/64                          | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1 SER 2025-1 CL MTU 3.25000000                   | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11383776 | PA      | $9902173.40   | 0.04%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SCRT 2025-2 MT 3.25% 06/25/65                          | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-2 SER 2025-2 CL MTU 3.25000000                   | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9897064 | PA      | $8477907.88   | 0.03%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SLST 2025-2 A1 3% 10/25/35                             | SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2025-2 SER 2025-2 CL A1 3.00000000            | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21305126 | PA      | $20011107.64  | 0.08%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLST 2025-1 A1 3% 05/25/35                             | SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2025-1 SER 2025-1 CL A1 3.00000000            | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16726346 | PA      | $15558515.77  | 0.06%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA6  V/R 09/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA6 SER 2022-DNA6 CL M1A V/R REGD 144A P/P 6.02419000        | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    889249 | PA      | $893857.45    | 0.00%             | 2042-09-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| STACR 2021-DNA5  V/R 01/25/34                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA5 SER 2021-DNA5 CL M2 V/R REGD 144A P/P 5.52419000         | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    276566 | PA      | $277342.88    | 0.00%             | 2034-01-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA7  V/R 09/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA7 SER 2022-DNA7 CL M1A V/R REGD 144A P/P 6.37419000        | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1839851 | PA      | $1858132.63   | 0.01%             | 2052-03-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| STACR 2022-DNA2  V/R 02/25/42                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 SER 2022-DNA2 CL M1A V/R REGD 144A P/P 5.17419000        | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    821758 | PA      | $822061.60    | 0.00%             | 2042-02-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| STACR 2024-DNA1  V/R 02/25/44                          | FREDDIE MAC STACR REMIC TRUST 2024-DNA1 SER 2024-DNA1 CL M1 V/R REGD 144A P/P 5.22419000         | CUSIP: 35564NAX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2439309 | PA      | $2440065.26   | 0.01%             | 2044-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| STACR 2024-DNA2  V/R 05/25/44                          | FREDDIE MAC STACR REMIC TRUST 2024-DNA2 SER 2024-DNA2 CL M1 V/R REGD 144A P/P 5.07419000         | CUSIP: 35564NCX9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1077506 | PA      | $1078851.26   | 0.00%             | 2044-05-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA1  V/R 01/25/45                          | FREDDIE MAC STACR REMIC TRUST 2025-DNA1 SER 2025-DNA1 CL M1 V/R REGD 144A P/P 4.92419000         | CUSIP: 35564NFZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1692781 | PA      | $1692782.59   | 0.01%             | 2045-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA2  V/R 05/25/45                          | FREDDIE MAC STACR REMIC TRUST 2025-DNA2 SER 2025-DNA2 CL A1 V/R REGD 144A P/P 4.97419000         | CUSIP: 35564NHY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12021250 | PA      | $12048044.16  | 0.05%             | 2045-05-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3  V/R 09/25/45                          | FREDDIE MAC STACR REMIC TRUST 2025-DNA3 SER 2025-DNA3 CL M1 V/R REGD 144A P/P 4.97419000         | CUSIP: 35564UAR8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5869035 | PA      | $5878583.01   | 0.02%             | 2045-09-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE 3% 12/01/31                         | FRESENIUS MED CARE III REGD 144A P/P 3.00000000                                                  | CUSIP: 35805BAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7213474.00   | 0.03%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) MAR26                            | FUTURE CONTRACT ON           US 2YR NOTE (CBT) MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      3258 | NC      | $680234764.00 | 2.71%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR ULTRA FUT MAR26                            | FUTURE CONTRACT ON           US 10YR ULTRA FUT MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      2985 | NC      | $343321640.63 | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US ULTRA BOND CBT MAR26                            | FUTURE CONTRACT ON           US ULTRA BOND CBT MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       677 | NC      | $79886000.00  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US ULTRA BOND CBT MAR26                            | FUTURE CONTRACT ON           US ULTRA BOND CBT MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -406 | NC      | $-47908000.00 | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C US LONG BOND(CBT) MAR26                            | FUTURE CONTRACT ON           US LONG BOND(CBT) MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        44 | NC      | $5086125.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US LONG BOND(CBT) MAR26                            | FUTURE CONTRACT ON           US LONG BOND(CBT) MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -159 | NC      | $-18379406.25 | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 5YR NOTE (CBT) MAR26                            | FUTURE CONTRACT ON           US 5YR NOTE (CBT) MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      3505 | NC      | $383112931.44 | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR NOTE (CBT)MAR26                            | FUTURE CONTRACT ON           US 10YR NOTE (CBT)MAR26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      3208 | NC      | $360699500.00 | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| GECMS 1999-HE1 M V/R 04/25/29                          | GE CAPITAL MORTGAGE SERVICES INC 1999-HE1 TRUST SER 1999-HE1 CL M V/R REGD 6.70500000            | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3321 | PA      | $2989.77      | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM2 A V/R 04/25/70                          | GCAT 2025-NQM2 TRUST SER 2025-NQM2 CL A1 V/R REGD 144A P/P 5.60400000                            | CUSIP: 36171HAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10256764 | PA      | $10354784.98  | 0.04%             | 2070-04-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GITST 2025-NPL2  V/R 12/25/55                          | GITSIT MORTGAGE LOAN TRUST 2025-NPL2 SER 2025-NPL2 CL A1 V/R REGD 144A P/P 5.42460000            | CUSIP: 361728AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9113000 | PA      | $9112653.71   | 0.04%             | 2055-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA P#778793 3.5% 01/15/42                            | GINNIE MAE I POOL P#778793 3.50000000                                                            | CUSIP: 36176W7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1446114 | PA      | $1354505.03   | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0784 4% 02/20/43                           | GINNIE MAE II POOL P#MA0784 4.00000000                                                           | CUSIP: 36179M2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    444452 | PA      | $432019.05    | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0088 3.5% 05/20/42                         | GINNIE MAE II POOL P#MA0088 3.50000000                                                           | CUSIP: 36179MCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10890632 | PA      | $10294668.97  | 0.04%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0154 3.5% 06/20/42                         | GINNIE MAE II POOL P#MA0154 3.50000000                                                           | CUSIP: 36179ME30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7051809 | PA      | $6668795.82   | 0.03%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0155 4% 06/20/42                           | GINNIE MAE II POOL P#MA0155 4.00000000                                                           | CUSIP: 36179ME48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    871209 | PA      | $846846.11    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0317 3% 08/20/42                           | GINNIE MAE II POOL P#MA0317 3.00000000                                                           | CUSIP: 36179MK66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1364030 | PA      | $1250786.85   | 0.00%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0462 3.5% 10/20/42                         | GINNIE MAE II POOL P#MA0462 3.50000000                                                           | CUSIP: 36179MQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1509493 | PA      | $1421284.89   | 0.01%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0463 4% 10/20/42                           | GINNIE MAE II POOL P#MA0463 4.00000000                                                           | CUSIP: 36179MQQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1996059 | PA      | $1940235.94   | 0.01%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0533 3% 11/20/42                           | GINNIE MAE II POOL P#MA0533 3.00000000                                                           | CUSIP: 36179MSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    772189 | PA      | $715707.03    | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0534 3.5% 11/20/42                         | GINNIE MAE II POOL P#MA0534 3.50000000                                                           | CUSIP: 36179MSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    520227 | PA      | $492088.17    | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0624 3% 12/20/42                           | GINNIE MAE II POOL P#MA0624 3.00000000                                                           | CUSIP: 36179MVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    396530 | PA      | $367197.87    | 0.00%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0626 4% 12/20/42                           | GINNIE MAE II POOL P#MA0626 4.00000000                                                           | CUSIP: 36179MVT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1018289 | PA      | $989810.40    | 0.00%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0698 3% 01/20/43                           | GINNIE MAE II POOL P#MA0698 3.00000000                                                           | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    391938 | PA      | $362946.97    | 0.00%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA0933 3% 04/20/43                           | GINNIE MAE II POOL P#MA0933 3.00000000                                                           | CUSIP: 36179NBA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    964759 | PA      | $892200.16    | 0.00%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1012 3.5% 05/20/43                         | GINNIE MAE II POOL P#MA1012 3.50000000                                                           | CUSIP: 36179NDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364170 | PA      | $343611.41    | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1284 3% 09/20/43                           | GINNIE MAE II POOL P#MA1284 3.00000000                                                           | CUSIP: 36179NM96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    301261 | PA      | $277855.73    | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1287 4.5% 09/20/43                         | GINNIE MAE II POOL P#MA1287 4.50000000                                                           | CUSIP: 36179NNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    457682 | PA      | $457036.07    | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1374 3% 10/20/43                           | GINNIE MAE II POOL P#MA1374 3.00000000                                                           | CUSIP: 36179NQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47191 | PA      | $43544.52     | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1376 4% 10/20/43                           | GINNIE MAE II POOL P#MA1376 4.00000000                                                           | CUSIP: 36179NQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1138985 | PA      | $1104650.98   | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1377 4.5% 10/20/43                         | GINNIE MAE II POOL P#MA1377 4.50000000                                                           | CUSIP: 36179NQ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    879014 | PA      | $877231.49    | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1523 4.5% 12/20/43                         | GINNIE MAE II POOL P#MA1523 4.50000000                                                           | CUSIP: 36179NVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    490298 | PA      | $489303.11    | 0.00%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1599 3% 01/20/44                           | GINNIE MAE II POOL P#MA1599 3.00000000                                                           | CUSIP: 36179NX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272034 | PA      | $251127.77    | 0.00%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2678 3.5% 03/20/45                         | GINNIE MAE II POOL P#MA2678 3.50000000                                                           | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    372455 | PA      | $347320.33    | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2679 4% 03/20/45                           | GINNIE MAE II POOL P#MA2679 4.00000000                                                           | CUSIP: 36179Q6Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    129484 | PA      | $125182.62    | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA1998 5% 06/20/44                           | GINNIE MAE II POOL P#MA1998 5.00000000                                                           | CUSIP: 36179QGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    245543 | PA      | $252645.61    | 0.00%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2072 3% 07/20/44                           | GINNIE MAE II POOL P#MA2072 3.00000000                                                           | CUSIP: 36179QJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100421 | PA      | $92287.61     | 0.00%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2076 5% 07/20/44                           | GINNIE MAE II POOL P#MA2076 5.00000000                                                           | CUSIP: 36179QJV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    207895 | PA      | $213272.44    | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2372 4% 11/20/44                           | GINNIE MAE II POOL P#MA2372 4.00000000                                                           | CUSIP: 36179QT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5653054 | PA      | $5465190.12   | 0.02%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2444 3% 12/20/44                           | GINNIE MAE II POOL P#MA2444 3.00000000                                                           | CUSIP: 36179QWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163126 | PA      | $148084.74    | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2446 4% 12/20/44                           | GINNIE MAE II POOL P#MA2446 4.00000000                                                           | CUSIP: 36179QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4020411 | PA      | $3886803.75   | 0.02%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3521 3.5% 03/20/46                         | GINNIE MAE II POOL P#MA3521 3.50000000                                                           | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1238306 | PA      | $1153673.28   | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3522 4% 03/20/46                           | GINNIE MAE II POOL P#MA3522 4.00000000                                                           | CUSIP: 36179R4F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    277093 | PA      | $267688.11    | 0.00%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3596 3% 04/20/46                           | GINNIE MAE II POOL P#MA3596 3.00000000                                                           | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1483293 | PA      | $1349956.66   | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3597 3.5% 04/20/46                         | GINNIE MAE II POOL P#MA3597 3.50000000                                                           | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9140994 | PA      | $8516224.05   | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3598 4% 04/20/46                           | GINNIE MAE II POOL P#MA3598 4.00000000                                                           | CUSIP: 36179R7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    723336 | PA      | $698391.60    | 0.00%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2753 3% 04/20/45                           | GINNIE MAE II POOL P#MA2753 3.00000000                                                           | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1462315 | PA      | $1336759.34   | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2754 3.5% 04/20/45                         | GINNIE MAE II POOL P#MA2754 3.50000000                                                           | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2828860 | PA      | $2639439.32   | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2825 3% 05/20/45                           | GINNIE MAE II POOL P#MA2825 3.00000000                                                           | CUSIP: 36179RD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259928 | PA      | $237448.65    | 0.00%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2827 4% 05/20/45                           | GINNIE MAE II POOL P#MA2827 4.00000000                                                           | CUSIP: 36179RD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1509934 | PA      | $1459764.29   | 0.01%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2960 3% 07/20/45                           | GINNIE MAE II POOL P#MA2960 3.00000000                                                           | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626970 | PA      | $572504.63    | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA2962 4% 07/20/45                           | GINNIE MAE II POOL P#MA2962 4.00000000                                                           | CUSIP: 36179RJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    853591 | PA      | $825227.13    | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3035 4% 08/20/45                           | GINNIE MAE II POOL P#MA3035 4.00000000                                                           | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3332611 | PA      | $3210376.76   | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3037 5% 08/20/45                           | GINNIE MAE II POOL P#MA3037 5.00000000                                                           | CUSIP: 36179RLS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283123 | PA      | $290102.91    | 0.00%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3173 3.5% 10/20/45                         | GINNIE MAE II POOL P#MA3173 3.50000000                                                           | CUSIP: 36179RQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2386746 | PA      | $2223590.57   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3175 4.5% 10/20/45                         | GINNIE MAE II POOL P#MA3175 4.50000000                                                           | CUSIP: 36179RQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5089309 | PA      | $5069562.91   | 0.02%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3172 3% 10/20/45                           | GINNIE MAE II POOL P#MA3172 3.00000000                                                           | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    716966 | PA      | $654568.12    | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3243 3% 11/20/45                           | GINNIE MAE II POOL P#MA3243 3.00000000                                                           | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174893 | PA      | $159658.08    | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3245 4% 11/20/45                           | GINNIE MAE II POOL P#MA3245 4.00000000                                                           | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1086739 | PA      | $1049645.15   | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3376 3.5% 01/20/46                         | GINNIE MAE II POOL P#MA3376 3.50000000                                                           | CUSIP: 36179RXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1452930 | PA      | $1353629.93   | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3377 4% 01/20/46                           | GINNIE MAE II POOL P#MA3377 4.00000000                                                           | CUSIP: 36179RXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    257491 | PA      | $248658.16    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3378 4.5% 01/20/46                         | GINNIE MAE II POOL P#MA3378 4.50000000                                                           | CUSIP: 36179RXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    731210 | PA      | $728373.72    | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4382 3.5% 04/20/47                         | GINNIE MAE II POOL P#MA4382 3.50000000                                                           | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2292067 | PA      | $2130622.60   | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4451 3.5% 05/20/47                         | GINNIE MAE II POOL P#MA4451 3.50000000                                                           | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2977098 | PA      | $2766785.03   | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4452 4% 05/20/47                           | GINNIE MAE II POOL P#MA4452 4.00000000                                                           | CUSIP: 36179S5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126188 | PA      | $121642.75    | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3662 3% 05/20/46                           | GINNIE MAE II POOL P#MA3662 3.00000000                                                           | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63484 | PA      | $57919.78     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3663 3.5% 05/20/46                         | GINNIE MAE II POOL P#MA3663 3.50000000                                                           | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2879656 | PA      | $2682833.50   | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3664 4% 05/20/46                           | GINNIE MAE II POOL P#MA3664 4.00000000                                                           | CUSIP: 36179SB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1234679 | PA      | $1192031.31   | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3737 4% 06/20/46                           | GINNIE MAE II POOL P#MA3737 4.00000000                                                           | CUSIP: 36179SEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580465 | PA      | $561453.12    | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3802 3% 07/20/46                           | GINNIE MAE II POOL P#MA3802 3.00000000                                                           | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4916502 | PA      | $4479686.15   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3803 3.5% 07/20/46                         | GINNIE MAE II POOL P#MA3803 3.50000000                                                           | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2587022 | PA      | $2393402.19   | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3805 4.5% 07/20/46                         | GINNIE MAE II POOL P#MA3805 4.50000000                                                           | CUSIP: 36179SGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    344309 | PA      | $342973.38    | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3873 3% 08/20/46                           | GINNIE MAE II POOL P#MA3873 3.00000000                                                           | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9209926 | PA      | $8381965.03   | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3874 3.5% 08/20/46                         | GINNIE MAE II POOL P#MA3874 3.50000000                                                           | CUSIP: 36179SJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    387727 | PA      | $361064.36    | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3936 3% 09/20/46                           | GINNIE MAE II POOL P#MA3936 3.00000000                                                           | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    419943 | PA      | $383055.19    | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3937 3.5% 09/20/46                         | GINNIE MAE II POOL P#MA3937 3.50000000                                                           | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1938915 | PA      | $1805182.95   | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3939 4.5% 09/20/46                         | GINNIE MAE II POOL P#MA3939 4.50000000                                                           | CUSIP: 36179SLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    616798 | PA      | $617637.97    | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA3940 5% 09/20/46                           | GINNIE MAE II POOL P#MA3940 5.00000000                                                           | CUSIP: 36179SLV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    637574 | PA      | $656014.39    | 0.00%             | 2046-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4069 3.5% 11/20/46                         | GINNIE MAE II POOL P#MA4069 3.50000000                                                           | CUSIP: 36179SQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    463824 | PA      | $431640.65    | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4070 4% 11/20/46                           | GINNIE MAE II POOL P#MA4070 4.00000000                                                           | CUSIP: 36179SQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    515259 | PA      | $497117.72    | 0.00%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4071 4.5% 11/20/46                         | GINNIE MAE II POOL P#MA4071 4.50000000                                                           | CUSIP: 36179SQY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    991731 | PA      | $988955.15    | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4125 2.5% 12/20/46                         | GINNIE MAE II POOL P#MA4125 2.50000000                                                           | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    772570 | PA      | $678998.12    | 0.00%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4127 3.5% 12/20/46                         | GINNIE MAE II POOL P#MA4127 3.50000000                                                           | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2088335 | PA      | $1939471.89   | 0.01%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4195 3% 01/20/47                           | GINNIE MAE II POOL P#MA4195 3.00000000                                                           | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    996038 | PA      | $907087.56    | 0.00%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4196 3.5% 01/20/47                         | GINNIE MAE II POOL P#MA4196 3.50000000                                                           | CUSIP: 36179SUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13169 | PA      | $12228.81     | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4261 3% 02/20/47                           | GINNIE MAE II POOL P#MA4261 3.00000000                                                           | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1492275 | PA      | $1359933.48   | 0.01%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4262 3.5% 02/20/47                         | GINNIE MAE II POOL P#MA4262 3.50000000                                                           | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2283878 | PA      | $2124429.66   | 0.01%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4263 4% 02/20/47                           | GINNIE MAE II POOL P#MA4263 4.00000000                                                           | CUSIP: 36179SWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    752486 | PA      | $724573.22    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4320 3% 03/20/47                           | GINNIE MAE II POOL P#MA4320 3.00000000                                                           | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158654 | PA      | $144484.99    | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4321 3.5% 03/20/47                         | GINNIE MAE II POOL P#MA4321 3.50000000                                                           | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137236 | PA      | $127626.42    | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4322 4% 03/20/47                           | GINNIE MAE II POOL P#MA4322 4.00000000                                                           | CUSIP: 36179SYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1520251 | PA      | $1465733.39   | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4323 4.5% 03/20/47                         | GINNIE MAE II POOL P#MA4323 4.50000000                                                           | CUSIP: 36179SYU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    172686 | PA      | $172016.14    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4511 4% 06/20/47                           | GINNIE MAE II POOL P#MA4511 4.00000000                                                           | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    971726 | PA      | $936551.38    | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4586 3.5% 07/20/47                         | GINNIE MAE II POOL P#MA4586 3.50000000                                                           | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1627588 | PA      | $1511765.92   | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4587 4% 06/20/47                           | GINNIE MAE II POOL P#MA4587 4.00000000                                                           | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2592965 | PA      | $2503574.32   | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4588 4.5% 07/20/47                         | GINNIE MAE II POOL P#MA4588 4.50000000                                                           | CUSIP: 36179TCZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1661606 | PA      | $1652851.83   | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4654 4.5% 08/20/47                         | GINNIE MAE II POOL P#MA4654 4.50000000                                                           | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    430246 | PA      | $427846.39    | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4652 3.5% 08/20/47                         | GINNIE MAE II POOL P#MA4652 3.50000000                                                           | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86441 | PA      | $80582.89     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4719 3.5% 09/20/47                         | GINNIE MAE II POOL P#MA4719 3.50000000                                                           | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2771442 | PA      | $2563792.46   | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4720 4% 09/20/47                           | GINNIE MAE II POOL P#MA4720 4.00000000                                                           | CUSIP: 36179TG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    748949 | PA      | $721432.64    | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4721 4.5% 09/20/47                         | GINNIE MAE II POOL P#MA4721 4.50000000                                                           | CUSIP: 36179TG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2241386 | PA      | $2233733.49   | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4781 5% 10/20/47                           | GINNIE MAE II POOL P#MA4781 5.00000000                                                           | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82367 | PA      | $83943.26     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4837 3.5% 11/20/47                         | GINNIE MAE II POOL P#MA4837 3.50000000                                                           | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3739655 | PA      | $3482238.47   | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4840 5% 11/20/47                           | GINNIE MAE II POOL P#MA4840 5.00000000                                                           | CUSIP: 36179TLV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    412311 | PA      | $421215.92    | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4900 3.5% 12/20/47                         | GINNIE MAE II POOL P#MA4900 3.50000000                                                           | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    695616 | PA      | $648191.26    | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4901 4% 12/20/47                           | GINNIE MAE II POOL P#MA4901 4.00000000                                                           | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    994767 | PA      | $957680.27    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4963 4% 01/20/48                           | GINNIE MAE II POOL P#MA4963 4.00000000                                                           | CUSIP: 36179TQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    916989 | PA      | $881176.75    | 0.00%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4964 4.5% 01/20/48                         | GINNIE MAE II POOL P#MA4964 4.50000000                                                           | CUSIP: 36179TQR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    313309 | PA      | $311512.38    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5020 4% 02/20/48                           | GINNIE MAE II POOL P#MA5020 4.00000000                                                           | CUSIP: 36179TSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101998 | PA      | $98175.64     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5021 4.5% 02/20/48                         | GINNIE MAE II POOL P#MA5021 4.50000000                                                           | CUSIP: 36179TSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1371970 | PA      | $1364103.71   | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5078 4% 03/20/48                           | GINNIE MAE II POOL P#MA5078 4.00000000                                                           | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1001168 | PA      | $963471.54    | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5079 4.5% 03/20/48                         | GINNIE MAE II POOL P#MA5079 4.50000000                                                           | CUSIP: 36179TUC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    156903 | PA      | $156003.12    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5136 3.5% 04/20/48                         | GINNIE MAE II POOL P#MA5136 3.50000000                                                           | CUSIP: 36179TV51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2584087 | PA      | $2397402.19   | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5138 4.5% 04/20/48                         | GINNIE MAE II POOL P#MA5138 4.50000000                                                           | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130327 | PA      | $129425.28    | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5264 4% 06/20/48                           | GINNIE MAE II POOL P#MA5264 4.00000000                                                           | CUSIP: 36179TZ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1634301 | PA      | $1570361.78   | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6218 3% 10/20/49                           | GINNIE MAE II POOL P#MA6218 3.00000000                                                           | CUSIP: 36179U4B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4277253 | PA      | $3865004.09   | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6283 3% 11/20/49                           | GINNIE MAE II POOL P#MA6283 3.00000000                                                           | CUSIP: 36179U6U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6341712 | PA      | $5724431.14   | 0.02%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5467 4.5% 09/20/48                         | GINNIE MAE II POOL P#MA5467 4.50000000                                                           | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    322814 | PA      | $320114.97    | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5651 4% 12/20/48                           | GINNIE MAE II POOL P#MA5651 4.00000000                                                           | CUSIP: 36179UH47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    645534 | PA      | $619678.70    | 0.00%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5763 4% 02/20/49                           | GINNIE MAE II POOL P#MA5763 4.00000000                                                           | CUSIP: 36179UML3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6834363 | PA      | $6554366.36   | 0.03%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5765 5% 02/20/49                           | GINNIE MAE II POOL P#MA5765 5.00000000                                                           | CUSIP: 36179UMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2110051 | PA      | $2141848.20   | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5816 3.5% 03/20/49                         | GINNIE MAE II POOL P#MA5816 3.50000000                                                           | CUSIP: 36179UN99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    619983 | PA      | $572133.02    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5875 3.5% 04/20/49                         | GINNIE MAE II POOL P#MA5875 3.50000000                                                           | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2311037 | PA      | $2131707.68   | 0.01%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA5985 3.5% 06/20/49                         | GINNIE MAE II POOL P#MA5985 3.50000000                                                           | CUSIP: 36179UUJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12428415 | PA      | $11481178.07  | 0.05%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6038 3% 07/20/49                           | GINNIE MAE II POOL P#MA6038 3.00000000                                                           | CUSIP: 36179UV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1568270 | PA      | $1416742.70   | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6039 3.5% 07/20/49                         | GINNIE MAE II POOL P#MA6039 3.50000000                                                           | CUSIP: 36179UV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1157288 | PA      | $1068606.14   | 0.00%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6090 3.5% 08/20/49                         | GINNIE MAE II POOL P#MA6090 3.50000000                                                           | CUSIP: 36179UXT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7102470 | PA      | $6541927.64   | 0.03%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6153 3% 09/20/49                           | GINNIE MAE II POOL P#MA6153 3.00000000                                                           | CUSIP: 36179UZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    228275 | PA      | $205987.09    | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7135 2% 01/20/51                           | GINNIE MAE II POOL P#MA7135 2.00000000                                                           | CUSIP: 36179V4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5905771 | PA      | $4892834.45   | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7136 2.5% 01/20/51                         | GINNIE MAE II POOL P#MA7136 2.50000000                                                           | CUSIP: 36179V4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1665903 | PA      | $1438769.15   | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7184 2% 02/20/51                           | GINNIE MAE II POOL P#MA7184 2.00000000                                                           | CUSIP: 36179V6V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1439697 | PA      | $1165851.36   | 0.00%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7193 2.5% 02/20/51                         | GINNIE MAE II POOL P#MA7193 2.50000000                                                           | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11013797 | PA      | $9508874.72   | 0.04%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7195 3.5% 02/20/51                         | GINNIE MAE II POOL P#MA7195 3.50000000                                                           | CUSIP: 36179V7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1545599 | PA      | $1425678.72   | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6338 3% 12/20/49                           | GINNIE MAE II POOL P#MA6338 3.00000000                                                           | CUSIP: 36179VBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5220042 | PA      | $4708503.87   | 0.02%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6409 3% 01/20/50                           | GINNIE MAE II POOL P#MA6409 3.00000000                                                           | CUSIP: 36179VDN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6658924 | PA      | $6002761.15   | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6411 4% 01/20/50                           | GINNIE MAE II POOL P#MA6411 4.00000000                                                           | CUSIP: 36179VDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1907991 | PA      | $1824723.71   | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6709 2.5% 06/20/50                         | GINNIE MAE II POOL P#MA6709 2.50000000                                                           | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1441261 | PA      | $1245698.75   | 0.00%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6865 2.5% 09/20/50                         | GINNIE MAE II POOL P#MA6865 2.50000000                                                           | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44402 | PA      | $38361.75     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6921 2% 10/20/50                           | GINNIE MAE II POOL P#MA6921 2.00000000                                                           | CUSIP: 36179VVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4575125 | PA      | $3686088.94   | 0.01%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6930 2% 10/20/50                           | GINNIE MAE II POOL P#MA6930 2.00000000                                                           | CUSIP: 36179VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16164500 | PA      | $13396494.90  | 0.05%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6931 2.5% 10/20/50                         | GINNIE MAE II POOL P#MA6931 2.50000000                                                           | CUSIP: 36179VVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202780 | PA      | $175413.92    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA6995 2.5% 11/20/50                         | GINNIE MAE II POOL P#MA6995 2.50000000                                                           | CUSIP: 36179VXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154825 | PA      | $133619.38    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7986 2% 04/20/52                           | GINNIE MAE II POOL P#MA7986 2.00000000                                                           | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2261448 | PA      | $1873478.70   | 0.01%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7989 3.5% 04/20/52                         | GINNIE MAE II POOL P#MA7989 3.50000000                                                           | CUSIP: 36179W2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12776835 | PA      | $11732879.28  | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7990 4% 04/20/52                           | GINNIE MAE II POOL P#MA7990 4.00000000                                                           | CUSIP: 36179W2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3311024 | PA      | $3154788.83   | 0.01%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8100 4% 06/20/52                           | GINNIE MAE II POOL P#MA8100 4.00000000                                                           | CUSIP: 36179W7M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8167550 | PA      | $7784668.29   | 0.03%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7254 2% 03/20/51                           | GINNIE MAE II POOL P#MA7254 2.00000000                                                           | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3607404 | PA      | $2988525.64   | 0.01%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7255 2.5% 03/20/51                         | GINNIE MAE II POOL P#MA7255 2.50000000                                                           | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12727489 | PA      | $10984478.24  | 0.04%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7312 2.5% 04/20/51                         | GINNIE MAE II POOL P#MA7312 2.50000000                                                           | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10397562 | PA      | $8973951.16   | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7367 2.5% 05/20/51                         | GINNIE MAE II POOL P#MA7367 2.50000000                                                           | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7800777 | PA      | $6732422.46   | 0.03%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7368 3% 05/20/51                           | GINNIE MAE II POOL P#MA7368 3.00000000                                                           | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5940339 | PA      | $5344515.60   | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7420 3.5% 06/20/51                         | GINNIE MAE II POOL P#MA7420 3.50000000                                                           | CUSIP: 36179WG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1352614 | PA      | $1250157.32   | 0.00%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7471 2% 07/20/51                           | GINNIE MAE II POOL P#MA7471 2.00000000                                                           | CUSIP: 36179WJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4259185 | PA      | $3528488.65   | 0.01%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7473 3% 07/20/51                           | GINNIE MAE II POOL P#MA7473 3.00000000                                                           | CUSIP: 36179WJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3053226 | PA      | $2746983.80   | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7533 2% 08/20/51                           | GINNIE MAE II POOL P#MA7533 2.00000000                                                           | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2765222 | PA      | $2290826.78   | 0.01%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7534 2.5% 08/20/51                         | GINNIE MAE II POOL P#MA7534 2.50000000                                                           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44695566 | PA      | $38573888.01  | 0.15%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7535 3% 08/20/51                           | GINNIE MAE II POOL P#MA7535 3.00000000                                                           | CUSIP: 36179WLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6343492 | PA      | $5707232.44   | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7589 2.5% 09/20/51                         | GINNIE MAE II POOL P#MA7589 2.50000000                                                           | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6632165 | PA      | $5723776.13   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7590 3% 09/20/51                           | GINNIE MAE II POOL P#MA7590 3.00000000                                                           | CUSIP: 36179WNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2893359 | PA      | $2603151.68   | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7648 2% 10/20/51                           | GINNIE MAE II POOL P#MA7648 2.00000000                                                           | CUSIP: 36179WP93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9365544 | PA      | $7758810.95   | 0.03%             | 2051-10-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7649 2.5% 10/20/51                         | GINNIE MAE II POOL P#MA7649 2.50000000                                                           | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5749789 | PA      | $4962250.54   | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7650 3% 10/20/51                           | GINNIE MAE II POOL P#MA7650 3.00000000                                                           | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5312511 | PA      | $4779659.86   | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7705 2.5% 11/20/51                         | GINNIE MAE II POOL P#MA7705 2.50000000                                                           | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16046913 | PA      | $13848969.36  | 0.06%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7704 2% 11/20/51                           | GINNIE MAE II POOL P#MA7704 2.00000000                                                           | CUSIP: 36179WRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12394714 | PA      | $10268302.97  | 0.04%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7766 2% 12/20/51                           | GINNIE MAE II POOL P#MA7766 2.00000000                                                           | CUSIP: 36179WTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5111994 | PA      | $4234991.45   | 0.02%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7767 2.5% 12/20/51                         | GINNIE MAE II POOL P#MA7767 2.50000000                                                           | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9803534 | PA      | $8460720.92   | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7826 2% 01/20/52                           | GINNIE MAE II POOL P#MA7826 2.00000000                                                           | CUSIP: 36179WVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14902280 | PA      | $12345676.41  | 0.05%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7827 2.5% 01/20/52                         | GINNIE MAE II POOL P#MA7827 2.50000000                                                           | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6068864 | PA      | $5237613.04   | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7883 3.5% 02/20/52                         | GINNIE MAE II POOL P#MA7883 3.50000000                                                           | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10896367 | PA      | $9998757.71   | 0.04%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7936 2.5% 03/20/52                         | GINNIE MAE II POOL P#MA7936 2.50000000                                                           | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21053627 | PA      | $18169867.55  | 0.07%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8877 4.5% 05/20/53                         | GINNIE MAE II POOL P#MA8877 4.50000000                                                           | CUSIP: 36179X2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5550173 | PA      | $5436060.14   | 0.02%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8879 5.5% 05/20/53                         | GINNIE MAE II POOL P#MA8879 5.50000000                                                           | CUSIP: 36179X2L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7611005 | PA      | $7739528.70   | 0.03%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8148 3% 07/20/52                           | GINNIE MAE II POOL P#MA8148 3.00000000                                                           | CUSIP: 36179XBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32889700 | PA      | $29590823.53  | 0.12%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8149 3.5% 07/20/52                         | GINNIE MAE II POOL P#MA8149 3.50000000                                                           | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10166879 | PA      | $9348736.83   | 0.04%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8200 4% 08/20/52                           | GINNIE MAE II POOL P#MA8200 4.00000000                                                           | CUSIP: 36179XDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24958615 | PA      | $23742249.36  | 0.09%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8346 4% 10/20/52                           | GINNIE MAE II POOL P#MA8346 4.00000000                                                           | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32078709 | PA      | $30515333.68  | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8347 4.5% 10/20/52                         | GINNIE MAE II POOL P#MA8347 4.50000000                                                           | CUSIP: 36179XHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18606243 | PA      | $18257899.41  | 0.07%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8348 5% 10/20/52                           | GINNIE MAE II POOL P#MA8348 5.00000000                                                           | CUSIP: 36179XHZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    942174 | PA      | $944289.24    | 0.00%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8426 4% 11/20/52                           | GINNIE MAE II POOL P#MA8426 4.00000000                                                           | CUSIP: 36179XLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3590517 | PA      | $3415533.65   | 0.01%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8428 5% 11/20/52                           | GINNIE MAE II POOL P#MA8428 5.00000000                                                           | CUSIP: 36179XLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1797625 | PA      | $1800553.35   | 0.01%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8485 2.5% 12/20/52                         | GINNIE MAE II POOL P#MA8485 2.50000000                                                           | CUSIP: 36179XNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9085471 | PA      | $7849462.84   | 0.03%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8490 5% 12/20/52                           | GINNIE MAE II POOL P#MA8490 5.00000000                                                           | CUSIP: 36179XNF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1410280 | PA      | $1412940.14   | 0.01%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8568 4.5% 01/20/53                         | GINNIE MAE II POOL P#MA8568 4.50000000                                                           | CUSIP: 36179XQV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10086827 | PA      | $9888074.66   | 0.04%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8571 6% 01/20/53                           | GINNIE MAE II POOL P#MA8571 6.00000000                                                           | CUSIP: 36179XQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1625145 | PA      | $1668888.21   | 0.01%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8642 2.5% 02/20/53                         | GINNIE MAE II POOL P#MA8642 2.50000000                                                           | CUSIP: 36179XS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2601304 | PA      | $2250655.50   | 0.01%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8725 5% 03/20/53                           | GINNIE MAE II POOL P#MA8725 5.00000000                                                           | CUSIP: 36179XVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10599915 | PA      | $10606189.07  | 0.04%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8800 5% 04/20/53                           | GINNIE MAE II POOL P#MA8800 5.00000000                                                           | CUSIP: 36179XX50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2268127 | PA      | $2271639.91   | 0.01%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9782 7% 07/20/54                           | GINNIE MAE II POOL P#MA9782 7.00000000                                                           | CUSIP: 36179Y2P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13342690 | PA      | $13783528.88  | 0.05%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9851 5.5% 08/20/54                         | GINNIE MAE II POOL P#MA9851 5.50000000                                                           | CUSIP: 36179Y5L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18139798 | PA      | $18350646.15  | 0.07%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9852 6% 08/20/54                           | GINNIE MAE II POOL P#MA9852 6.00000000                                                           | CUSIP: 36179Y5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7707935 | PA      | $7867363.50   | 0.03%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9854 7% 08/20/54                           | GINNIE MAE II POOL P#MA9854 7.00000000                                                           | CUSIP: 36179Y5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4248940 | PA      | $4421645.95   | 0.02%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9100 2.5% 08/20/53                         | GINNIE MAE II POOL P#MA9100 2.50000000                                                           | CUSIP: 36179YDD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15645713 | PA      | $13536042.22  | 0.05%             | 2053-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9417 2.5% 12/20/53                         | GINNIE MAE II POOL P#MA9417 2.50000000                                                           | CUSIP: 36179YPA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9226343 | PA      | $7971715.44   | 0.03%             | 2053-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9482 2.5% 02/20/54                         | GINNIE MAE II POOL P#MA9482 2.50000000                                                           | CUSIP: 36179YRB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7240335 | PA      | $6261750.74   | 0.02%             | 2054-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9599 2.5% 04/20/54                         | GINNIE MAE II POOL P#MA9599 2.50000000                                                           | CUSIP: 36179YUY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4126603 | PA      | $3565440.28   | 0.01%             | 2054-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9662 2.5% 05/20/54                         | GINNIE MAE II POOL P#MA9662 2.50000000                                                           | CUSIP: 36179YWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11934463 | PA      | $10311505.06  | 0.04%             | 2054-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9726 6% 06/20/54                           | GINNIE MAE II POOL P#MA9726 6.00000000                                                           | CUSIP: 36179YYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8720484 | PA      | $8900853.96   | 0.04%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BA7567 4.5% 05/20/48                         | GINNIE MAE II POOL P#BA7567 4.50000000                                                           | CUSIP: 3617ALMQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1566021 | PA      | $1522323.09   | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BB8815 4.5% 04/20/48                         | GINNIE MAE II POOL P#BB8815 4.50000000                                                           | CUSIP: 3617B0YL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    635506 | PA      | $622491.35    | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BB8816 4.5% 04/20/48                         | GINNIE MAE II POOL P#BB8816 4.50000000                                                           | CUSIP: 3617B0YM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    916336 | PA      | $902590.85    | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD0539 5% 07/20/48                           | GINNIE MAE II POOL P#BD0539 5.00000000                                                           | CUSIP: 3617BFS45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    924840 | PA      | $925487.10    | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD0531 5% 06/20/48                           | GINNIE MAE II POOL P#BD0531 5.00000000                                                           | CUSIP: 3617BFSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    613324 | PA      | $620635.76    | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BD6217 4.5% 05/20/48                         | GINNIE MAE II POOL P#BD6217 4.50000000                                                           | CUSIP: 3617BM4A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    667341 | PA      | $651353.55    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CN6123 V/R 04/20/72                          | GINNIE MAE II POOL P#CN6123 V/R 5.34100000                                                       | CUSIP: 3617F5YU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9301143 | PA      | $9728506.88   | 0.04%             | 2072-04-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CO5547 V/R 05/20/72                          | GINNIE MAE II POOL P#CO5547 V/R 5.24600000                                                       | CUSIP: 3617FHEU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10485666 | PA      | $10972046.95  | 0.04%             | 2072-05-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CP1819 V/R 07/20/72                          | GINNIE MAE II POOL P#CP1819 V/R 5.42400000                                                       | CUSIP: 3617FRAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10724274 | PA      | $11317722.52  | 0.05%             | 2072-07-20      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BF2972 5% 07/20/48                           | GINNIE MAE II POOL P#BF2972 5.00000000                                                           | CUSIP: 3617G9JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215632 | PA      | $220453.42    | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BG7411 4.5% 05/20/48                         | GINNIE MAE II POOL P#BG7411 4.50000000                                                           | CUSIP: 3617GSGU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2076464 | PA      | $2039545.89   | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BG7416 4.5% 04/20/48                         | GINNIE MAE II POOL P#BG7416 4.50000000                                                           | CUSIP: 3617GSGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    991560 | PA      | $973931.27    | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BM2157 5% 07/20/49                           | GINNIE MAE II POOL P#BM2157 5.00000000                                                           | CUSIP: 3617JSME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    264066 | PA      | $272144.12    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BP4243 5% 08/20/49                           | GINNIE MAE II POOL P#BP4243 5.00000000                                                           | CUSIP: 3617LAWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4490548 | PA      | $4593266.63   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BQ4139 3.5% 11/20/49                         | GINNIE MAE II POOL P#BQ4139 3.50000000                                                           | CUSIP: 3617LNS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2532790 | PA      | $2243712.62   | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BR3916 3% 09/20/50                           | GINNIE MAE II POOL P#BR3916 3.00000000                                                           | CUSIP: 3617M2K57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5863556 | PA      | $5270882.59   | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BU7638 2.5% 09/20/50                         | GINNIE MAE II POOL P#BU7638 2.50000000                                                           | CUSIP: 3617N9PX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3880943 | PA      | $3387723.07   | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BV2402 3.5% 08/20/50                         | GINNIE MAE II POOL P#BV2402 3.50000000                                                           | CUSIP: 3617NFU31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5859617 | PA      | $5335878.30   | 0.02%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BV7952 V/R 06/20/70                          | GINNIE MAE II POOL P#BV7952 V/R 3.02900000                                                       | CUSIP: 3617NMZR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4402179 | PA      | $4039655.23   | 0.02%             | 2070-06-20      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BX4943 2.5% 09/20/50                         | GINNIE MAE II POOL P#BX4943 2.50000000                                                           | CUSIP: 3617Q9P46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2354475 | PA      | $2024065.99   | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BX4955 3% 09/20/50                           | GINNIE MAE II POOL P#BX4955 3.00000000                                                           | CUSIP: 3617Q9QG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150494 | PA      | $1933167.95   | 0.01%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CA0265 V/R 12/20/70                          | GINNIE MAE II POOL P#CA0265 V/R 2.98800000                                                       | CUSIP: 3617U7JJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3307920 | PA      | $3014674.10   | 0.01%             | 2070-12-20      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5521 V/R 08/20/71                          | GINNIE MAE II POOL P#CE5521 V/R 5.27800000                                                       | CUSIP: 3617VUD20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9690318 | PA      | $10132358.47  | 0.04%             | 2071-08-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5524 V/R 08/20/71                          | GINNIE MAE II POOL P#CE5524 V/R 5.40000000                                                       | CUSIP: 3617VUD53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9500718 | PA      | $9967695.70   | 0.04%             | 2071-08-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5553 V/R 11/20/71                          | GINNIE MAE II POOL P#CE5553 V/R 5.35600000                                                       | CUSIP: 3617VUE29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10499274 | PA      | $10997846.91  | 0.04%             | 2071-11-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5557 V/R 11/20/71                          | GINNIE MAE II POOL P#CE5557 V/R 5.33600000                                                       | CUSIP: 3617VUE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11981555 | PA      | $12546905.75  | 0.05%             | 2071-11-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5539 V/R 09/20/71                          | GINNIE MAE II POOL P#CE5539 V/R 5.32900000                                                       | CUSIP: 3617VUEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10035825 | PA      | $10520879.02  | 0.04%             | 2071-09-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5546 V/R 10/20/71                          | GINNIE MAE II POOL P#CE5546 V/R 5.31000000                                                       | CUSIP: 3617VUET0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10923092 | PA      | $11415717.57  | 0.05%             | 2071-10-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE5550 V/R 10/20/71                          | GINNIE MAE II POOL P#CE5550 V/R 5.30500000                                                       | CUSIP: 3617VUEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10893136 | PA      | $11395345.40  | 0.05%             | 2071-10-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CE9384 V/R 11/20/71                          | GINNIE MAE II POOL P#CE9384 V/R 5.25900000                                                       | CUSIP: 3617VYM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3810655 | PA      | $3978557.33   | 0.02%             | 2071-11-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ3811 3% 12/20/51                           | GINNIE MAE II POOL P#CJ3811 3.00000000                                                           | CUSIP: 3617XLGU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4824453 | PA      | $4453257.67   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ7141 V/R 11/20/71                          | GINNIE MAE II POOL P#CJ7141 V/R 5.17900000                                                       | CUSIP: 3617XP5A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4234258 | PA      | $4401939.83   | 0.02%             | 2071-11-20      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CJ6767 V/R 11/20/71                          | GINNIE MAE II POOL P#CJ6767 V/R 5.06200000                                                       | CUSIP: 3617XPQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3338836 | PA      | $3462807.73   | 0.01%             | 2071-11-20      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK0513 4% 12/20/51                           | GINNIE MAE II POOL P#CK0513 4.00000000                                                           | CUSIP: 3617XUSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9701556 | PA      | $9050380.08   | 0.04%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK0514 4% 12/20/51                           | GINNIE MAE II POOL P#CK0514 4.00000000                                                           | CUSIP: 3617XUSB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3681964 | PA      | $3434823.77   | 0.01%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2715 3.5% 02/20/52                         | GINNIE MAE II POOL P#CK2715 3.50000000                                                           | CUSIP: 3617XXAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4655594 | PA      | $4183088.06   | 0.02%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2767 V/R 12/20/71                          | GINNIE MAE II POOL P#CK2767 V/R 5.35500000                                                       | CUSIP: 3617XXCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10218999 | PA      | $10710785.50  | 0.04%             | 2071-12-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2799 V/R 03/20/72                          | GINNIE MAE II POOL P#CK2799 V/R 5.28800000                                                       | CUSIP: 3617XXDC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10674785 | PA      | $11182022.16  | 0.04%             | 2072-03-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2805 V/R 04/20/72                          | GINNIE MAE II POOL P#CK2805 V/R 5.22400000                                                       | CUSIP: 3617XXDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13638092 | PA      | $14260942.10  | 0.06%             | 2072-04-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CK2806 V/R 04/20/72                          | GINNIE MAE II POOL P#CK2806 V/R 5.26300000                                                       | CUSIP: 3617XXDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10093265 | PA      | $10555458.31  | 0.04%             | 2072-04-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CL1819 3.5% 02/20/52                         | GINNIE MAE II POOL P#CL1819 3.50000000                                                           | CUSIP: 3617Y9AU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1568996 | PA      | $1436560.62   | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CL1820 3.5% 02/20/52                         | GINNIE MAE II POOL P#CL1820 3.50000000                                                           | CUSIP: 3617Y9AV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2483095 | PA      | $2271587.68   | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CL7224 5% 09/20/49                           | GINNIE MAE II POOL P#CL7224 5.00000000                                                           | CUSIP: 3617YFAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2238564 | PA      | $2238764.72   | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM1196 5% 05/20/52                           | GINNIE MAE II POOL P#CM1196 5.00000000                                                           | CUSIP: 3617YLKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2773490 | PA      | $2748521.98   | 0.01%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM2992 V/R 04/20/72                          | GINNIE MAE II POOL P#CM2992 V/R 5.45700000                                                       | CUSIP: 3617YNKD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3233194 | PA      | $3402121.27   | 0.01%             | 2072-04-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM9938 V/R 04/20/72                          | GINNIE MAE II POOL P#CM9938 V/R 3.39800000                                                       | CUSIP: 3617YWBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2689558 | PA      | $2476706.00   | 0.01%             | 2072-04-20      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CM9948 V/R 03/20/72                          | GINNIE MAE II POOL P#CM9948 V/R 5.57200000                                                       | CUSIP: 3617YWBR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9494471 | PA      | $10009918.40  | 0.04%             | 2072-03-20      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9964 5% 10/20/54                           | GINNIE MAE II POOL P#MA9964 5.00000000                                                           | CUSIP: 36180AB93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  56992498 | PA      | $56927220.06  | 0.23%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#AD9020 3.5% 04/15/43                            | GINNIE MAE I POOL P#AD9020 3.50000000                                                            | CUSIP: 36180NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1178033 | PA      | $1099387.43   | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#AE6292 3.5% 06/15/43                            | GINNIE MAE I POOL P#AE6292 3.50000000                                                            | CUSIP: 36180Y7D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    637204 | PA      | $594648.91    | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#AE9881 3% 05/15/43                              | GINNIE MAE I POOL P#AE9881 3.00000000                                                            | CUSIP: 36181D6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176256 | PA      | $161960.83    | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMACM 2005-AR3 3 V/R 06/19/35                          | GMACM MORTGAGE LOAN TRUST 2005-AR3 SER 2005-AR3 CL 3A4 V/R REGD 4.37943300                       | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17503 | PA      | $17162.50     | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GFORT 2024-1A  5.13% 03/15/27                          | GMF FLOORPLAN OWNER REVOLVING TRUST SER 2024-1A CL A1 REGD 144A P/P 5.13000000                   | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17525000 | PA      | $17787286.16  | 0.07%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GFORT 2024-4A  4.73% 11/15/27                          | GMF FLOORPLAN OWNER REVOLVING TRUST SER 2024-4A CL A1 REGD 144A P/P 4.73000000                   | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5493000 | PA      | $5568331.55   | 0.02%             | 2029-11-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0091 5% 12/20/54                           | GINNIE MAE II POOL P#MB0091 5.00000000                                                           | CUSIP: 3618N5C56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2654122 | PA      | $2650945.75   | 0.01%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0092 5.5% 12/20/54                         | GINNIE MAE II POOL P#MB0092 5.50000000                                                           | CUSIP: 3618N5C64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21063782 | PA      | $21308619.77  | 0.08%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0142 3% 01/20/55                           | GINNIE MAE II POOL P#MB0142 3.00000000                                                           | CUSIP: 3618N5EQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2729222 | PA      | $2455477.82   | 0.01%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0150 7% 01/20/55                           | GINNIE MAE II POOL P#MB0150 7.00000000                                                           | CUSIP: 3618N5EY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6950969 | PA      | $7163157.62   | 0.03%             | 2055-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0208 7% 02/20/55                           | GINNIE MAE II POOL P#MB0208 7.00000000                                                           | CUSIP: 3618N5GS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    569722 | PA      | $587113.49    | 0.00%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AU0744 3.5% 06/20/46                         | GINNIE MAE II POOL P#AU0744 3.50000000                                                           | CUSIP: 36194MZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1260129 | PA      | $1155293.85   | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA I P#AY2393 4.25% 12/20/47                         | GINNIE MAE II POOL P#AY2393 4.25000000                                                           | CUSIP: 36196RUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    784006 | PA      | $754433.32    | 0.00%             | 2047-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA P#604209 6.5% 04/15/33                            | GINNIE MAE I POOL P#604209 6.50000000                                                            | CUSIP: 36200MGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3825 | PA      | $3927.79      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#569568 6.5% 01/15/32                            | GINNIE MAE I POOL P#569568 6.50000000                                                            | CUSIP: 36200QW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15774 | PA      | $16319.42     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#574710 5.5% 09/15/34                            | GINNIE MAE I POOL P#574710 5.50000000                                                            | CUSIP: 36200WN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1368 | PA      | $1412.93      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#591882 6.5% 07/15/32                            | GINNIE MAE I POOL P#591882 6.50000000                                                            | CUSIP: 36201SRB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1251 | PA      | $1269.51      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2646 7.5% 09/20/28                           | GINNIE MAE II POOL P#2646 7.50000000                                                             | CUSIP: 36202C5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       508 | PA      | $518.34       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2234 8% 06/20/26                             | GINNIE MAE II POOL P#2234 8.00000000                                                             | CUSIP: 36202CPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $24.57        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2270 8% 08/20/26                             | GINNIE MAE II POOL P#2270 8.00000000                                                             | CUSIP: 36202CQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $19.35        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2285 8% 09/20/26                             | GINNIE MAE II POOL P#2285 8.00000000                                                             | CUSIP: 36202CRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.24        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2324 8% 11/20/26                             | GINNIE MAE II POOL P#2324 8.00000000                                                             | CUSIP: 36202CSM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $13.23        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2499 8% 10/20/27                             | GINNIE MAE II POOL P#2499 8.00000000                                                             | CUSIP: 36202CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203 | PA      | $205.33       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2512 8% 11/20/27                             | GINNIE MAE II POOL P#2512 8.00000000                                                             | CUSIP: 36202CYH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169 | PA      | $171.09       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2525 8% 12/20/27                             | GINNIE MAE II POOL P#2525 8.00000000                                                             | CUSIP: 36202CYW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $149.35       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2562 6% 03/20/28                             | GINNIE MAE II POOL P#2562 6.00000000                                                             | CUSIP: 36202CZ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       486 | PA      | $495.39       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2549 7.5% 02/20/28                           | GINNIE MAE II POOL P#2549 7.50000000                                                             | CUSIP: 36202CZN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $99.20        | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#3474 6% 11/20/33                             | GINNIE MAE II POOL P#3474 6.00000000                                                             | CUSIP: 36202D2F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1337 | PA      | $1395.09      | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#2781 6.5% 07/20/29                           | GINNIE MAE II POOL P#2781 6.50000000                                                             | CUSIP: 36202DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12880 | PA      | $13315.14     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4037 5% 10/20/37                             | GINNIE MAE II POOL P#4037 5.00000000                                                             | CUSIP: 36202EPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125447 | PA      | $128975.34    | 0.00%             | 2037-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4224 7% 08/20/38                             | GINNIE MAE II POOL P#4224 7.00000000                                                             | CUSIP: 36202EVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5678 | PA      | $5979.22      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4245 6% 09/20/38                             | GINNIE MAE II POOL P#4245 6.00000000                                                             | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142284 | PA      | $151979.78    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4285 6% 11/20/38                             | GINNIE MAE II POOL P#4285 6.00000000                                                             | CUSIP: 36202EXN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1162 | PA      | $1169.94      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4713 4.5% 06/20/40                           | GINNIE MAE II POOL P#4713 4.50000000                                                             | CUSIP: 36202FGW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    213576 | PA      | $215118.23    | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4747 5% 07/20/40                             | GINNIE MAE II POOL P#4747 5.00000000                                                             | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55609 | PA      | $57217.85     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4833 4% 10/20/40                             | GINNIE MAE II POOL P#4833 4.00000000                                                             | CUSIP: 36202FLN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    611552 | PA      | $594978.16    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4923 4.5% 01/20/41                           | GINNIE MAE II POOL P#4923 4.50000000                                                             | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189691 | PA      | $191021.96    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4978 4.5% 03/20/41                           | GINNIE MAE II POOL P#4978 4.50000000                                                             | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    167462 | PA      | $168628.24    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5055 4.5% 05/20/41                           | GINNIE MAE II POOL P#5055 4.50000000                                                             | CUSIP: 36202FTL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83332 | PA      | $83907.75     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5082 4.5% 06/20/41                           | GINNIE MAE II POOL P#5082 4.50000000                                                             | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    604426 | PA      | $605172.04    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5175 4.5% 09/20/41                           | GINNIE MAE II POOL P#5175 4.50000000                                                             | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    204903 | PA      | $206267.18    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#607645 6.5% 02/15/33                            | GINNIE MAE I POOL P#607645 6.50000000                                                            | CUSIP: 36202SBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4679 | PA      | $4832.12      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#607724 7% 02/15/33                              | GINNIE MAE I POOL P#607724 7.00000000                                                            | CUSIP: 36202SD54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3342 | PA      | $3447.61      | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#411829 7.5% 07/15/27                            | GINNIE MAE I POOL P#411829 7.50000000                                                            | CUSIP: 36206HPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $211.25       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#468236 6.5% 09/15/28                            | GINNIE MAE I POOL P#468236 6.50000000                                                            | CUSIP: 36209DEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1727 | PA      | $1756.51      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#717183 4% 06/15/39                              | GINNIE MAE I POOL P#717183 4.00000000                                                            | CUSIP: 3620A2XL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    135914 | PA      | $131040.53    | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#736520 4.5% 04/15/40                            | GINNIE MAE I POOL P#736520 4.50000000                                                            | CUSIP: 3620AQG56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    507636 | PA      | $507549.18    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#486537 7.5% 09/15/28                            | GINNIE MAE I POOL P#486537 7.50000000                                                            | CUSIP: 36210APW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       407 | PA      | $414.38       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#486631 6.5% 10/15/28                            | GINNIE MAE I POOL P#486631 6.50000000                                                            | CUSIP: 36210ASU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $125.09       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#554108 6.5% 03/15/28                            | GINNIE MAE I POOL P#554108 6.50000000                                                            | CUSIP: 36213GR52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1403 | PA      | $1430.94      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#781689 5.5% 12/15/33                            | GINNIE MAE I POOL P#781689 5.50000000                                                            | CUSIP: 36225B2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3409 | PA      | $3498.06      | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#781328 7% 09/15/31                              | GINNIE MAE I POOL P#781328 7.00000000                                                            | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16215 | PA      | $16952.26     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#781614 7% 06/15/33                              | GINNIE MAE I POOL P#781614 7.00000000                                                            | CUSIP: 36225BYK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5573 | PA      | $5870.39      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR 2004-6F 2A4 5.5% 05/25/34                          | GSR MORTGAGE LOAN TRUST 2004-6F SER 2004-6F CL 2A4 REGD 5.50000000                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16806 | PA      | $16708.63     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR 2004-6F 3A4 6.5% 05/25/34                          | GSR MORTGAGE LOAN TRUST 2004-6F SER 2004-6F CL 3A4 REGD 6.50000000                               | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14856 | PA      | $15253.32     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR 2003-3F 4A 5.75% 04/25/33                          | GSR MORTGAGE LOAN TRUST 2003-3F SER 2003-3F CL 4A3 REGD 5.75000000                               | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2604 | PA      | $2612.85      | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783637 3% 06/20/42                           | GINNIE MAE II POOL P#783637 3.00000000                                                           | CUSIP: 3622A2BE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106550 | PA      | $98799.97     | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784114 3.5% 02/20/46                         | GINNIE MAE II POOL P#784114 3.50000000                                                           | CUSIP: 3622A2SB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3876231 | PA      | $3611307.16   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784119 3% 02/20/46                           | GINNIE MAE II POOL P#784119 3.00000000                                                           | CUSIP: 3622A2SG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    251449 | PA      | $229507.18    | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785445 2.5% 03/20/51                         | GINNIE MAE II POOL P#785445 2.50000000                                                           | CUSIP: 3622AA5E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18085594 | PA      | $15384995.25  | 0.06%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785447 2.5% 03/20/51                         | GINNIE MAE II POOL P#785447 2.50000000                                                           | CUSIP: 3622AA5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10060305 | PA      | $8632711.49   | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#784847 4.5% 11/20/49                         | GINNIE MAE II POOL P#784847 4.50000000                                                           | CUSIP: 3622AAHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4231074 | PA      | $4123194.51   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785021 4% 05/20/47                           | GINNIE MAE II POOL P#785021 4.00000000                                                           | CUSIP: 3622AAPE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119451 | PA      | $114933.42    | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785158 V/R 09/20/70                          | GINNIE MAE II POOL P#785158 V/R 3.06600000                                                       | CUSIP: 3622AATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3745256 | PA      | $3439955.75   | 0.01%             | 2070-09-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785183 V/R 10/20/70                          | GINNIE MAE II POOL P#785183 V/R 2.93800000                                                       | CUSIP: 3622AAUG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6028169 | PA      | $5503281.03   | 0.02%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785294 3.5% 01/20/51                         | GINNIE MAE II POOL P#785294 3.50000000                                                           | CUSIP: 3622AAXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6548536 | PA      | $5882659.74   | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785531 2.5% 06/20/51                         | GINNIE MAE II POOL P#785531 2.50000000                                                           | CUSIP: 3622ABA85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11571904 | PA      | $9940491.64   | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#785863 V/R 12/20/71                          | GINNIE MAE II POOL P#785863 V/R 3.09800000                                                       | CUSIP: 3622ABML3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9334740 | PA      | $8508329.65   | 0.03%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA II P#786812 5.5% 07/20/53                         | GINNIE MAE II POOL P#786812 5.50000000                                                           | CUSIP: 3622ACN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1302950 | PA      | $1335321.75   | 0.01%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#786904 6% 08/20/53                           | GINNIE MAE II POOL P#786904 6.00000000                                                           | CUSIP: 3622ACRZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8330039 | PA      | $8592922.16   | 0.03%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#787026 6% 10/20/53                           | GINNIE MAE II POOL P#787026 6.00000000                                                           | CUSIP: 3622ACVT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10532131 | PA      | $10861662.30  | 0.04%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#787312 2.5% 03/20/52                         | GINNIE MAE II POOL P#787312 2.50000000                                                           | CUSIP: 3622ADAM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9297474 | PA      | $8024152.94   | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#787313 2.5% 09/20/51                         | GINNIE MAE II POOL P#787313 2.50000000                                                           | CUSIP: 3622ADAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5907168 | PA      | $5065333.88   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#787387 5.5% 04/20/54                         | GINNIE MAE II POOL P#787387 5.50000000                                                           | CUSIP: 3622ADCY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7804229 | PA      | $7935736.50   | 0.03%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#787496 6% 07/20/64                           | GINNIE MAE II POOL P#787496 6.00000000                                                           | CUSIP: 3622ADGD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3941182 | PA      | $4009455.17   | 0.02%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#788066 4% 07/20/65                           | GINNIE MAE II POOL P#788066 4.00000000                                                           | CUSIP: 3622ADZ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18710066 | PA      | $17843647.85  | 0.07%             | 2065-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#751247 4% 10/15/40                              | GINNIE MAE I POOL P#751247 4.00000000                                                            | CUSIP: 36230KL41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70559 | PA      | $68466.54     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#758871 3.5% 03/15/43                            | GINNIE MAE I POOL P#758871 3.50000000                                                            | CUSIP: 36230T2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602117 | PA      | $561915.59    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#758916 3.5% 07/15/43                            | GINNIE MAE I POOL P#758916 3.50000000                                                            | CUSIP: 36230T3Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    276584 | PA      | $258110.71    | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR 2006-1F 1A3 5.5% 02/25/36                          | GSR MORTGAGE LOAN TRUST 2006-1F SER 2006-1F CL 1A3 REGD 5.50000000                               | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1993 | PA      | $18018.84     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR 2006-1F 2A4 6% 02/25/36                            | GSR MORTGAGE LOAN TRUST 2006-1F SER 2006-1F CL 2A4 REGD 6.00000000                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    160365 | PA      | $64868.07     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP3 1 V/R 09/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP3 SER 2005-RP3 CL 1AF V/R REGD 144A P/P 4.19621000              | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    326125 | PA      | $280331.50    | 0.00%             | 2035-09-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP3 1 V/R 09/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP3 SER 2005-RP3 CL 1AS V/R REGD 144A P/P 0.14210700              | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240441 | PA      | $4592.39      | 0.00%             | 2035-09-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| GSR 2005-7F 3A9 6% 09/25/35                            | GSR MORTGAGE LOAN TRUST 2005-7F SER 2005-7F CL 3A9 REGD 6.00000000                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35583 | PA      | $35639.86     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR 2005-AR6 3A1 V/R 09/25/35                          | GSR MORTGAGE LOAN TRUST 2005-AR6 SER 2005-AR6 CL 3A1 V/R REGD 4.59934000                         | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2064 | PA      | $1882.32      | 0.00%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA P#782615 7% 06/15/35                              | GINNIE MAE I POOL P#782615 7.00000000                                                            | CUSIP: 36241K3Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34396 | PA      | $36354.29     | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#782025 6.5% 12/15/35                            | GINNIE MAE I POOL P#782025 6.50000000                                                            | CUSIP: 36241KHA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14437 | PA      | $14934.57     | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#782212 7.5% 10/15/37                            | GINNIE MAE I POOL P#782212 7.50000000                                                            | CUSIP: 36241KN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10382 | PA      | $10893.71     | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#783123 5.5% 04/15/33                            | GINNIE MAE I POOL P#783123 5.50000000                                                            | CUSIP: 36241LPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100529 | PA      | $103927.19    | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783389 6% 08/20/39                           | GINNIE MAE II POOL P#783389 6.00000000                                                           | CUSIP: 36241LXS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55059 | PA      | $57491.07     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#783444 5.5% 09/20/39                         | GINNIE MAE II POOL P#783444 5.50000000                                                           | CUSIP: 36241LZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35054 | PA      | $36059.90     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR 2005-5F 8A3 V/R 06/25/35                           | GSR MORTGAGE LOAN TRUST 2005-5F SER 2005-5F CL 8A3 V/R REGD 4.34621000                           | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6810 | PA      | $6574.29      | 0.00%             | 2035-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GSMPS 2004-4 1AF V/R 06/25/34                          | GSMPS MORTGAGE LOAN TRUST 2004-4 SER 2004-4 CL 1AF V/R REGD 144A P/P 4.24621000                  | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26008 | PA      | $23455.44     | 0.00%             | 2034-06-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSR 2004-13F 3A3 6% 11/25/34                           | GSR MORTGAGE LOAN TRUST 2004-13F SER 2004-13F CL 3A3 REGD 6.00000000                             | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9346 | PA      | $9416.53      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS 2005-RP2 1 V/R 03/25/35                          | GSMPS MORTGAGE LOAN TRUST 2005-RP2 SER 2005-RP2 CL 1AF V/R REGD 144A P/P 4.19621000              | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45688 | PA      | $42639.85     | 0.00%             | 2035-03-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSMS 2018-GS10 A V/R 03/10/25                          | GS MORTGAGE SECURITIES TRUST 2018-GS10 SER 2018-GS10 CL A3 V/R REGD 4.26100000                   | CUSIP: 36250SAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28521000 | PA      | $28297891.63  | 0.11%             | 2051-07-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GSMS 2016-GS4 3.178% 09/10/26                          | GS MORTGAGE SECURITIES TRUST 2016-GS4 SER 2016-GS4 CL A3 REGD 3.17800000                         | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9085958 | PA      | $9028698.78   | 0.04%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GSMS 2019-GC3 3.567% 04/10/29                          | GS MORTGAGE SECURITIES TRUST 2019-GC39 SER 2019-GC39 CL A4 REGD 3.56700000                       | CUSIP: 36260JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1153913 | PA      | $1108427.37   | 0.00%             | 2052-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-2A D 1.42% 06/15/25                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 SER 2021-2A CL D REGD 144A P/P 1.42000000               | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50179 | PA      | $50122.52     | 0.00%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| GCAR 2021-4A D 2.48% 02/15/26                          | GLS AUTO RECEIVABLES ISSUER TRUST 2021-4 SER 2021-4A CL D REGD 144A P/P 2.48000000               | CUSIP: 36263DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2897371 | PA      | $2880365.43   | 0.01%             | 2027-10-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| GMREV 2021-1 B 1.49% 09/11/26                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 SER 2021-1 CL B REGD 144A P/P 1.49000000         | CUSIP: 36263HAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $490471.85    | 0.00%             | 2034-06-12      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| GCAR 2023-3A C 6.01% 05/15/29                          | GLS AUTO RECEIVABLES ISSUER TRUST 2023-3 SER 2023-3A CL C REGD 144A P/P 6.01000000               | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4738000 | PA      | $4779450.39   | 0.02%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GMREV 2023-2 A 5.77% 11/13/28                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2 SER 2023-2 CL A REGD 144A P/P 5.77000000         | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20576000 | PA      | $21594542.86  | 0.09%             | 2036-08-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| GMREV 2024-1 A 4.98% 03/11/29                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 SER 2024-1 CL A REGD 144A P/P 4.98000000         | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8200000 | PA      | $8432650.40   | 0.03%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GSMBS 2024-RPL2  V/R 02/25/26                          | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2 SER 2024-RPL2 CL A1 V/R REGD 144A P/P 3.75000000   | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1879254 | PA      | $1844582.76   | 0.01%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GMREV 2025-1 A 4.64% 03/11/30                          | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 SER 2025-1 CL A REGD 144A P/P 4.64000000         | CUSIP: 36271NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  33562000 | PA      | $34222449.82  | 0.14%             | 2037-12-11      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| GCAR 2025-4A A 4.37% 10/16/28                          | GLS AUTO RECEIVABLES ISSUER TRUST 2025-4 SER 2025-4A CL A2 REGD 144A P/P 4.37000000              | CUSIP: 36273HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25863000 | PA      | $25893704.55  | 0.10%             | 2028-10-16      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA P#614546 5.5% 06/15/33                            | GINNIE MAE I POOL P#614546 5.50000000                                                            | CUSIP: 36290QWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       885 | PA      | $895.70       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#617486 7% 04/15/37                              | GINNIE MAE I POOL P#617486 7.00000000                                                            | CUSIP: 36290T6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4976 | PA      | $5063.23      | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#632415 5.5% 07/15/34                            | GINNIE MAE I POOL P#632415 5.50000000                                                            | CUSIP: 36291MSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $2039.99      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GCAR 2023-4A C 6.65% 12/15/26                          | GLS AUTO RECEIVABLES ISSUER TRUST 2023-4 SER 2023-4A CL C REGD 144A P/P 6.65000000               | CUSIP: 362929AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6500000 | PA      | $6587376.25   | 0.03%             | 2029-08-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| GSMBS 2024-RPL4  V/R 09/25/61                          | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 SER 2024-RPL4 CL A1 V/R REGD 144A P/P 3.90000000   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3215563 | PA      | $3170294.76   | 0.01%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA P#670030 3% 07/15/45                              | GINNIE MAE I POOL P#670030 3.00000000                                                            | CUSIP: 36295GLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    438992 | PA      | $396859.23    | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-SL1 A V/R 11/25/67                          | GS MORTGAGE-BACKED SECURITIES TRUST 2025-SL1 SER 2025-SL1 CL A1 V/R REGD 144A P/P 5.84700000     | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16574413 | PA      | $16717568.36  | 0.07%             | 2067-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GMALT 2025-2 A 4.58% 05/22/28                          | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-2 SER 2025-2 CL A3 REGD 4.58000000                    | CUSIP: 362962AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4762000 | PA      | $4804732.76   | 0.02%             | 2028-05-22      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE 2.94% 09/30/40                         | GALAXY PIPELINE ASSETS REGD 144A P/P 2.94000000                                                  | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   2122631 | PA      | $1805611.73   | 0.01%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGH 3.5% 05/20/51                         | ARTHUR J GALLAGHER & CO REGD 3.50000000                                                          | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2091637.20   | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM6 A V/R 10/25/29                          | GCAT 2025-NQM6 TRUST SER 2025-NQM6 CL A1 V/R REGD 144A P/P 0.00000000                            | CUSIP: 36831QAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17441936 | PA      | $17453377.51  | 0.07%             | 2070-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC 3% 02/01/51                          | GENERAL MILLS INC REGD 3.00000000                                                                | CUSIP: 370334CP7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   3007000 | PA      | $1944593.10   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO 5% 04/01/35                          | GENERAL MOTORS CO REGD 5.00000000                                                                | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    866000 | PA      | $846100.07    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS C 6.6% 04/01/36                         | GENERAL MOTORS CO REGD 6.60000000                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    685000 | PA      | $745495.02    | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS 5.625% 04/15/30                         | GENERAL MOTORS CO REGD 5.62500000                                                                | CUSIP: 37045VBA7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |  11375000 | PA      | $11851885.39  | 0.05%             | 2030-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  5.35% 04/15/28                         | GENERAL MOTORS CO REGD 5.35000000                                                                | CUSIP: 37045VBC3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   8745000 | PA      | $8958216.22   | 0.04%             | 2028-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 2.4% 10/15/28                         | GENERAL MOTORS FINL CO REGD 2.40000000                                                           | CUSIP: 37045XDP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4160000 | PA      | $3966697.20   | 0.02%             | 2028-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 5.4% 05/08/27                         | GENERAL MOTORS FINL CO REGD 5.40000000                                                           | CUSIP: 37045XEQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $823264.72    | 0.00%             | 2027-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  5.05% 04/04/28                         | GENERAL MOTORS FINL CO REGD 5.05000000                                                           | CUSIP: 37045XFE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5092160.00   | 0.02%             | 2028-04-04      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| KLLM 8A A1R2 V/R 01/20/38                              | KENNEDY LEWIS CLO 8 LTD SER 8A CL A1R2 V/R REGD 144A P/P 5.26444000                              | CUSIP: 37148EAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  31250000 | PA      | $31300968.75  | 0.12%             | 2038-01-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GEN LUX SARL/GEN U 6% 06/04/29                         | GEN LUX SARL/GEN USA INC REGD 6.00000000                                                         | CUSIP: 37190AAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   4979000 | PA      | $5200866.83   | 0.02%             | 2029-06-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENPACT UK/USA  4.95% 11/18/30                         | GENPACT UK/USA INC REGD 4.95000000                                                               | CUSIP: 37256EAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2999377.02   | 0.01%             | 2030-11-18      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO 4% 10/01/28                           | GEORGIA POWER CO REGD 4.00000000                                                                 | CUSIP: 373334LC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7257000 | PA      | $7297131.36   | 0.03%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J PAUL GETTY T 4.905% 04/01/35                         | J PAUL GETTY TRUST REGD 4.90500000                                                               | CUSIP: 374288AC2<br>LEI: 72TDDU3K225INPK3EI14 | Long             | DBT              | CORP              | US        |  10363000 | PA      | $10539817.13  | 0.04%             | 2035-04-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES  4.6% 09/01/35                         | GILEAD SCIENCES INC REGD 4.60000000                                                              | CUSIP: 375558BG7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $4175549.97   | 0.02%             | 2035-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES  2.6% 10/01/40                         | GILEAD SCIENCES INC REGD 2.60000000                                                              | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   4268000 | PA      | $3157340.58   | 0.01%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES 1.65% 10/01/30                         | GILEAD SCIENCES INC REGD 1.65000000                                                              | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1521829.15   | 0.01%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEA 5.4% 10/07/35                         | GILDAN ACTIVEWEAR INC REGD 144A P/P 5.40000000                                                   | CUSIP: 375916AG8<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |   1150000 | PA      | $1146704.85   | 0.00%             | 2035-10-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GITST 2025-NPL1  V/R 02/25/28                          | GITSIT MORTGAGE LOAN TRUST 2025-NPL1 SER 2025-NPL1 CL A1 V/R REGD 144A P/P 6.27560000            | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4266161 | PA      | $4273561.03   | 0.02%             | 2055-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING L 4% 03/27/27                         | GLENCORE FUNDING LLC REGD 144A P/P 4.00000000                                                    | CUSIP: 378272AN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17716000 | PA      | $17698158.57  | 0.07%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 3.875% 10/27/27                         | GLENCORE FUNDING LLC REGD 144A P/P 3.87500000                                                    | CUSIP: 378272AQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | PA      | $871874.47    | 0.00%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 3.875% 04/27/51                         | GLENCORE FUNDING LLC REGD 144A P/P 3.87500000                                                    | CUSIP: 378272BC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $740880.95    | 0.00%             | 2051-04-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 2.625% 09/23/31                         | GLENCORE FUNDING LLC REGD 144A P/P 2.62500000                                                    | CUSIP: 378272BG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3605947.64   | 0.01%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING 5.7% 05/08/33                         | GLENCORE FUNDING LLC REGD 144A P/P 5.70000000                                                    | CUSIP: 378272BL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1790067.12   | 0.01%             | 2033-05-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 6.375% 10/06/30                         | GLENCORE FUNDING LLC REGD 144A P/P 6.37500000                                                    | CUSIP: 378272BP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2688000 | PA      | $2892794.85   | 0.01%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING 6.5% 10/06/33                         | GLENCORE FUNDING LLC REGD 144A P/P 6.50000000                                                    | CUSIP: 378272BQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7731083.85   | 0.03%             | 2033-10-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 5.338% 04/04/27                         | GLENCORE FUNDING LLC REGD 144A P/P 5.33800000                                                    | CUSIP: 378272BR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9813000 | PA      | $9964672.87   | 0.04%             | 2027-04-04      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 5.634% 04/04/34                         | GLENCORE FUNDING LLC REGD 144A P/P 5.63400000                                                    | CUSIP: 378272BU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2559739.76   | 0.01%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDI 5.673% 04/01/35                         | GLENCORE FUNDING LLC REGD 144A P/P 5.67300000                                                    | CUSIP: 378272CA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19235000 | PA      | $20082603.16  | 0.08%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  3.2% 08/15/29                         | GLOBAL PAYMENTS INC REGD 3.20000000                                                              | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4843000 | PA      | $4617999.16   | 0.02%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  5.3% 08/15/29                         | GLOBAL PAYMENTS INC REGD 5.30000000                                                              | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    964000 | PA      | $986004.50    | 0.00%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  4.5% 11/15/28                         | GLOBAL PAYMENTS INC REGD 4.50000000                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10019018.20  | 0.04%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENT 4.875% 11/15/30                         | GLOBAL PAYMENTS INC REGD 4.87500000                                                              | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   7247000 | PA      | $7255080.55   | 0.03%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS  5.2% 11/15/32                         | GLOBAL PAYMENTS INC REGD 5.20000000                                                              | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   5865000 | PA      | $5867747.46   | 0.02%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS 5.55% 11/15/35                         | GLOBAL PAYMENTS INC REGD 5.55000000                                                              | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2920000 | PA      | $2902281.97   | 0.01%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GCAR 2024-3A D 5.53% 02/18/31                          | GLS AUTO RECEIVABLES ISSUER TRUST 2024-3 SER 2024-3A CL D REGD 144A P/P 5.53000000               | CUSIP: 37989AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4133000 | PA      | $4179584.28   | 0.02%             | 2031-02-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GCAR 2025-2A C 5.11% 08/15/28                          | GLS AUTO RECEIVABLES ISSUER TRUST 2025-2 SER 2025-2A CL C REGD 144A P/P 5.11000000               | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12095000 | PA      | $12226319.04  | 0.05%             | 2031-01-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-4 B 6.16% 05/16/27                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-4 SER 2023-4 CL B REGD 6.16000000        | CUSIP: 379930AF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | PA      | $1748956.94   | 0.01%             | 2029-04-16      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| GMCAR 2023-4 C 6.41% 05/16/27                          | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-4 SER 2023-4 CL C REGD 6.41000000        | CUSIP: 379930AG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1236628.08   | 0.00%             | 2029-05-16      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/24/29                         | GOLDMAN SACHS GROUP INC REGD V/R 6.48400000                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3393556.19   | 0.01%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/23/30                         | GOLDMAN SACHS GROUP INC REGD V/R 5.04900000                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4615000 | PA      | $4728592.23   | 0.02%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/23/35                         | GOLDMAN SACHS GROUP INC REGD V/R 5.33000000                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8410000 | PA      | $8640920.77   | 0.03%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/23/30                         | GOLDMAN SACHS GROUP INC REGD V/R 4.69200000                                                      | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3870000 | PA      | $3922801.58   | 0.02%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 01/28/36                         | GOLDMAN SACHS GROUP INC REGD V/R 5.53600000                                                      | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1971964.88   | 0.01%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 01/28/56                         | GOLDMAN SACHS GROUP INC REGD V/R 5.73400000                                                      | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8383000 | PA      | $8472645.12   | 0.03%             | 2056-01-28      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/23/31                         | GOLDMAN SACHS GROUP INC REGD V/R 5.21800000                                                      | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  16395000 | PA      | $16933533.62  | 0.07%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/21/31                         | GOLDMAN SACHS GROUP INC REGD V/R SER . 4.36900000                                                | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13654000 | PA      | $13621457.47  | 0.05%             | 2031-10-21      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/21/36                         | GOLDMAN SACHS GROUP INC REGD V/R 4.93900000                                                      | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8835000 | PA      | $8770692.95   | 0.03%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS G 6.75% 10/01/37                         | GOLDMAN SACHS GROUP INC REGD 6.75000000                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2422537.31   | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 05/01/29                         | GOLDMAN SACHS GROUP INC REGD V/R 4.22300000                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5010402.80   | 0.02%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/23/39                         | GOLDMAN SACHS GROUP INC REGD V/R 4.41100000                                                      | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $1917049.63   | 0.01%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 01/27/32                         | GOLDMAN SACHS GROUP INC REGD V/R 1.99200000                                                      | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7395000 | PA      | $6569497.92   | 0.03%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/22/32                         | GOLDMAN SACHS GROUP INC REGD V/R 2.61500000                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9805000 | PA      | $8940326.17   | 0.04%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 09/10/27                         | GOLDMAN SACHS GROUP INC REGD V/R 1.54200000                                                      | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9234000 | PA      | $9072209.24   | 0.04%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/21/32                         | GOLDMAN SACHS GROUP INC REGD V/R SER DMTN 2.38300000                                             | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $2834610.59   | 0.01%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/21/27                         | GOLDMAN SACHS GROUP INC REGD V/R 1.94800000                                                      | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2541000 | PA      | $2498025.44   | 0.01%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 02/24/28                         | GOLDMAN SACHS GROUP INC REGD V/R 2.64000000                                                      | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8243000 | PA      | $8114433.35   | 0.03%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 02/24/33                         | GOLDMAN SACHS GROUP INC REGD V/R 3.10200000                                                      | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4956000 | PA      | $4565593.92   | 0.02%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 03/15/28                         | GOLDMAN SACHS GROUP INC REGD V/R 3.61500000                                                      | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  14810000 | PA      | $14727770.59  | 0.06%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS  6.345% 02/15/34                         | GOLDMAN SACHS CAPITAL I REGD 6.34500000                                                          | CUSIP: 38143VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127000 | PA      | $134788.89    | 0.00%             | 2034-02-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| GOODG 2023-1A A 5.9% 01/17/61                          | GOODGREEN 2023-1 SER 2023-1A CL A REGD 144A P/P 5.90000000                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5504879 | PA      | $5489140.75   | 0.02%             | 2061-01-17      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GOODG 2017-1A  3.74% 10/15/52                          | GOODGREEN 2017-1 TRUST SER 2017-1A CL A REGD 144A P/P 3.74000000                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    490450 | PA      | $454353.59    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GOODG 2019-2A  2.76% 10/15/31                          | GOODGREEN 2019-2 SER 2019-2A CL A REGD 144A P/P 2.76000000                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2154924 | PA      | $1861984.78   | 0.01%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| GOODG 2017-2A  3.26% 10/15/53                          | GOODGREEN 2017-2 TRUST SER 2017-2A CL A REGD 144A P/P 3.26000000                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1367396 | PA      | $1248765.13   | 0.00%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GDLP 2025-3A A 5% 10/20/49                             | GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-3 SER 2025-3A CL A REGD 144A P/P 5.00000000       | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11217245 | PA      | $11245004.69  | 0.04%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN 5.125% 10/07/34                         | GOODMAN US FINANCE SIX REGD 144A P/P 5.12500000                                                  | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1114491.75   | 0.00%             | 2034-10-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN T 3.7% 03/15/28                         | GOODMAN US FIN THREE REGD 144A P/P 3.70000000                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    862000 | PA      | $853097.62    | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN F 4.5% 10/15/37                         | GOODMAN US FIN FOUR REGD 144A P/P 4.50000000                                                     | CUSIP: 38239KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $186317.23    | 0.00%             | 2037-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-64 SN V/R 07/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-64 CL SN V/R 2.25126000                        | CUSIP: 38373A2C9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51763 | PA      | $2535.80      | 0.00%             | 2039-07-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNR 2009-72 SM V/R 08/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-72 CL SM V/R 2.40126000                        | CUSIP: 38373AGM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73104 | PA      | $5811.81      | 0.00%             | 2039-08-16      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNR 2008-81 S V/R 09/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-81 CL S V/R 2.35162000                         | CUSIP: 38373M2Q2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    141620 | PA      | $760.17       | 0.00%             | 2038-09-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2003-46 MG 6.5% 05/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-46 CL MG 6.50000000                            | CUSIP: 38373Q2Q3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20171 | PA      | $20120.65     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-25 PZ 5.5% 04/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-25 CL PZ 5.50000000                            | CUSIP: 38373QDV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56230 | PA      | $56102.54     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-52 AP ZCP 06/16/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-52 CL AP ZCP 0.00000000                        | CUSIP: 38373QR86<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10417 | PA      | $9342.09      | 0.00%             | 2033-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2001-35 SA V/R 08/16/31                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2001-35 CL SA V/R 4.40126000                        | CUSIP: 38373RTZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3257 | PA      | $9.91         | 0.00%             | 2031-08-16      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNR 2003-12 SP V/R 02/20/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-12 CL SP V/R 3.62568000                        | CUSIP: 38373SNF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6154 | PA      | $52.57        | 0.00%             | 2033-02-20      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNR 2002-52 GH 6.5% 07/20/32                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2002-52 CL GH 6.50000000                            | CUSIP: 38373XE69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19326 | PA      | $19279.53     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2007-79 SY V/R 12/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-79 CL SY V/R 2.70162000                        | CUSIP: 383742AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63839 | PA      | $293.44       | 0.00%             | 2037-12-20      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2008-17 IO 5.5% 02/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-17 CL IO 5.50000000                            | CUSIP: 383742TE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9649 | PA      | $12.77        | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-58 BE 6.5% 01/20/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-58 CL BE 6.50000000                            | CUSIP: 38374BNE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26895 | PA      | $26821.77     | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-75 ZX 6% 09/16/33                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-75 CL ZX 6.00000000                            | CUSIP: 38374CDG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32066 | PA      | $32008.29     | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2008-36 SH V/R 04/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-36 CL SH V/R 2.45162000                        | CUSIP: 38374D3F4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65822 | PA      | $360.33       | 0.00%             | 2038-04-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNR 2006-34 PO ZCP 07/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-34 CL PO ZCP 0.00000000                        | CUSIP: 38374DBJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2640 | PA      | $2212.81      | 0.00%             | 2036-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-33 Z 6.5% 07/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-33 CL Z 6.50000000                             | CUSIP: 38374DEC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     90030 | PA      | $92570.26     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2003-97 SA V/R 11/16/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-97 CL SA V/R 2.70126000                        | CUSIP: 38374EVW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9162 | PA      | $49.57        | 0.00%             | 2033-11-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2003-112 SA V/R 12/16/33                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2003-112 CL SA V/R 2.70126000                       | CUSIP: 38374EZ91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22642 | PA      | $126.87       | 0.00%             | 2033-12-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2004-17 MZ 5.5% 03/16/34                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-17 CL MZ 5.50000000                            | CUSIP: 38374FYS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    879280 | PA      | $877346.53    | 0.00%             | 2034-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2004-46 PO ZCP 06/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-46 CL PO ZCP 0.00000000                        | CUSIP: 38374G5Y4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19316 | PA      | $16345.31     | 0.00%             | 2034-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2004-28 S V/R 04/16/34                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-28 CL S V/R 9.07846000                         | CUSIP: 38374GDC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9846 | PA      | $10886.69     | 0.00%             | 2034-04-16      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| GNR 2004-49 Z 6% 06/20/34                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-49 CL Z 6.00000000                             | CUSIP: 38374GU91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80506 | PA      | $81399.55     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2004-73 JL V/R 09/16/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-73 CL JL V/R 2.70126000                        | CUSIP: 38374H2D1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83363 | PA      | $7607.24      | 0.00%             | 2034-09-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2004-71 SB V/R 09/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-71 CL SB V/R 10.56599000                       | CUSIP: 38374JBS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8410 | PA      | $9193.93      | 0.00%             | 2034-09-20      | Variable      | 10.57%                | No            |                  2 | On Loan: No      |
| GNR 2004-71 ST V/R 09/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-71 CL ST V/R 7.00000000                        | CUSIP: 38374JBT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8410 | PA      | $8470.25      | 0.00%             | 2034-09-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNR 2004-96 SC V/R 11/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-96 CL SC V/R 2.23162000                        | CUSIP: 38374JG75<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71556 | PA      | $363.86       | 0.00%             | 2034-11-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNR 2004-89 LS V/R 10/16/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-89 CL LS V/R 10.27129000                       | CUSIP: 38374JLG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5642 | PA      | $5684.65      | 0.00%             | 2034-10-16      | Variable      | 10.27%                | No            |                  2 | On Loan: No      |
| GNR 2004-90 SI V/R 10/20/34                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2004-90 CL SI V/R 2.25162000                        | CUSIP: 38374JXC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113361 | PA      | $5416.79      | 0.00%             | 2034-10-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNR 2005-7 JM V/R 05/18/34                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-7 CL JM V/R 8.24974000                         | CUSIP: 38374KF73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       134 | PA      | $143.87       | 0.00%             | 2034-05-18      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| GNR 2005-3 SK V/R 01/20/35                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-3 CL SK V/R 2.90162000                         | CUSIP: 38374KRV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74842 | PA      | $3799.34      | 0.00%             | 2035-01-20      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNR 2005-68 KI V/R 09/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-68 CL KI V/R 2.45162000                        | CUSIP: 38374L3B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    163768 | PA      | $14867.94     | 0.00%             | 2035-09-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNR 2005-68 DP V/R 06/17/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-68 CL DP V/R 7.15966000                        | CUSIP: 38374L4C2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15167 | PA      | $16712.87     | 0.00%             | 2035-06-17      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| GNR 2005-72 AZ 5.5% 09/20/35                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-72 CL AZ 5.50000000                            | CUSIP: 38374L7K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28676 | PA      | $29218.51     | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2005-65 SA V/R 08/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-65 CL SA V/R 8.15186000                        | CUSIP: 38374LK67<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3093 | PA      | $3250.81      | 0.00%             | 2035-08-20      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| GNR 2005-56 IC 5.5% 07/20/35                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-56 CL IC 5.50000000                            | CUSIP: 38374LRT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7806 | PA      | $796.57       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2005-66 SP V/R 08/16/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-66 CL SP V/R 8.00420000                        | CUSIP: 38374LU82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4820 | PA      | $5387.72      | 0.00%             | 2035-08-16      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-22 AO ZCP 05/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-22 CL AO ZCP 0.00000000                        | CUSIP: 38374M2N8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20075 | PA      | $16887.23     | 0.00%             | 2036-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2005-82 PO ZCP 10/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-82 CL PO ZCP 0.00000000                        | CUSIP: 38374MBR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10965 | PA      | $9302.22      | 0.00%             | 2035-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-16 OP ZCP 03/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-16 CL OP ZCP 0.00000000                        | CUSIP: 38374MM63<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13871 | PA      | $11672.11     | 0.00%             | 2036-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2005-91 PI 6% 12/20/35                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-91 CL PI 6.00000000                            | CUSIP: 38374MSK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16040 | PA      | $1280.31      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2006-59 SD V/R 10/20/36                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-59 CL SD V/R 2.85162000                        | CUSIP: 38374NQ34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29039 | PA      | $1834.38      | 0.00%             | 2036-10-20      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNR 2006-38 ZK 6.5% 08/20/36                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-38 CL ZK 6.50000000                            | CUSIP: 38374NQB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109975 | PA      | $109696.52    | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2006-57 P 5.564% 10/20/36                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2006-57 CL PZ 5.56480000                            | CUSIP: 38374NXS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48825 | PA      | $48705.13     | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GNR 2009-10 SA V/R 02/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-10 CL SA V/R 2.10162000                        | CUSIP: 38374TAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53142 | PA      | $3794.71      | 0.00%             | 2039-02-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNR 2009-11 SC V/R 02/16/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-11 CL SC V/R 2.30126000                        | CUSIP: 38374TJF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35607 | PA      | $673.96       | 0.00%             | 2039-02-16      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNR 2009-22 SA V/R 04/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-22 CL SA V/R 2.42162000                        | CUSIP: 38374TRY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75797 | PA      | $5878.03      | 0.00%             | 2039-04-20      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNR 2009-31 TS V/R 03/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-31 CL TS V/R 2.45162000                        | CUSIP: 38374TXN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14991 | PA      | $316.70       | 0.00%             | 2039-03-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNR 2009-43 SA V/R 06/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-43 CL SA V/R 2.10162000                        | CUSIP: 38374UF97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51015 | PA      | $2352.06      | 0.00%             | 2039-06-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNR 2009-33 TI 6% 05/20/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-33 CL TI 6.00000000                            | CUSIP: 38374UJV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15455 | PA      | $1026.00      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2009-33 CI 5.5% 05/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-33 CL CI 5.50000000                            | CUSIP: 38374UKD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11161 | PA      | $676.19       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-42 SC V/R 06/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-42 CL SC V/R 2.23162000                        | CUSIP: 38374UVQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71566 | PA      | $5902.26      | 0.00%             | 2039-06-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNR 2009-14 NI 6.5% 03/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-14 CL NI 6.50000000                            | CUSIP: 38374XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41163 | PA      | $2285.03      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-14 KI 6.5% 03/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-14 CL KI 6.50000000                            | CUSIP: 38374XBQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18374 | PA      | $952.20       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-25 SE V/R 09/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-25 CL SE V/R 3.75162000                        | CUSIP: 38374XSE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29003 | PA      | $691.38       | 0.00%             | 2038-09-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H14 FD V/R 06/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H14 CL FD V/R 4.58411000                       | CUSIP: 38375B3N0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127821 | PA      | $127774.05    | 0.00%             | 2063-06-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H31 FD V/R 12/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H31 CL FD V/R 4.45411000                       | CUSIP: 38375BD74<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    245961 | PA      | $245318.51    | 0.00%             | 2062-12-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 F 1.65% 01/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL FA 1.65000000                           | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        30 | PA      | $27.15        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 TA V/R 01/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL TA V/R 4.61411000                       | CUSIP: 38375BE99<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3568 | PA      | $3558.22      | 0.00%             | 2063-01-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2010-H17 XQ V/R 07/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-H17 CL XQ V/R 5.14313000                       | CUSIP: 38375BEL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1753 | PA      | $1766.25      | 0.00%             | 2060-07-20      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H01 JA V/R 01/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H01 CL JA V/R 4.43411000                       | CUSIP: 38375BF31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94997 | PA      | $94767.94     | 0.00%             | 2063-01-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H03 FA V/R 08/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H03 CL FA V/R 4.41411000                       | CUSIP: 38375BF64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        37 | PA      | $36.49        | 0.00%             | 2060-08-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H02 HF V/R 11/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H02 CL HF V/R 4.41411000                       | CUSIP: 38375BH62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        74 | PA      | $73.43        | 0.00%             | 2062-11-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H04 B 1.65% 02/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H04 CL BA 1.65000000                           | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5067 | PA      | $4857.11      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H04 SA V/R 02/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H04 CL SA V/R 4.53411000                       | CUSIP: 38375BL26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53429 | PA      | $53367.53     | 0.00%             | 2063-02-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNR 2011-H11 FA V/R 03/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-H11 CL FA V/R 4.61411000                       | CUSIP: 38375BLN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170400 | PA      | $170436.05    | 0.00%             | 2061-03-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2011-H19 FA V/R 08/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-H19 CL FA V/R 4.58411000                       | CUSIP: 38375BMT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36750 | PA      | $36744.20     | 0.00%             | 2061-08-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 GA V/R 03/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL GA V/R 4.58411000                       | CUSIP: 38375BQ70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19350 | PA      | $19346.03     | 0.00%             | 2063-03-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 HA V/R 03/20/63                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL HA V/R 4.52411000                       | CUSIP: 38375BQ96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68228 | PA      | $68138.87     | 0.00%             | 2063-03-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H08 FS V/R 04/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H08 CL FS V/R 4.81411000                       | CUSIP: 38375BQP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192809 | PA      | $193514.20    | 0.00%             | 2062-04-20      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H07 MA V/R 04/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H07 CL MA V/R 4.66411000                       | CUSIP: 38375BR61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        48 | PA      | $47.93        | 0.00%             | 2062-04-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNR 2013-H09 H 1.65% 04/20/63                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-H09 CL HA 1.65000000                           | CUSIP: 38375BR95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7205 | PA      | $6899.23      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H15 FA V/R 05/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H15 CL FA V/R 4.56411000                       | CUSIP: 38375BUB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        17 | PA      | $16.90        | 0.00%             | 2062-05-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H21 CF V/R 05/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H21 CL CF V/R 4.81411000                       | CUSIP: 38375BWA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       478 | PA      | $479.34       | 0.00%             | 2061-05-20      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H21 DF V/R 05/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H21 CL DF V/R 4.76411000                       | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       488 | PA      | $487.94       | 0.00%             | 2061-05-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FA V/R 03/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FA V/R 4.56411000                       | CUSIP: 38375BWP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18885 | PA      | $18806.07     | 0.00%             | 2060-03-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FE V/R 10/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FE V/R 4.60000000                       | CUSIP: 38375BWZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2737 | PA      | $2740.47      | 0.00%             | 2062-10-20      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H24 FG V/R 04/20/60                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H24 CL FG V/R 4.54411000                       | CUSIP: 38375BXB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       815 | PA      | $812.06       | 0.00%             | 2060-04-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H28 FA V/R 09/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H28 CL FA V/R 4.69411000                       | CUSIP: 38375BYE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2246 | PA      | $2247.90      | 0.00%             | 2062-09-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H26 MA V/R 07/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H26 CL MA V/R 4.66411000                       | CUSIP: 38375BYQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4509 | PA      | $4510.48      | 0.00%             | 2062-07-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H26 JA V/R 10/20/61                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H26 CL JA V/R 4.66411000                       | CUSIP: 38375BYU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       102 | PA      | $101.43       | 0.00%             | 2061-10-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNR 2012-H29 FA V/R 10/20/62                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H29 CL FA V/R 4.62911000                       | CUSIP: 38375BZQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97112 | PA      | $97149.95     | 0.00%             | 2062-10-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNR 2008-60 CS V/R 07/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-60 CL CS V/R 2.30162000                        | CUSIP: 38375DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55134 | PA      | $562.25       | 0.00%             | 2038-07-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNR 2008-58 FA V/R 07/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-58 CL FA V/R 4.66838000                        | CUSIP: 38375DKW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122730 | PA      | $123146.64    | 0.00%             | 2038-07-20      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNR 2008-76 US V/R 09/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-76 CL US V/R 2.05162000                        | CUSIP: 38375DUZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67797 | PA      | $1715.90      | 0.00%             | 2038-09-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNR 2008-95 DS V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-95 CL DS V/R 3.45162000                        | CUSIP: 38375DYP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    121557 | PA      | $935.00       | 0.00%             | 2038-12-20      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GNR 2007-25 FN V/R 05/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-25 CL FN V/R 4.14874000                        | CUSIP: 38375J2G9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24011 | PA      | $23698.08     | 0.00%             | 2037-05-16      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNR 2007-28 BO ZCP 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-28 CL BO ZCP 0.00000000                        | CUSIP: 38375J8N8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3917 | PA      | $3226.27      | 0.00%             | 2037-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-27 SD V/R 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-27 CL SD V/R 2.35162000                        | CUSIP: 38375JJ71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52980 | PA      | $1037.04      | 0.00%             | 2037-05-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2007-9 CI V/R 03/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-9 CL CI V/R 2.35162000                         | CUSIP: 38375JMV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54504 | PA      | $3711.40      | 0.00%             | 2037-03-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2007-17 JI V/R 04/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-17 CL JI V/R 2.96126000                        | CUSIP: 38375JTD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70685 | PA      | $5390.64      | 0.00%             | 2037-04-16      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| GNR 2007-17 JO V/R 04/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-17 CL JO V/R 0.00000000                        | CUSIP: 38375JTE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27427 | PA      | $22575.42     | 0.00%             | 2037-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-19 SD V/R 04/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-19 CL SD V/R 2.35162000                        | CUSIP: 38375JTV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25600 | PA      | $134.05       | 0.00%             | 2037-04-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2007-40 SD V/R 07/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-40 CL SD V/R 2.90162000                        | CUSIP: 38375KA93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41951 | PA      | $1438.08      | 0.00%             | 2037-07-20      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNR 2007-40 SN V/R 07/20/37                            | GNR 2007-40 SN V/R 07/20/37 2.83162000                                                           | CUSIP: 38375KB68<br>LEI: N/A                  | Long             | RE               | CORP              | US        |     57329 | PA      | $1685.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2007-26 SC V/R 05/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-26 CL SC V/R 2.35162000                        | CUSIP: 38375KBN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47800 | PA      | $590.89       | 0.00%             | 2037-05-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 SJ V/R 06/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL SJ V/R 2.40162000                        | CUSIP: 38375KHN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39608 | PA      | $215.74       | 0.00%             | 2037-06-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 SE V/R 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL SE V/R 2.62126000                        | CUSIP: 38375KHZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29773 | PA      | $167.43       | 0.00%             | 2037-06-16      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNR 2007-36 HO ZCP 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-36 CL HO ZCP 0.00000000                        | CUSIP: 38375KKT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6943 | PA      | $5628.50      | 0.00%             | 2037-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-35 PO V/R 06/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-35 CL PO V/R 0.00000000                        | CUSIP: 38375KPE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73380 | PA      | $60267.24     | 0.00%             | 2037-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2007-45 QA V/R 07/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-45 CL QA V/R 2.79162000                        | CUSIP: 38375KW24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60222 | PA      | $4071.48      | 0.00%             | 2037-07-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNR 2007-73 MI V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-73 CL MI V/R 2.15162000                        | CUSIP: 38375LD23<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49898 | PA      | $238.18       | 0.00%             | 2037-11-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNR 2007-53 ES V/R 09/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-53 CL ES V/R 2.70162000                        | CUSIP: 38375LFW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45771 | PA      | $1619.41      | 0.00%             | 2037-09-20      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2007-67 SI V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-67 CL SI V/R 2.66162000                        | CUSIP: 38375LG53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52274 | PA      | $316.14       | 0.00%             | 2037-11-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| GNR 2007-53 SW V/R 09/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-53 CL SW V/R 8.65986000                        | CUSIP: 38375LGF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10094 | PA      | $11033.61     | 0.00%             | 2037-09-20      | Variable      | 8.66%                 | No            |                  2 | On Loan: No      |
| GNR 2007-76 SB V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-76 CL SB V/R 2.65162000                        | CUSIP: 38375LR69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97164 | PA      | $573.59       | 0.00%             | 2037-11-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNR 2007-72 US V/R 11/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-72 CL US V/R 2.70162000                        | CUSIP: 38375LV72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43937 | PA      | $264.64       | 0.00%             | 2037-11-20      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNR 2007-74 SL V/R 11/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-74 CL SL V/R 2.69126000                        | CUSIP: 38375LZR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56607 | PA      | $323.70       | 0.00%             | 2037-11-16      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNR 2008-1 PO ZCP 01/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-1 CL PO ZCP 0.00000000                         | CUSIP: 38375PCK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2898 | PA      | $2363.82      | 0.00%             | 2038-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2008-7 SP V/R 10/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-7 CL SP V/R 5.70324000                         | CUSIP: 38375PQ61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7295 | PA      | $7306.04      | 0.00%             | 2037-10-20      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNR 2008-7 SK V/R 11/20/37                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-7 CL SK V/R 8.40486000                         | CUSIP: 38375PQ95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5125 | PA      | $5141.40      | 0.00%             | 2037-11-20      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| GNR 2008-96 SL V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-96 CL SL V/R 2.15162000                        | CUSIP: 38375PY88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40380 | PA      | $781.05       | 0.00%             | 2038-12-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNR 2008-50 KB 6% 06/20/38                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-50 CL KB 6.00000000                            | CUSIP: 38375QD89<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32958 | PA      | $33994.94     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR 2008-33 XS V/R 04/16/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-33 CL XS V/R 3.85126000                        | CUSIP: 38375QFE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28644 | PA      | $1393.28      | 0.00%             | 2038-04-16      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GNR 2008-55 SA V/R 06/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-55 CL SA V/R 2.35162000                        | CUSIP: 38375QK73<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16295 | PA      | $92.97        | 0.00%             | 2038-06-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNR 2008-40 SA V/R 05/16/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-40 CL SA V/R 2.55126000                        | CUSIP: 38375QKS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    158314 | PA      | $7960.17      | 0.00%             | 2038-05-16      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H01 FD V/R 01/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H01 CL FD V/R 4.76411000                       | CUSIP: 38375UCP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98907 | PA      | $99161.15     | 0.00%             | 2064-01-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H04 FB V/R 02/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H04 CL FB V/R 4.76411000                       | CUSIP: 38375UDJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    256145 | PA      | $256731.19    | 0.00%             | 2064-02-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H05 FA V/R 02/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H05 CL FA V/R 4.80411000                       | CUSIP: 38375UDS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    421695 | PA      | $423110.94    | 0.00%             | 2064-02-20      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H06 HB V/R 03/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H06 CL HB V/R 4.76411000                       | CUSIP: 38375UET3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176049 | PA      | $176533.18    | 0.00%             | 2064-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H10 TA V/R 04/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H10 CL TA V/R 4.71411000                       | CUSIP: 38375UFT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    832656 | PA      | $833926.94    | 0.00%             | 2064-04-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H09 TA V/R 04/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H09 CL TA V/R 4.71411000                       | CUSIP: 38375UFZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151163 | PA      | $151508.16    | 0.00%             | 2064-04-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H07 FA V/R 05/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H07 CL FA V/R 4.71411000                       | CUSIP: 38375UHF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1149656 | PA      | $1151075.64   | 0.00%             | 2064-05-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H19 FA V/R 08/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H19 CL FA V/R 4.56411000                       | CUSIP: 38375UJ84<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    109508 | PA      | $109447.34    | 0.00%             | 2067-08-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H11 VA V/R 06/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H11 CL VA V/R 4.61411000                       | CUSIP: 38375UKC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    611992 | PA      | $612130.37    | 0.00%             | 2064-06-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H14 GF V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H14 CL GF V/R 4.58411000                       | CUSIP: 38375UMD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177558 | PA      | $177534.39    | 0.00%             | 2064-07-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H17 FC V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H17 CL FC V/R 4.61411000                       | CUSIP: 38375UNP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    472522 | PA      | $472620.07    | 0.00%             | 2064-07-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H19 FE V/R 09/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H19 CL FE V/R 4.58411000                       | CUSIP: 38375UPU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    590744 | PA      | $590673.88    | 0.00%             | 2064-09-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H20 LF V/R 10/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H20 CL LF V/R 4.71411000                       | CUSIP: 38375UQR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    395122 | PA      | $395192.51    | 0.00%             | 2064-10-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H03 FA V/R 12/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H03 CL FA V/R 4.61411000                       | CUSIP: 38375UTM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    193043 | PA      | $193091.02    | 0.00%             | 2064-12-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H05 FC V/R 02/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H05 CL FC V/R 4.59411000                       | CUSIP: 38375UUV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    621767 | PA      | $621763.93    | 0.00%             | 2065-02-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H08 FC V/R 03/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H08 CL FC V/R 4.59411000                       | CUSIP: 38375UVB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    913045 | PA      | $913045.06    | 0.00%             | 2065-03-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H07 ES V/R 02/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H07 CL ES V/R 4.69039000                       | CUSIP: 38375UVX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    183143 | PA      | $183111.88    | 0.00%             | 2065-02-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H09 DF V/R 03/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H09 CL DF V/R 4.67411000                       | CUSIP: 38375UZD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1262365 | PA      | $1263683.30   | 0.01%             | 2067-03-20      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNR 2008-71 SC V/R 08/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-71 CL SC V/R 2.15162000                        | CUSIP: 38375XML5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18690 | PA      | $91.96        | 0.00%             | 2038-08-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNR 2008-93 AS V/R 12/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-93 CL AS V/R 1.85162000                        | CUSIP: 38375Y2X9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74759 | PA      | $4230.61      | 0.00%             | 2038-12-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNR 2009-6 SA V/R 02/16/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-6 CL SA V/R 2.25126000                         | CUSIP: 38375Y5V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30528 | PA      | $143.32       | 0.00%             | 2039-02-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNR 2009-6 SH V/R 02/20/39                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-6 CL SH V/R 2.19162000                         | CUSIP: 38375Y6G2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32289 | PA      | $162.41       | 0.00%             | 2039-02-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNR 2008-79 CS V/R 06/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-79 CL CS V/R 2.95162000                        | CUSIP: 38375YNF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39294 | PA      | $39390.35     | 0.00%             | 2035-06-20      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| GNR 2009-75 MN 5.5% 09/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-75 CL MN 5.50000000                            | CUSIP: 38376CLY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    299875 | PA      | $316667.55    | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2009-79 OK ZCP 11/16/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-79 CL OK ZCP 0.00000000                        | CUSIP: 38376CXX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     71834 | PA      | $60167.41     | 0.00%             | 2037-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2009-81 SB V/R 09/20/39                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-81 CL SB V/R 2.24162000                        | CUSIP: 38376F4W9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    140091 | PA      | $12734.50     | 0.00%             | 2039-09-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNR 2009-106 AS V/R 11/16/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-106 CL AS V/R 2.55126000                       | CUSIP: 38376JFB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118892 | PA      | $11758.67     | 0.00%             | 2039-11-16      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNR 2009-106 ST V/R 02/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-106 CL ST V/R 2.15162000                       | CUSIP: 38376JFW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    377690 | PA      | $8387.66      | 0.00%             | 2038-02-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNR 2009-87 BE 5.5% 10/20/39                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-87 CL BE 5.50000000                            | CUSIP: 38376KWP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    282138 | PA      | $295242.51    | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR 2011-97 WA V/R 11/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-97 CL WA V/R 6.07660000                        | CUSIP: 38376LK65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34214 | PA      | $34880.64     | 0.00%             | 2038-11-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H11 LI V/R 05/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H11 CL LI V/R 2.61917000                       | CUSIP: 38376R3Z7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3472920 | PA      | $297233.29    | 0.00%             | 2067-05-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H14 FV V/R 06/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H14 CL FV V/R 4.61411000                       | CUSIP: 38376R5A0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1188243 | PA      | $1188489.15   | 0.00%             | 2067-06-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2017-H14 XI V/R 06/20/67                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H14 CL XI V/R 1.86924000                       | CUSIP: 38376R5T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4249631 | PA      | $106258.61    | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H16 FL V/R 07/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H16 CL FL V/R 4.55411000                       | CUSIP: 38376RDR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    427968 | PA      | $427760.48    | 0.00%             | 2065-07-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H18 FA V/R 06/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H18 CL FA V/R 4.56411000                       | CUSIP: 38376REW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    172304 | PA      | $172267.27    | 0.00%             | 2065-06-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNR 2015-H20 FA V/R 08/20/65                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H20 CL FA V/R 4.58411000                       | CUSIP: 38376RFG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96219 | PA      | $96200.29     | 0.00%             | 2065-08-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNR 2010-14 BO ZCP 11/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-14 CL BO ZCP 0.00000000                        | CUSIP: 38376WBQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16263 | PA      | $13824.52     | 0.00%             | 2035-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-14 CO ZCP 08/20/35                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-14 CL CO ZCP 0.00000000                        | CUSIP: 38376WBS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45087 | PA      | $38364.69     | 0.00%             | 2035-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-103 WA V/R 08/20/34                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-103 CL WA V/R 5.65686000                       | CUSIP: 38377DSY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18055 | PA      | $18470.62     | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNR 2010-41 WA V/R 10/20/33                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-41 CL WA V/R 5.80790000                        | CUSIP: 38377EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31729 | PA      | $32603.57     | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNR 2010-130 CP 7% 10/16/40                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-130 CL CP 7.00000000                           | CUSIP: 38377LK72<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    126725 | PA      | $135738.24    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNR 2010-129 AW V/R 04/20/37                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-129 CL AW V/R 5.81456000                       | CUSIP: 38377MBJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24708 | PA      | $25410.50     | 0.00%             | 2037-04-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNR 2010-157 OP ZCP 12/20/40                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-157 CL OP ZCP 0.00000000                       | CUSIP: 38377NF41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    164837 | PA      | $142773.78    | 0.00%             | 2040-12-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2011-26 CS V/R 02/16/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-26 CL CS V/R 2.15126000                        | CUSIP: 38377QER4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8894123 | PA      | $906359.20    | 0.00%             | 2041-02-16      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNR 2011-22 WA V/R 02/20/37                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-22 CL WA V/R 5.76190000                        | CUSIP: 38377QRC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14195 | PA      | $14578.90     | 0.00%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNR 2011-75 SM V/R 05/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-75 CL SM V/R 2.75162000                        | CUSIP: 38377WFA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88687 | PA      | $6064.22      | 0.00%             | 2041-05-20      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNR 2011-137 WA V/R 07/20/40                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-137 CL WA V/R 5.58213000                       | CUSIP: 38377YX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80493 | PA      | $83612.95     | 0.00%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNR 2011-163 WA V/R 12/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-163 CL WA V/R 5.83829000                       | CUSIP: 38378AS36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    162702 | PA      | $168513.57    | 0.00%             | 2038-12-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNR 2011-157 UY 3% 12/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2011-157 CL UY 3.00000000                           | CUSIP: 38378AXH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $909250.80    | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-59 WA V/R 08/20/38                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-59 CL WA V/R 5.57550000                        | CUSIP: 38378ERH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76941 | PA      | $79267.15     | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WA V/R 11/16/41                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WA V/R 4.52037000                       | CUSIP: 38378GPE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    143027 | PA      | $142598.37    | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WB V/R 09/16/42                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WB V/R 4.00173000                       | CUSIP: 38378GPF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79879 | PA      | $76736.85     | 0.00%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2012-141 WC V/R 01/20/42                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-141 CL WC V/R 3.75413000                       | CUSIP: 38378GPG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    117851 | PA      | $112730.06    | 0.00%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNR 2013-75 WA V/R 06/20/40                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-75 CL WA V/R 5.07735000                        | CUSIP: 38378J4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49461 | PA      | $50777.45     | 0.00%             | 2040-06-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNR 2013-26 AK V/R 09/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-26 CL AK V/R 4.70223000                        | CUSIP: 38378JBH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     99122 | PA      | $100494.64    | 0.00%             | 2041-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNR 2013-54 WA V/R 11/20/42                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-54 CL WA V/R 4.87472000                        | CUSIP: 38378MRL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80636 | PA      | $82448.27     | 0.00%             | 2042-11-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNR 2014-6 W V/R 01/20/39                              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-6 CL W V/R 5.27680000                          | CUSIP: 38378PS33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212002 | PA      | $219358.54    | 0.00%             | 2039-01-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNR 2013-91 WA V/R 04/20/43                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-91 CL WA V/R 4.41142000                        | CUSIP: 38378TTL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108749 | PA      | $105152.93    | 0.00%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNR 2014-H15 FA V/R 07/20/64                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H15 CL FA V/R 4.61411000                       | CUSIP: 38378U8D2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    459445 | PA      | $459553.60    | 0.00%             | 2064-07-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2014-41 W V/R 10/20/42                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-41 CL W V/R 4.60523000                         | CUSIP: 38379AX39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    364174 | PA      | $366639.47    | 0.00%             | 2042-10-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNR 2014-188 W V/R 10/20/41                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-188 CL W V/R 4.54165000                        | CUSIP: 38379HTQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    185440 | PA      | $187341.72    | 0.00%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNR 2015-137 WA V/R 01/20/38                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-137 CL WA V/R 5.55250000                       | CUSIP: 38379QAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206174 | PA      | $214185.70    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNR 2015-144 HP 3% 10/20/45                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-144 CL HP 3.00000000                           | CUSIP: 38379QZV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    455704 | PA      | $416635.64    | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-139 BA 3% 09/20/47                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-139 CL BA 3.00000000                           | CUSIP: 38380HES7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    621424 | PA      | $567719.53    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-H03 LF V/R 02/20/71                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H03 CL LF V/R 5.39411000                       | CUSIP: 38380QZT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11270069 | PA      | $11497647.79  | 0.05%             | 2071-02-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNR 2018-34 DL 3.5% 09/20/46                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-34 CL DL 3.50000000                            | CUSIP: 38380VMJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1036256 | PA      | $1024249.60   | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-121 KS V/R 09/20/48                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-121 CL KS V/R 0.01162000                       | CUSIP: 38380YH24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4040127 | PA      | $98776.26     | 0.00%             | 2048-09-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNR 2018-151 SL V/R 11/20/48                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-151 CL SL V/R 0.00000000                       | CUSIP: 38381AE85<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3100601 | PA      | $86340.27     | 0.00%             | 2048-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2018-160 PA 3.5% 07/20/46                          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-160 CL PA 3.50000000                           | CUSIP: 38381AH74<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    423706 | PA      | $419901.33    | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-148 DS V/R 10/20/48                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-148 CL DS V/R 0.00000000                       | CUSIP: 38381AHP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5128925 | PA      | $129474.06    | 0.00%             | 2048-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2019-92 S V/R 07/20/49                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-92 CL S V/R 0.00000000                         | CUSIP: 38381WV62<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16481828 | PA      | $176091.85    | 0.00%             | 2049-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2019-99 SA V/R 08/20/49                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-99 CL SA V/R 0.00000000                        | CUSIP: 38381XUA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8223389 | PA      | $173006.12    | 0.00%             | 2049-08-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-30 PT V/R 03/20/48                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-30 CL PT V/R 4.76090000                        | CUSIP: 38382DF20<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4596257 | PA      | $4676730.41   | 0.02%             | 2048-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNR 2020-126 BI 3% 08/20/50                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-126 CL BI 3.00000000                           | CUSIP: 38382HVK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6948693 | PA      | $1158458.38   | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-114 TI 3% 06/20/51                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-114 CL TI 3.00000000                           | CUSIP: 38382URT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6733849 | PA      | $920814.84    | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-165 ST V/R 01/20/50                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-165 CL ST V/R 0.00000000                       | CUSIP: 38383ABJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2153606 | PA      | $920.45       | 0.00%             | 2050-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-68 SP V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-68 CL SP V/R 0.00000000                        | CUSIP: 38383PB42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4322113 | PA      | $136331.11    | 0.00%             | 2052-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-51 SC V/R 03/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-51 CL SC V/R 0.00000000                        | CUSIP: 38383PNA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16109682 | PA      | $298539.80    | 0.00%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-46 S V/R 03/20/52                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-46 CL S V/R 0.00000000                         | CUSIP: 38383PRN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3562645 | PA      | $66706.25     | 0.00%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-93 GS V/R 05/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-93 CL GS V/R 0.00000000                        | CUSIP: 38383R3S4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3377310 | PA      | $66211.49     | 0.00%             | 2052-05-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-93 IO 3% 08/20/51                             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-93 CL IO 3.00000000                            | CUSIP: 38383R4A2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23065233 | PA      | $2472726.78   | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-66 SB V/R 04/20/52                            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-66 CL SB V/R 0.00000000                        | CUSIP: 38383RFV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5266593 | PA      | $142204.33    | 0.00%             | 2052-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-126 CS V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-126 CL CS V/R 0.00000000                       | CUSIP: 38383T2H5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19562716 | PA      | $408207.37    | 0.00%             | 2052-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNR 2022-125 CS V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-125 CL CS V/R 2.07235000                       | CUSIP: 38383TWK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5747593 | PA      | $467840.87    | 0.00%             | 2052-07-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNR 2022-133 SA V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-133 CL SA V/R 0.03235000                       | CUSIP: 38383TYC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7235958 | PA      | $178745.52    | 0.00%             | 2052-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNR 2022-129 SA V/R 07/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-129 CL SA V/R 0.03235000                       | CUSIP: 38383UCS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38729058 | PA      | $887902.39    | 0.00%             | 2052-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNR 2022-178 SA V/R 10/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-178 CL SA V/R 0.98235000                       | CUSIP: 38383UT59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15782430 | PA      | $731824.97    | 0.00%             | 2052-10-20      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GNR 2022-148 DS V/R 08/20/52                           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-148 CL DS V/R 0.00000000                       | CUSIP: 38383YAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7550672 | PA      | $134170.16    | 0.00%             | 2052-08-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAG 1.512% 04/15/26                         | GRAPHIC PACKAGING INTERN REGD 144A P/P 1.51200000                                                | CUSIP: 38869PAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11485000 | PA      | $11380202.48  | 0.05%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| GREAT-WEST LIF 4.581% 05/17/48                         | GREAT-WEST LIFECO FIN 18 REGD 144A P/P 4.58100000                                                | CUSIP: 39138QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $561248.58    | 0.00%             | 2048-05-17      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPEL 6.51% 02/23/42                         | GREENSAIF PIPELINES BIDC REGD 144A P/P 6.51000000                                                | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |   2235000 | PA      | $2436854.99   | 0.01%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| GSKY 2025-2A A 4.93% 06/25/60                          | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 SER 2025-2A CL A2 REGD 144A P/P 4.93000000         | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1877154 | PA      | $1884090.39   | 0.01%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GSKY 2025-2A A 5.02% 06/25/60                          | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 SER 2025-2A CL A3 REGD 144A P/P 5.02000000         | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10485000 | PA      | $10638049.55  | 0.04%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GRUPO TELEVISA 6.125% 01/31/46                         | GRUPO TELEVISA SAB REGD 6.12500000                                                               | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    220000 | PA      | $166878.38    | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SAB  4.7% 11/10/47                         | GRUPO BIMBO SAB DE CV REGD 144A P/P 4.70000000                                                   | CUSIP: 40052VAE4<br>LEI: 5493000RIXURZEBFEV60 | Long             | DBT              | CORP              | MX        |   4500000 | PA      | $3873970.35   | 0.02%             | 2047-11-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE I 4.85% 01/24/77                         | GUARDIAN LIFE INSURANCE REGD 144A P/P 4.85000000                                                 | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |   5610000 | PA      | $4598100.96   | 0.02%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE  4.327% 10/06/30                         | GUARDIAN LIFE GLOB FUND REGD 144A P/P 4.32700000                                                 | CUSIP: 40139LBN2<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10018348.90  | 0.04%             | 2030-10-06      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATUR 5.6% 07/23/35                         | GULFSTREAM NATURAL GAS REGD 144A P/P 5.60000000                                                  | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8150000 | PA      | $8353048.69   | 0.03%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC 4.5% 02/15/27                                  | HCA INC REGD 4.50000000                                                                          | CUSIP: 404119BU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7015234.59   | 0.03%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.5% 06/15/47                                  | HCA INC REGD 5.50000000                                                                          | CUSIP: 404119BV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1847491.21   | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.875% 02/01/29                                | HCA INC REGD 5.87500000                                                                          | CUSIP: 404119BW8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4168391.72   | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.125% 06/15/39                                | HCA INC REGD 5.12500000                                                                          | CUSIP: 404119BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1656192.63   | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA INC 3.5% 07/15/51                                  | HCA INC REGD 3.50000000                                                                          | CUSIP: 404119CB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    116000 | PA      | $78625.20     | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC 3.625% 03/15/32                                | HCA INC REGD 3.62500000                                                                          | CUSIP: 404119CK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4580000 | PA      | $4325948.37   | 0.02%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA INC 6.1% 04/01/64                                  | HCA INC REGD 6.10000000                                                                          | CUSIP: 404119CW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5943639.24   | 0.02%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.75% 03/01/35                                 | HCA INC REGD 5.75000000                                                                          | CUSIP: 404119DB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2713239.21   | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC 4.9% 11/15/35                                  | HCA INC REGD 4.90000000                                                                          | CUSIP: 404119DF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2643353.76   | 0.01%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC 5.95% 09/15/54                                 | HCA INC REGD 5.95000000                                                                          | CUSIP: 404121AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1284266.13   | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LL 3.5% 07/15/29                         | HEALTHPEAK OP LLC REGD 3.50000000                                                                | CUSIP: 40414LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1742000 | PA      | $1693151.85   | 0.01%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO 2016-4A A 3.57% 09/20/37                          | HERO FUNDING TRUST 2016-4A SER 2016-4A CL A1 REGD 144A P/P 3.57000000                            | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    640094 | PA      | $605409.99    | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/22/30                         | HSBC HOLDINGS PLC REGD V/R 3.97300000                                                            | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $987845.33    | 0.00%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 08/18/31                         | HSBC HOLDINGS PLC REGD V/R 2.35700000                                                            | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2580000 | PA      | $2346619.42   | 0.01%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 09/22/28                         | HSBC HOLDINGS PLC REGD V/R 2.01300000                                                            | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3585000 | PA      | $3459969.29   | 0.01%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 08/17/29                         | HSBC HOLDINGS PLC REGD V/R 2.20600000                                                            | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2075000 | PA      | $1973478.59   | 0.01%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/22/32                         | HSBC HOLDINGS PLC REGD V/R 2.87100000                                                            | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2095000 | PA      | $1902990.90   | 0.01%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/09/44                         | HSBC HOLDINGS PLC REGD V/R 6.33200000                                                            | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1060000 | PA      | $1161019.09   | 0.00%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/19/28                         | HSBC HOLDINGS PLC REGD V/R 5.13000000                                                            | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10185158.10  | 0.04%             | 2028-11-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/19/30                         | HSBC HOLDINGS PLC REGD V/R 5.28600000                                                            | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8925000 | PA      | $9208632.75   | 0.04%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/03/29                         | HSBC HOLDINGS PLC REGD V/R 4.89900000                                                            | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $4058384.84   | 0.02%             | 2029-03-03      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/03/31                         | HSBC HOLDINGS PLC REGD V/R 5.13000000                                                            | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1220000 | PA      | $1250310.72   | 0.00%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/13/31                         | HSBC HOLDINGS PLC REGD V/R 5.24000000                                                            | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  16710000 | PA      | $17215924.99  | 0.07%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/06/31                         | HSBC HOLDINGS PLC REGD V/R 4.61900000                                                            | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4650000 | PA      | $4664338.98   | 0.02%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/06/36                         | HSBC HOLDINGS PLC REGD V/R 5.13300000                                                            | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2855000 | PA      | $2862808.45   | 0.01%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LE 4.9% 09/11/28                         | HPS CORPORATE LENDING FU REGD 144A P/P 4.90000000                                                | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   3735000 | PA      | $3715643.25   | 0.01%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE L 5.45% 11/15/30                         | HPS CORPORATE LENDING FU REGD 144A P/P 5.45000000                                                | CUSIP: 40440VAS4<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   3828000 | PA      | $3816763.60   | 0.02%             | 2030-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MER 2.675% 09/01/41                         | HACKENSACK MERIDIAN HLTH REGD SER 2020 2.67500000                                                | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   3780000 | PA      | $2740925.55   | 0.01%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MER 2.875% 09/01/50                         | HACKENSACK MERIDIAN HLTH REGD SER 2020 2.87500000                                                | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1289219.42   | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HINTT 2024-A A 5.49% 03/15/43                          | HINNT 2024-A LLC SER 2024-A CL A REGD 144A P/P 5.49000000                                        | CUSIP: 40472QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2730660 | PA      | $2782983.93   | 0.01%             | 2043-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 7.6% 08/15/96                           | HALLIBURTON CO REGD P/P 7.60000000                                                               | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    258000 | PA      | $295399.64    | 0.00%             | 2096-08-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 4.75% 08/01/43                          | HALLIBURTON CO REGD 4.75000000                                                                   | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    565000 | PA      | $497637.86    | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO 4.85% 11/15/35                          | HALLIBURTON CO REGD 4.85000000                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197332.99    | 0.00%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANC 2.5% 09/01/30                         | HANOVER INSURANCE GROUP REGD 2.50000000                                                          | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |   5610000 | PA      | $5102043.40   | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH  4.854% 04/27/35                         | L3HARRIS TECH INC REGD 4.85400000                                                                | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997421.76    | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HARTFORD INSUR G 4.3% 04/15/43                         | HARTFORD INSUR GRP INC/T REGD 4.30000000                                                         | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $928225.99    | 0.00%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HARTFORD HEALT 3.447% 07/01/54                         | HARTFORD HEALTHCARE CORP REGD 3.44700000                                                         | CUSIP: 41652PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3370000 | PA      | $2392434.61   | 0.01%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC 6.5% 03/15/41                         | WELLTOWER OP LLC REGD 6.50000000                                                                 | CUSIP: 42217KAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $779828.36    | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HELMERICH & PAY 4.85% 12/01/29                         | HELMERICH & PAYNE INC REGD 4.85000000                                                            | CUSIP: 423452AM3<br>LEI: 254900NAOGHJ88RZ4C73 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1509781.31   | 0.01%             | 2029-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HENNEMAN TRUST 6.58% 05/15/55                          | HENNEMAN TRUST REGD 144A P/P 6.58000000                                                          | CUSIP: 425911AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5206151.45   | 0.02%             | 2055-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| HERO 2016-2A A 3.75% 09/20/36                          | HERO FUNDING TRUST 2016-2 SER 2016-2A CL A REGD 144A P/P 3.75000000                              | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    442218 | PA      | $424815.46    | 0.00%             | 2041-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HERO 2016-3A A 3.08% 09/20/36                          | HERO FUNDING TRUST 2016-3 SER 2016-3A CL A1 REGD 144A P/P 3.08000000                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    185804 | PA      | $174168.32    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HERO 2017-3A A 3.95% 09/20/39                          | HERO FUNDING 2017-3 SER 2017-3A CL A2 REGD 144A P/P 3.95000000                                   | CUSIP: 42771AAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    871992 | PA      | $818839.68    | 0.00%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO 2017-2A A 3.28% 09/20/39                          | HERO FUNDING TRUST 2017-2 SER 2017-2A CL A1 REGD 144A P/P 3.28000000                             | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1086714 | PA      | $999255.67    | 0.00%             | 2048-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| HERO 2017-1A A 4.46% 09/20/41                          | HERO FUNDING TRUST 2017-1A SER 2017-1A CL A2 REGD 144A P/P 4.46000000                            | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1265053 | PA      | $1207609.95   | 0.00%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| HERTZ 2022-2A  2.33% 06/25/27                          | HERTZ VEHICLE FINANCING LLC SER 2022-2A CL A REGD 144A P/P 2.33000000                            | CUSIP: 42806MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  24903000 | PA      | $24323484.78  | 0.10%             | 2028-06-26      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| HESS CORP 5.6% 02/15/41                                | HESS CORP REGD 5.60000000                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |  11405000 | PA      | $11783904.21  | 0.05%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO 5.6% 10/15/54                         | HP ENTERPRISE CO REGD 5.60000000                                                                 | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   3369000 | PA      | $3121374.93   | 0.01%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE C 4.05% 09/15/27                         | HP ENTERPRISE CO REGD 4.05000000                                                                 | CUSIP: 42824CCB3<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   5068000 | PA      | $5068633.91   | 0.02%             | 2027-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| HIGH STREET FD 4.682% 02/15/48                         | HIGH STREET FDG TRUST II REGD 144A P/P 4.68200000                                                | CUSIP: 42981DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4540139.99   | 0.02%             | 2048-02-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| HGVT 2022-1D B 4.1% 06/20/34                           | HILTON GRAND VACATIONS TRUST 2022-1D SER 2022-1D CL B REGD 144A P/P 4.10000000                   | CUSIP: 43283BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    944486 | PA      | $940982.88    | 0.00%             | 2034-06-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| HGVT 2025-3EXT  4.9% 10/25/44                          | HILTON GRAND VACATIONS TRUST 2025-3EXT SER 2025-3EXT CL B REGD 144A P/P 4.90000000               | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9225000 | PA      | $9255301.36   | 0.04%             | 2044-10-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HINTT 2025-A B 5.45% 01/15/33                          | HINNT 2025-A LLC SER 2025-A CL B REGD 144A P/P 5.45000000                                        | CUSIP: 433403AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2427100 | PA      | $2470480.90   | 0.01%             | 2044-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE  4.95% 04/07/30                         | AMRIZE FINANCE US LLC REGD SER WI 4.95000000                                                     | CUSIP: 43475RAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4440000 | PA      | $4539823.77   | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE U 5.4% 04/07/35                         | AMRIZE FINANCE US LLC REGD SER WI 5.40000000                                                     | CUSIP: 43475RAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5156219.45   | 0.02%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC 4.4% 03/15/45                           | HOME DEPOT INC REGD 4.40000000                                                                   | CUSIP: 437076BF8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    268000 | PA      | $232664.03    | 0.00%             | 2045-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC 3.625% 04/15/52                         | HOME DEPOT INC REGD 3.62500000                                                                   | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $1897631.16   | 0.01%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HPA 2021-3 A 2.2% 01/17/29                             | HOME PARTNERS OF AMERICA 2021-3 TRUST SER 2021-3 CL A REGD 144A P/P 2.20000000                   | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3392992 | PA      | $3196447.25   | 0.01%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HPA 2021-3 E1 3.198% 01/17/29                          | HOME PARTNERS OF AMERICA 2021-3 TRUST SER 2021-3 CL E1 REGD 144A P/P 3.19800000                  | CUSIP: 43730XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5166340 | PA      | $4842991.30   | 0.02%             | 2041-01-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HPA 2021-2 E2 2.952% 12/17/26                          | HOME PARTNERS OF AMERICA 2021-2 TRUST SER 2021-2 CL E2 REGD 144A P/P 2.95200000                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6236722 | PA      | $6085119.38   | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HPA 2021-2 A 1.901% 12/17/26                           | HOME PARTNERS OF AMERICA 2021-2 TRUST SER 2021-2 CL A REGD 144A P/P 1.90100000                   | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5195183 | PA      | $5086127.69   | 0.02%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTER 5.25% 03/01/54                         | HONEYWELL INTERNATIONAL REGD 5.25000000                                                          | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2589563.48   | 0.01%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & R 4.25% 12/15/28                         | HOST HOTELS & RESORTS LP REGD 4.25000000                                                         | CUSIP: 44107TBE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2502450.63   | 0.01%             | 2028-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX UTI 3.828% 05/15/28                         | HOUSTON TX UTILITY SYS REVENUE REGD N/C B/E 3.82800000                                           | CUSIP: 4424355B5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1385000 | PA      | $1388263.75   | 0.01%             | 2028-05-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| HUMANA INC 5.375% 04/15/31                             | HUMANA INC REGD 5.37500000                                                                       | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |  21075000 | PA      | $21789120.26  | 0.09%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUNGARY 5.375% 09/26/30                                | HUNGARY REGD 144A P/P 5.37500000                                                                 | CUSIP: 445545AV8<br>LEI: N/A                  | Long             | DBT              | USGA              | HU        |   5275000 | PA      | $5417196.33   | 0.02%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUNT 2024-1A A 5.14% 08/15/29                          | HUNTINGTON AUTO TRUST 2024-1 SER 2024-1A CL A4 REGD 144A P/P 5.14000000                          | CUSIP: 446144AG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11500000 | PA      | $11719593.65  | 0.05%             | 2029-08-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSH V/R 08/21/29                         | HUNTINGTON BANCSHARES REGD V/R 6.20800000                                                        | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   2864000 | PA      | $3003774.17   | 0.01%             | 2029-08-21      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSH V/R 02/02/35                         | HUNTINGTON BANCSHARES REGD V/R 5.70900000                                                        | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   4765000 | PA      | $4977484.07   | 0.02%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSH V/R 01/15/31                         | HUNTINGTON BANCSHARES REGD V/R 5.27200000                                                        | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   5880000 | PA      | $6050237.94   | 0.02%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CO 5.75% 01/30/27                         | HYATT HOTELS CORP REGD 5.75000000                                                                | CUSIP: 448579AQ5<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2406396.37   | 0.01%             | 2027-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AM 3% 02/10/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.00000000                                                 | CUSIP: 44891ABG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $667375.15    | 0.00%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITA 2.375% 10/15/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 2.37500000                                                 | CUSIP: 44891ABP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1164242.65   | 0.00%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.3% 01/08/26                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.30000000                                             | CUSIP: 44891ABS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1004521.33   | 0.00%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.8% 01/10/28                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.80000000                                             | CUSIP: 44891ABT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2069950.61   | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  1.5% 06/15/26                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 1.50000000                                             | CUSIP: 44891ABW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2189242.54   | 0.01%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL 5.68% 06/26/28                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 5.68000000                                                 | CUSIP: 44891ACH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5160930.00   | 0.02%             | 2028-06-26      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL 4.85% 03/25/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 4.85000000                                                 | CUSIP: 44891ADP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11065000 | PA      | $11162519.94  | 0.04%             | 2027-03-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL 5.15% 03/27/30                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 5.15000000                                                 | CUSIP: 44891ADQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10244376.50  | 0.04%             | 2030-03-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITA 4.875% 06/23/27                         | HYUNDAI CAPITAL AMERICA REGD 144A P/P 4.87500000                                                 | CUSIP: 44891ADU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3720000 | PA      | $3760000.16   | 0.01%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HART 2023-C A4 5.55% 10/15/27                          | HYUNDAI AUTO RECEIVABLES TRUST 2023-C SER 2023-C CL A4 REGD 5.55000000                           | CUSIP: 44918CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2326000 | PA      | $2382892.10   | 0.01%             | 2029-12-17      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HALST 2025-B A 4.53% 08/15/27                          | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2 SER 2025-B CL A3 REGD 144A P/P 4.53000000              | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8493000 | PA      | $8569689.24   | 0.03%             | 2028-04-17      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| HALST 2025-C A 4.36% 12/15/27                          | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2 SER 2025-C CL A3 REGD 144A P/P 4.36000000              | CUSIP: 44935GAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11580000 | PA      | $11674224.14  | 0.05%             | 2028-07-17      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| HALST 2025-C A 4.38% 01/18/28                          | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2 SER 2025-C CL A4 REGD 144A P/P 4.38000000              | CUSIP: 44935GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6050000 | PA      | $6093404.52   | 0.02%             | 2029-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMEN 5.849% 05/08/29                         | ICON INVESTMENTS SIX DAC REGD 5.84900000                                                         | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   6925000 | PA      | $7227065.73   | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| IDEX CORP 4.95% 09/01/29                               | IDEX CORP REGD 4.95000000                                                                        | CUSIP: 45167RAJ3<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |   4435000 | PA      | $4523455.10   | 0.02%             | 2029-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IDENTITY DIGITA 6.793% 3/20/65                         | IDENTITY DIGITAL CAP LLC       144A 6.79300000                                                   | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10105000.00  | 0.04%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST 5.1% 06/01/33                              | ILLINOIS ST REGD N/C B/E 5.10000000                                                              | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  32271226 | PA      | $33073801.21  | 0.13%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST TO 5.851% 12/01/34                         | ILLINOIS ST TOLL HIGHWAY AUTH REGD N/C B/E 5.85100000                                            | CUSIP: 452252FK0<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |   7500000 | PA      | $7856088.75   | 0.03%             | 2034-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC 4.75% 12/12/30                            | ILLUMINA INC REGD 4.75000000                                                                     | CUSIP: 452327AR0<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |  13195000 | PA      | $13321035.61  | 0.05%             | 2030-12-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IMM 2004-4 2A2 S/UP 09/25/34                           | IMPAC CMB TRUST SERIES 2004-4 SER 2004-4 CL 2A2 S/UP REGD 5.74900000                             | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3733 | PA      | $4284.79      | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| IMM 2005-4 2A1 V/R 05/25/35                            | IMPAC CMB TRUST SERIES 2005-4 SER 2005-4 CL 2A1 V/R REGD 4.44621000                              | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39225 | PA      | $38091.24     | 0.00%             | 2035-05-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| IMSA 2003-2 A1 5.5% 08/25/33                           | IMPAC SECURED ASSETS CMN OWNER TRUST SER 2003-2 CL A1 REGD 5.50000000                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29073 | PA      | $21848.72     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMSA 2006-1 2A V/R 05/25/36__                          | IMPAC SECURED ASSETS CMN OWNER  TRUST 2006-1 2A1 V/R REGD__ 4.54621000                           | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42470 | PA      | $40271.16     | 0.00%             | 2036-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS  5.5% 02/01/30                         | IMPERIAL BRANDS FIN PLC REGD 144A P/P MTN 5.50000000                                             | CUSIP: 45262BAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5815000 | PA      | $6023763.27   | 0.02%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGA 3.25% 05/01/51                         | INDIANA MICHIGAN POWER REGD 3.25000000                                                           | CUSIP: 454889AU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1041802.91   | 0.00%             | 2051-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RAST 2004-A7 A6 5.5% 10/25/34                          | RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A7 SER 2004-A7 CL A6 REGD 5.50000000                 | CUSIP: 45660NV51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    942393 | PA      | $914412.96    | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 04/01/27                              | ING GROEP NV REGD V/R SER VAR 1.72600000                                                         | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    705000 | PA      | $700594.04    | 0.00%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 09/11/27                              | ING GROEP NV REGD V/R 6.08300000                                                                 | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    923000 | PA      | $935291.72    | 0.00%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 03/19/35                              | ING GROEP NV REGD V/R 5.55000000                                                                 | CUSIP: 456837BM4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $5200573.95   | 0.02%             | 2035-03-19      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 03/25/29                              | ING GROEP NV REGD V/R 4.85800000                                                                 | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   4585000 | PA      | $4653594.44   | 0.02%             | 2029-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 03/25/31                              | ING GROEP NV REGD V/R 5.06600000                                                                 | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   5400000 | PA      | $5532733.08   | 0.02%             | 2031-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV V/R 03/25/36                              | ING GROEP NV REGD V/R 5.52500000                                                                 | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   3150000 | PA      | $3271282.09   | 0.01%             | 2036-03-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 3.734% 12/08/47                             | INTEL CORP REGD SER WI 3.73400000                                                                | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $903723.57    | 0.00%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 3.25% 11/15/49                              | INTEL CORP REGD 3.25000000                                                                       | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    885000 | PA      | $565375.01    | 0.00%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 3.05% 08/12/51                              | INTEL CORP REGD 3.05000000                                                                       | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    885000 | PA      | $544214.93    | 0.00%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 4.9% 08/05/52                               | INTEL CORP REGD 4.90000000                                                                       | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |  10534000 | PA      | $8726021.56   | 0.03%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 5.2% 02/10/33                               | INTEL CORP REGD 5.20000000                                                                       | CUSIP: 458140CG3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   3533000 | PA      | $3599715.90   | 0.01%             | 2033-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INTEL CORP 5.7% 02/10/53                               | INTEL CORP REGD 5.70000000                                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2475000 | PA      | $2304119.71   | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FR 2.3% 11/01/30                         | INTL FLAVOR & FRAGRANCES REGD 144A P/P 2.30000000                                                | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   5045000 | PA      | $4552114.30   | 0.02%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOL 3.875% 01/12/28                         | INTESA SANPAOLO SPA REGD 144A P/P 3.87500000                                                     | CUSIP: 46115HBD8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3700000 | PA      | $3672120.43   | 0.01%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAE 5.375% 02/19/30                         | STATE OF ISRAEL REGD SER 5Y 5.37500000                                                           | CUSIP: 46514Y8A8<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |   8572000 | PA      | $8866182.30   | 0.04%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS COR 5.3% 07/01/43                         | ITC HOLDINGS CORP REGD 5.30000000                                                                | CUSIP: 465685AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1453609.44   | 0.01%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CO 2.95% 05/14/30                         | ITC HOLDINGS CORP REGD 144A P/P 2.95000000                                                       | CUSIP: 465685AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    890000 | PA      | $840064.09    | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CO 5.65% 05/09/34                         | ITC HOLDINGS CORP REGD 144A P/P 5.65000000                                                       | CUSIP: 465685AT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6420000 | PA      | $6691031.02   | 0.03%             | 2034-05-09      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FO 3.75% 12/01/31                         | JBS USA HOLD/FOOD/LUX CO REGD 3.75000000                                                         | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2700000 | PA      | $2563954.21   | 0.01%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/ 3% 05/15/32                         | JBS USA HOLD/FOOD/LUX CO REGD 3.00000000                                                         | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   7450000 | PA      | $6687513.51   | 0.03%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/F 3.625% 01/15/32                         | JBS USA HOLD/FOOD/LUX CO REGD 3.62500000                                                         | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   4875000 | PA      | $4561890.21   | 0.02%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOO 6.5% 12/01/52                         | JBS USA HOLD/FOOD/LUX CO REGD 6.50000000                                                         | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1155000 | PA      | $1190724.15   | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FO 5.75% 04/01/33                         | JBS USA HOLD/FOOD/LUX CO REGD 5.75000000                                                         | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   7500000 | PA      | $7835347.50   | 0.03%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMCC 2019-BKWD  V/R 09/15/22                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-BKWD CL A V/R REGD 144A P/P 5.36548000           | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3553350 | PA      | $3450079.99   | 0.01%             | 2029-09-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-HE2 A V/R 11/20/55                          | J.P. MORGAN MORTGAGE TRUST 2025-HE2 SER 2025-HE2 CL A1 V/R REGD 144A P/P 5.15829000              | CUSIP: 46593XAA1<br>LEI: 529900TXCH9G2RM4XB25 | Long             | ABS-CBDO         | CORP              | US        |   6089021 | PA      | $6098267.06   | 0.02%             | 2055-11-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JPMCC 2017-JP 3.194% 06/15/27                          | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7 SER 2017-JP7 CL A4 REGD 3.19460000           | CUSIP: 465968AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19691708.00  | 0.08%             | 2050-09-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| JPMMT 2004-A4 1A V/R 09/25/34                          | JP MORGAN MORTGAGE TRUST 2004-A4 SER 2004-A4 CL 1A1 V/R REGD 6.74245000                          | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       775 | PA      | $759.02       | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JPMMT 2004-S1 1A7 5% 09/25/34                          | JP MORGAN MORTGAGE TRUST 2004-S1 SER 2004-S1 CL 1A7 REGD 5.00000000                              | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2143 | PA      | $2051.13      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A2 4A V/R 08/25/34                          | JP MORGAN MORTGAGE TRUST 2006-A2 SER 2006-A2 CL 4A1 V/R REGD 6.45203000                          | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108375 | PA      | $110238.30    | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A2 5A3 V/R 11/25/33                         | JP MORGAN MORTGAGE TRUST SERIES 2006-A2 CLASS 5A3 REGD VARIABLE 6.30506000                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32736 | PA      | $32539.80     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMMT 2005-A1 3A V/R 02/25/35                          | JP MORGAN MORTGAGE TRUST 2005-A1 SER 2005-A1 CL 3A4 V/R REGD 5.43826000                          | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13840 | PA      | $13337.62     | 0.00%             | 2035-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A3 6A V/R 08/25/34                          | JP MORGAN MORTGAGE TRUST 2006-A3 SER 2006-A3 CL 6A1 V/R REGD 4.95145000                          | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10887 | PA      | $10884.17     | 0.00%             | 2034-08-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMMT 2006-A7 2A V/R 01/25/37                          | JP MORGAN MORTGAGE TRUST 2006-A7 SER 2006-A7 CL 2A4R V/R REGD 4.39668000                         | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34256 | PA      | $27451.05     | 0.00%             | 2037-01-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A1 5A V/R 07/25/35                          | JP MORGAN MORTGAGE TRUST 2007-A1 SER 2007-A1 CL 5A1 V/R REGD 6.03254000                          | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9893 | PA      | $9846.78      | 0.00%             | 2035-07-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A1  V/R 07/25/35                            | JPMMT 2007-A1  V/R 07/25/35 6.03254000                                                           | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150914 | PA      | $150204.55    | 0.00%             | 2035-07-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| JPMMT 2007-A2 2A V/R 04/25/37                          | JP MORGAN MORTGAGE TRUST 2007-A2 SER 2007-A2 CL 2A3 V/R REGD 5.41925000                          | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78678 | PA      | $58515.65     | 0.00%             | 2037-04-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| JPMCC 2007-LD12  V/R 09/15/27                          | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST  SER 2007-LD12 CL X V/R REGD 0.00000000     | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     92663 | PA      | $0.93         | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/23/29                         | JPMORGAN CHASE & CO REGD V/R 4.00500000                                                          | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1153886.80   | 0.00%             | 2029-04-23      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 12/05/29                         | JPMORGAN CHASE & CO REGD V/R 4.45200000                                                          | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9660000 | PA      | $9759533.84   | 0.04%             | 2029-12-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 02/04/27                         | JPMORGAN CHASE & CO REGD V/R 1.04000000                                                          | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1944597.82   | 0.01%             | 2027-02-04      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/27                         | JPMORGAN CHASE & CO REGD V/R 1.57800000                                                          | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4962498.95   | 0.02%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/32                         | JPMORGAN CHASE & CO REGD V/R 2.58000000                                                          | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6390000 | PA      | $5840791.64   | 0.02%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 06/01/29                         | JPMORGAN CHASE & CO REGD V/R 2.06900000                                                          | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $3022275.72   | 0.01%             | 2029-06-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 09/22/27                         | JPMORGAN CHASE & CO REGD V/R SER FXD 1.47000000                                                  | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  15960000 | PA      | $15668743.41  | 0.06%             | 2027-09-22      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 01/25/33                         | JPMORGAN CHASE & CO REGD V/R 2.96300000                                                          | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10500000 | PA      | $9635642.84   | 0.04%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 02/24/28                         | JPMORGAN CHASE & CO REGD V/R SER VAR 2.94700000                                                  | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2568289.41   | 0.01%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/26/28                         | JPMORGAN CHASE & CO REGD V/R 4.32300000                                                          | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1995000 | PA      | $2003117.81   | 0.01%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 06/01/34                         | JPMORGAN CHASE & CO REGD V/R 5.35000000                                                          | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3740434.06   | 0.01%             | 2034-06-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 07/24/29                         | JPMORGAN CHASE & CO REGD V/R 5.29900000                                                          | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12680000 | PA      | $13067379.71  | 0.05%             | 2029-07-24      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/30                         | JPMORGAN CHASE & CO REGD V/R 5.58100000                                                          | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12476000 | PA      | $13015302.92  | 0.05%             | 2030-04-22      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 04/22/35                         | JPMORGAN CHASE & CO REGD V/R 5.76600000                                                          | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3196776.36   | 0.01%             | 2035-04-22      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 07/22/28                         | JPMORGAN CHASE & CO REGD V/R 4.97900000                                                          | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5074481.95   | 0.02%             | 2028-07-22      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 10/22/28                         | JPMORGAN CHASE & CO REGD V/R 4.50500000                                                          | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6058802.40   | 0.02%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 01/24/29                         | JPMORGAN CHASE & CO REGD V/R 4.91500000                                                          | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3055769.94   | 0.01%             | 2029-01-24      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 07/23/36                         | JPMORGAN CHASE & CO REGD V/R 5.57600000                                                          | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4985000 | PA      | $5156727.67   | 0.02%             | 2036-07-23      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMCC 2017-JP 3.456% 12/15/26                          | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP5 SER 2017-JP5 CL A4 REGD 3.45690000           | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2277390 | PA      | $2265613.39   | 0.01%             | 2050-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIF 4.9% 01/13/27                         | JACKSON NATL LIFE GLOBAL REGD 144A P/P 4.90000000                                                | CUSIP: 46849LVC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6048334.56   | 0.02%             | 2027-01-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LI 4.55% 09/09/30                         | JACKSON NATL LIFE GLOBAL REGD 144A P/P 4.55000000                                                | CUSIP: 46849LVH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13850000 | PA      | $13796307.84  | 0.05%             | 2030-09-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FO 5.95% 04/20/35                         | JBS USA SARL/FOOD/GRP REGD 144A P/P 5.95000000                                                   | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1156637.45   | 0.00%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/F 6.375% 02/25/55                         | JBS USA SARL/FOOD/GRP REGD 144A P/P 6.37500000                                                   | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2744794.43   | 0.01%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOO 5.5% 01/15/36                         | JBS USA HOLD/FOOD GRP/CO REGD 144A P/P 5.50000000                                                | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3566713.56   | 0.01%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FO 6.25% 03/01/56                         | JBS USA HOLD/FOOD GRP/CO REGD 144A P/P 6.25000000                                                | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5700000 | PA      | $5673104.78   | 0.02%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/F 6.375% 04/15/66                         | JBS USA HOLD/FOOD GRP/CO REGD 144A P/P 6.37500000                                                | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7683000 | PA      | $7649782.55   | 0.03%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FO 6.75% 03/15/34                         | JBS USA HOLD/FOOD/LUX CO REGD 6.75000000                                                         | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3176000 | PA      | $3508845.47   | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FO 7.25% 11/15/53                         | JBS USA HOLD/FOOD/LUX CO REGD 7.25000000                                                         | CUSIP: 47214BAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2635000 | PA      | $2949679.61   | 0.01%             | 2053-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN G 6.25% 01/15/36                         | JEFFERIES FIN GROUP INC REGD 6.25000000                                                          | CUSIP: 472319AC6<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    155000 | PA      | $164230.47    | 0.00%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN G 6.45% 06/08/27                         | JEFFERIES FIN GROUP INC REGD 6.45000000                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    428000 | PA      | $441620.52    | 0.00%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GR 6.2% 04/14/34                         | JEFFERIES FIN GROUP INC REGD 6.20000000                                                          | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5276981.15   | 0.02%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL  6.15% 06/01/37                         | JERSEY CENTRAL PWR & LT REGD 6.15000000                                                          | CUSIP: 476556CX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $432621.72    | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL P 5.1% 01/15/35                         | JERSEY CENTRAL PWR & LT REGD 5.10000000                                                          | CUSIP: 476556DF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    960000 | PA      | $970782.59    | 0.00%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL P 4.4% 01/15/31                         | JERSEY CENTRAL PWR & LT REGD 144A P/P 4.40000000                                                 | CUSIP: 476556DG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6023000 | PA      | $6001200.53   | 0.02%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS S/UP 07/02/64                         | JOHNSON CONTROLS INTL PL REGD S/UP SER * 4.95000000                                              | CUSIP: 478375AN8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    928000 | PA      | $800311.39    | 0.00%             | 2064-07-02      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JONAH 2022-1 A1 7.2% 07/10/28                          | JONAH ENERGY ABS I LLC SER 2022-1 CL A1 REGD 144A 7.20000000                                     | CUSIP: 47987EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4940891 | PA      | $5039017.24   | 0.02%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| JONAH 2024-1A 6.504% 08/10/39                          | JONAH ENERGY ABS II LLC SER 2024-1A CL A1 REGD 144A 6.50400000                                   | CUSIP: 479913AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7225678 | PA      | $7262529.03   | 0.03%             | 2039-08-10      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO V/R /PERP/                         | JPMORGAN CHASE & CO REGD V/R /PERP/ SER II 6.73025000                                            | CUSIP: 48128BAH4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4275000 | PA      | $4285623.38   | 0.02%             | 2174-10-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV V/R 01/19/29                              | KBC GROUP NV REGD V/R 144A P/P 5.79600000                                                        | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   3717000 | PA      | $3838503.41   | 0.02%             | 2029-01-19      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV V/R 10/16/30                              | KBC GROUP NV REGD V/R 144A P/P 4.93200000                                                        | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   3705000 | PA      | $3774313.73   | 0.02%             | 2030-10-16      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV V/R 09/23/31                              | KBC GROUP NV REGD V/R 144A P/P 4.45400000                                                        | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |  26713000 | PA      | $26644597.62  | 0.11%             | 2031-09-23      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| KSBA 2012-2 A V/R 08/25/38                             | KGS-ALPHA SBA COOF TRUST 2012-2 SER 2012-2 CL A V/R REGD 144A P/P 0.91020200                     | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    443471 | PA      | $6744.17      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| KSBA 2012-6 A V/R 05/25/39                             | KGS-ALPHA SBA COOF TRUST SER 2012-6 CL A V/R REGD 144A P/P 0.63045700                            | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    462201 | PA      | $5121.65      | 0.00%             | 2039-05-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| KLA CORP 3.3% 03/01/50                                 | KLA CORP REGD 3.30000000                                                                         | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1249562.95   | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KSBA 2014-2 A V/R 04/25/40                             | KGS-ALPHA SBA COOF TRUST 2014-2 SER 2014-2 CL A V/R REGD 144A P/P 2.49169600                     | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85066 | PA      | $4869.87      | 0.00%             | 2040-04-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| KKR 11 AR V/R 01/15/31                                 | KKR CLO 11 LTD SER 11 CL AR V/R REGD 144A P/P 5.34615000                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1360065 | PA      | $1359930.22   | 0.01%             | 2031-01-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| KKR 2024-54A A V/R 01/15/38                            | KKR CLO 54 LTD SER 2024-54A CL A V/R REGD 144A P/P 5.22454000                                    | CUSIP: 48256VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11500000 | PA      | $11507981.00  | 0.05%             | 2038-01-15      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO 4.2% 03/15/48                             | EVERGY METRO REGD 4.20000000                                                                     | CUSIP: 485134BR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $408629.41    | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KEYCORP V/R 06/01/33                                   | KEYCORP REGD V/R MTN 4.78900000                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    590000 | PA      | $589692.06    | 0.00%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| KEYCORP V/R 03/06/35                                   | KEYCORP REGD V/R 6.40100000                                                                      | CUSIP: 49326EEP4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   2495000 | PA      | $2710057.17   | 0.01%             | 2035-03-06      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| KEYCORP V/R 04/04/31                                   | KEYCORP REGD V/R MTN SER GMTN 5.12100000                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $3065636.34   | 0.01%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EA 2.742% 08/15/26                         | KEYSPAN GAS EAST CORP REGD 144A P/P 2.74200000                                                   | CUSIP: 49338CAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | PA      | $532426.17    | 0.00%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| KIA CORP 1.75% 10/16/26                                | KIA CORP REGD 144A P/P 1.75000000                                                                | CUSIP: 49374JAA1<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |   1620000 | PA      | $1589231.70   | 0.01%             | 2026-10-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK 2.431% 07/01/31                         | KIMBERLY-CLARK DE MEXICO REGD 144A P/P 2.43100000                                                | CUSIP: 494386AD7<br>LEI: 549300JGHL56QT00KT54 | Long             | DBT              | CORP              | MX        |   7500000 | PA      | $6812814.00   | 0.03%             | 2031-07-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN E 6.95% 01/15/38                         | KINDER MORGAN ENER PART REGD MTN 6.95000000                                                      | CUSIP: 494550AW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8490000 | PA      | $9536412.03   | 0.04%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN I 5.05% 02/15/46                         | KINDER MORGAN INC REGD 5.05000000                                                                | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    600000 | PA      | $539449.64    | 0.00%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL 4.875% 04/03/28                         | KOREA NATIONAL OIL CORP REGD 144A P/P 4.87500000                                                 | CUSIP: 50065WAP1<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |   1760000 | PA      | $1794418.56   | 0.01%             | 2028-04-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL  4.75% 04/03/26                         | KOREA NATIONAL OIL CORP REGD 144A P/P 4.75000000                                                 | CUSIP: 50065WAQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |   1570000 | PA      | $1572525.50   | 0.01%             | 2026-04-03      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FO 4.375% 06/01/46                         | KRAFT HEINZ FOODS CO REGD SER WI 4.37500000                                                      | CUSIP: 50077LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6113000 | PA      | $5050069.36   | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FO 4.625% 10/01/39                         | KRAFT HEINZ FOODS CO REGD SER WI 4.62500000                                                      | CUSIP: 50077LAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2357000 | PA      | $2152580.08   | 0.01%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KROGER CO 5.4% 07/15/40                                | KROGER CO REGD 5.40000000                                                                        | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94615.60     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KROGER CO 4.45% 02/01/47                               | KROGER CO REGD 4.45000000                                                                        | CUSIP: 501044DG3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1346105.66   | 0.01%             | 2047-02-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KROGER CO 5% 09/15/34                                  | KROGER CO REGD 5.00000000                                                                        | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   6090000 | PA      | $6123642.50   | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO 5.5% 09/15/54                                | KROGER CO REGD 5.50000000                                                                        | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    780000 | PA      | $742794.87    | 0.00%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KCOT 2025-1A A 4.67% 11/15/28                          | KUBOTA CREDIT OWNER TRUST 2025-1 SER 2025-1A CL A3 REGD 144A P/P 4.67000000                      | CUSIP: 50117FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10800000 | PA      | $10965753.00  | 0.04%             | 2029-06-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.016% 10/09/28                         | KUWAIT INTL BOND REGD 144A P/P 4.01600000                                                        | CUSIP: 501499AD9<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |  13771000 | PA      | $13788148.20  | 0.05%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.136% 10/09/30                         | KUWAIT INTL BOND REGD 144A P/P 4.13600000                                                        | CUSIP: 501499AE7<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |  14265000 | PA      | $14258999.29  | 0.06%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.652% 10/09/35                         | KUWAIT INTL BOND REGD 144A P/P 4.65200000                                                        | CUSIP: 501499AF4<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |  19076000 | PA      | $19049656.23  | 0.08%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LADAR 2024-1A  5.23% 06/15/26                          | LAD AUTO RECEIVABLES TRUST 2024-1 SER 2024-1A CL A3 REGD 144A P/P 5.23000000                     | CUSIP: 501689AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    986411 | PA      | $988001.54    | 0.00%             | 2028-01-18      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| LCCM 2013-GCP 3.985% 02/15/28                          | LADDER CAPITAL COMMERCIAL MORTGAGE 2013-GCP MORT SER 2013-GCP CL A2 REGD 144A P/P 3.98510000     | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1027000 | PA      | $966560.74    | 0.00%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC2 3.289% 04/10/27                          | LCCM 2017-LC26 SER 2017-LC26 CL A3 REGD 144A P/P 3.28900000                                      | CUSIP: 50190DAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14405523 | PA      | $14208574.97  | 0.06%             | 2050-07-12      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| LGENERGYSOLUTI 5.875% 04/02/35                         | LGENERGYSOLUTION REGD 144A P/P 5.87500000                                                        | CUSIP: 50205MAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | KR        |   5000000 | PA      | $5161056.10   | 0.02%             | 2035-04-02      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LHOME 2025-RTL3  V/R 02/25/28                          | LHOME MORTGAGE TRUST 2025-RTL3 SER 2025-RTL3 CL A1 V/R REGD 144A P/P 5.23900000                  | CUSIP: 50205YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5315000 | PA      | $5330390.65   | 0.02%             | 2040-08-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| LHOME 2025-RTL2  V/R 04/25/40                          | LHOME MORTGAGE TRUST 2025-RTL2 SER 2025-RTL2 CL A1 V/R REGD 144A P/P 5.61200000                  | CUSIP: 50206RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6495000 | PA      | $6542946.74   | 0.03%             | 2040-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC 4% 03/15/29                           | LPL HOLDINGS INC REGD 144A P/P 4.00000000                                                        | CUSIP: 50212YAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3933182.00   | 0.02%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC 4.9% 04/03/28                         | LPL HOLDINGS INC REGD 4.90000000                                                                 | CUSIP: 50212YAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8116836.64   | 0.03%             | 2028-04-03      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS IN 5.15% 06/15/30                         | LPL HOLDINGS INC REGD 5.15000000                                                                 | CUSIP: 50212YAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15297210.60  | 0.06%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LSEG FINANCE PLC 2% 04/06/28                           | LSEG FINANCE PLC REGD 144A P/P MTN 2.00000000                                                    | CUSIP: 50220PAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4565000 | PA      | $4366764.74   | 0.02%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH IN 5.4% 07/31/33                         | L3HARRIS TECH INC REGD 5.40000000                                                                | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   2619000 | PA      | $2727806.12   | 0.01%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH I 5.25% 06/01/31                         | L3HARRIS TECH INC REGD 5.25000000                                                                | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2684265.54   | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANC 5.875% 01/15/36                         | LYB INT FINANCE III REGD 5.87500000                                                              | CUSIP: 50249AAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8282000 | PA      | $8243149.80   | 0.03%             | 2036-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP 2.95% 12/01/29                         | LABORATORY CORP OF AMER REGD 2.95000000                                                          | CUSIP: 50540RAW2<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   2190000 | PA      | $2085142.12   | 0.01%             | 2029-12-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LADAR 2024-3A  4.64% 06/15/26                          | LAD AUTO RECEIVABLES TRUST 2024-3 SER 2024-3A CL A2 REGD 144A P/P 4.64000000                     | CUSIP: 505709AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    736695 | PA      | $737140.18    | 0.00%             | 2027-11-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ENI USA INC 7.3% 11/15/27                              | ENI USA INC REGD 7.30000000                                                                      | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $422728.74    | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS1 A1 V/R 10/25/66                          | LEGACY MORTGAGE ASSET TRUST 2021-GS1 SER 2021-GS1 CL A1 V/R REGD 144A P/P 5.89200000             | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3885416 | PA      | $3886422.12   | 0.02%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS4 A1 V/R 11/25/60                          | LEGACY MORTGAGE ASSET TRUST 2021-GS4 SER 2021-GS4 CL A1 V/R REGD 144A P/P 5.65000000             | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1572013 | PA      | $1573217.17   | 0.01%             | 2060-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS2 A1 V/R 04/25/61                          | LEGACY MORTGAGE ASSET TRUST 2021-GS2 SER 2021-GS2 CL A1 V/R REGD 144A P/P 5.75000000             | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3999102 | PA      | $4000471.20   | 0.02%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LMT 2006-2 1A1 V/R 04/25/36                            | LEHMAN MORTGAGE TRUST 2006-2 SER 2006-2 CL 1A1 V/R REGD 5.73663100                               | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34153 | PA      | $20944.74     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| LMT 2007-6 1A8 6% 07/25/37                             | LEHMAN MORTGAGE TRUST 2007-6 SER 2007-6 CL 1A8 REGD 6.00000000                                   | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1590 | PA      | $1406.54      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LMT 2008-2 1A6 6% 02/25/38                             | LEHMAN MORTGAGE TRUST 2008-2 SER 2008-2 CL 1A6 REGD 6.00000000                                   | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    213805 | PA      | $49047.43     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 2.3% 02/15/31                               | LEIDOS INC REGD SER WI 2.30000000                                                                | CUSIP: 52532XAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1075000 | PA      | $967222.93    | 0.00%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 5.75% 03/15/33                              | LEIDOS INC REGD 5.75000000                                                                       | CUSIP: 52532XAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1059577.28   | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LENNOX INTERNATI 1.7% 08/01/27                         | LENNOX INTERNATIONAL INC REGD 1.70000000                                                         | CUSIP: 526107AF4<br>LEI: S7DWAC87RDMPBF77GJ92 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1928799.20   | 0.01%             | 2027-08-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 4.569% 02/01/29                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 4.56900000                                                | CUSIP: 53079EBG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1958917.45   | 0.01%             | 2029-02-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 3.951% 10/15/50                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 3.95100000                                                | CUSIP: 53079EBJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    269000 | PA      | $198920.08    | 0.00%             | 2050-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL G 5.5% 06/15/52                         | LIBERTY MUTUAL GROUP INC REGD 144A P/P 5.50000000                                                | CUSIP: 53079EBN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5750000 | PA      | $5369322.57   | 0.02%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL 7.697% 10/15/97                         | LIBERTY MUTUAL INSURANCE REGD P/P 7.69700000                                                     | CUSIP: 53079QAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $111614.35    | 0.00%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO 5% 02/09/54                             | ELI LILLY & CO REGD 5.00000000                                                                   | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1877611.57   | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO 4.9% 10/15/35                           | ELI LILLY & CO REGD 4.90000000                                                                   | CUSIP: 532457DE5<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |  14950000 | PA      | $15203308.46  | 0.06%             | 2035-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO 5.65% 10/15/65                          | ELI LILLY & CO REGD 5.65000000                                                                   | CUSIP: 532457DG0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1183943.56   | 0.00%             | 2065-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL C 7% 06/15/40                         | LINCOLN NATIONAL CORP REGD 7.00000000                                                            | CUSIP: 534187BA6<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1927282.01   | 0.01%             | 2040-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONA 5.35% 11/15/35                         | LINCOLN NATIONAL CORP REGD 5.35000000                                                            | CUSIP: 534187BZ1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5044228.90   | 0.02%             | 2035-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING 4.375% 03/22/28                         | LLOYDS BANKING GROUP PLC REGD 4.37500000                                                         | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    949000 | PA      | $954796.25    | 0.00%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING  3.75% 01/11/27                         | LLOYDS BANKING GROUP PLC REGD 3.75000000                                                         | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1996826.12   | 0.01%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 05/11/27                         | LLOYDS BANKING GROUP PLC REGD V/R 1.62700000                                                     | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2280000 | PA      | $2259230.68   | 0.01%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 01/05/35                         | LLOYDS BANKING GROUP PLC REGD V/R 5.67900000                                                     | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2575000 | PA      | $2710947.36   | 0.01%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 01/05/28                         | LLOYDS BANKING GROUP PLC REGD V/R 5.46200000                                                     | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   9343000 | PA      | $9468561.70   | 0.04%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 11/04/31                         | LLOYDS BANKING GROUP PLC REGD V/R 4.42500000                                                     | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2990641.17   | 0.01%             | 2031-11-04      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 11/04/36                         | LLOYDS BANKING GROUP PLC REGD V/R 4.94300000                                                     | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5280000 | PA      | $5223872.28   | 0.02%             | 2036-11-04      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| LBMLT 2004-1 M1 V/R 02/25/34                           | LONG BEACH MORTGAGE LOAN TRUST 2004-1 SER 2004-1 CL M1 V/R REGD 4.59621000                       | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42361 | PA      | $41959.40     | 0.00%             | 2034-02-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| LBMLT 2004-3 M1 V/R 07/25/34                           | LONG BEACH MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL M1 V/R REGD 4.70121000                       | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19848 | PA      | $19986.64     | 0.00%             | 2034-07-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA 6.582% 05/15/39                         | LOS ANGELES CA DEPT OF ARPTS REGD N/C B/E 6.58200000                                             | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1365000 | PA      | $1474961.67   | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA 6.603% 07/01/50                         | LOS ANGELES CA DEPT WTR & PWR REGD N/C B/E 6.60300000                                            | CUSIP: 544495WA8<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |   2400000 | PA      | $2581932.48   | 0.01%             | 2050-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA 3.1% 07/15/31                              | AKER BP ASA REGD 144A P/P 3.10000000                                                             | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   7730000 | PA      | $7092913.42   | 0.03%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORAT V/R 10/30/29                         | M&T BANK CORPORATION REGD V/R 7.41300000                                                         | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1627371.65   | 0.01%             | 2029-10-30      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORAT V/R 01/16/36                         | M&T BANK CORPORATION REGD V/R MTN 5.38500000                                                     | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   5818000 | PA      | $5911973.56   | 0.02%             | 2036-01-16      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORAT V/R 07/08/31                         | M&T BANK CORPORATION REGD V/R 5.17900000                                                         | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   8460000 | PA      | $8685241.83   | 0.03%             | 2031-07-08      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR 2003-12 6A1 5% 12/25/33                          | MASTR ASSET SECURITIZATION TRUST 2003-12 SER 2003-12 CL 6A1 REGD 5.00000000                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4271 | PA      | $3631.58      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR 2003-12 30 ZCP 12/25/33                          | MASTR ASSET SECURITIZATION TRUST 2003-12 SER 2003-12 CL 30PO ZCP REGD 0.00000000                 | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       205 | PA      | $46.04        | 0.00%             | 2033-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR 2004-1 30P ZCP 02/25/34                          | MASTR ASSET SECURITIZATION TRUST 2004-1 SER 2004-1 CL 30PO ZCP REGD 0.00000000                   | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       880 | PA      | $688.37       | 0.00%             | 2034-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MBIA INSURANCE CO V/R 01/15/33                         | MBIA INSURANCE CO REGD V/R P/P 11.88200000                                                       | CUSIP: 55276GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $860.00       | 0.00%             | 2033-01-15      | Variable      | 11.88%                | No            |                  2 | On Loan: No      |
| MFRA 2021-RPL1 A V/R 07/25/60                          | MFA 2021-RPL1 TRUST SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.13130000                             | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5802239 | PA      | $5345259.73   | 0.02%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| MMAF 2019-B A5 2.29% 11/12/41                          | MMAF EQUIPMENT FINANCE LLC 2019-B SER 2019-B CL A5 REGD 144A P/P 2.29000000                      | CUSIP: 55316EAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5096606 | PA      | $5059338.96   | 0.02%             | 2041-11-12      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISS 8.946% 12/15/38                            | MNR ABS ISSUER I LLC           2023-1 NT CL A-2 REGD 8.94600000                                  | CUSIP: 55317XAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4049821 | PA      | $4158558.85   | 0.02%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.2% 03/01/47                                  | MPLX LP REGD 5.20000000                                                                          | CUSIP: 55336VAL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    695000 | PA      | $621056.01    | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP 4.5% 04/15/38                                  | MPLX LP REGD 4.50000000                                                                          | CUSIP: 55336VAM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3647101.28   | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.2% 12/01/47                                  | MPLX LP REGD SER WI 5.20000000                                                                   | CUSIP: 55336VBP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $499228.39    | 0.00%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP 2.65% 08/15/30                                 | MPLX LP REGD 2.65000000                                                                          | CUSIP: 55336VBQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7390000 | PA      | $6844470.57   | 0.03%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.5% 06/01/34                                  | MPLX LP REGD 5.50000000                                                                          | CUSIP: 55336VBX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6610000 | PA      | $6743463.04   | 0.03%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5.4% 04/01/35                                  | MPLX LP REGD 5.40000000                                                                          | CUSIP: 55336VBY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14895000 | PA      | $14990162.22  | 0.06%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MPLX LP 4.8% 02/15/31                                  | MPLX LP REGD 4.80000000                                                                          | CUSIP: 55336VCA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7660000 | PA      | $7740435.36   | 0.03%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP 5% 01/15/33                                    | MPLX LP REGD 5.00000000                                                                          | CUSIP: 55336VCB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10035647.60  | 0.04%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PAR 2.717% 12/15/24                          | MRCD 2019-MARK MORTGAGE TRUST SER 2019-PARK CL A REGD 144A P/P 2.71752000                        | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9990000 | PA      | $8391600.00   | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PAR 2.717% 12/15/24                          | MRCD 2019-MARK MORTGAGE TRUST SER 2019-PARK CL D REGD 144A P/P 2.71752000                        | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6108000 | PA      | $4519920.00   | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MSCI INC 4% 11/15/29                                   | MSCI INC REGD 144A P/P 4.00000000                                                                | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7332691.65   | 0.03%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC 3.625% 09/01/30                               | MSCI INC REGD 144A P/P 3.62500000                                                                | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3820682.28   | 0.02%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MSD INVESTMENT  6.25% 05/31/30                         | MSD INVESTMENT CORP REGD 144A P/P 6.25000000                                                     | CUSIP: 55354LAA7<br>LEI: 549300K4HV7AOWFSAO65 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1589959.50   | 0.01%             | 2030-05-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LT V/R 03/03/36                         | MACQUARIE BANK LTD REGD V/R 144A P/P 3.05200000                                                  | CUSIP: 556079AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   2090000 | PA      | $1901945.12   | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LT V/R 08/13/36                         | MACQUARIE BANK LTD REGD V/R 144A P/P 5.64200000                                                  | CUSIP: 556079AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   7000000 | PA      | $7094934.35   | 0.03%             | 2036-08-13      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP L V/R 01/14/33                         | MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 2.87100000                                             | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   6000000 | PA      | $5426327.22   | 0.02%             | 2033-01-14      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFIN 6.4% 03/26/29                         | MACQUARIE AIRFINANCE HLD REGD 144A P/P 6.40000000                                                | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   5985000 | PA      | $6271660.31   | 0.02%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFIN 6.5% 03/26/31                         | MACQUARIE AIRFINANCE HLD REGD 144A P/P 6.50000000                                                | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5347369.50   | 0.02%             | 2031-03-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFI 5.15% 03/17/30                         | MACQUARIE AIRFINANCE HLD REGD 144A P/P 5.15000000                                                | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   6470000 | PA      | $6558766.78   | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFIN 5.2% 03/27/28                         | MACQUARIE AIRFINANCE HLD REGD 144A P/P 5.20000000                                                | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1715000 | PA      | $1740893.82   | 0.01%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MDPK 2018-29A A1 V/R 03/25/38                          | MADISON PARK FUNDING XXIX LTD SER 2018-29A CL A1R2 V/R REGD 144A P/P 5.06444000                  | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  35720000 | PA      | $35674671.32  | 0.14%             | 2038-03-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HO 4.279% 03/15/32                         | WARNERMEDIA HOLDINGS INC REGD SER * 4.27900000                                                   | CUSIP: 55903VBQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2892000 | PA      | $2538655.44   | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROV 2.125% 06/22/26                         | MANITOBA (PROVINCE OF) REGD 2.12500000                                                           | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | USGA              | CA        |    400000 | PA      | $396602.95    | 0.00%             | 2026-06-22      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MARATHON PETRO 5.125% 12/15/26                         | MARATHON PETROLEUM CORP REGD SER WI 5.12500000                                                   | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   5003000 | PA      | $5040199.46   | 0.02%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLE 4.5% 04/01/48                         | MARATHON PETROLEUM CORP REGD SER WI 4.50000000                                                   | CUSIP: 56585ABE1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2414444.13   | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MP25 2022-2A A1R V/R 10/20/36                          | MARBLE POINT CLO XXV LTD SER 2022-2A CL A1RR V/R REGD 144A P/P 5.07444000                        | CUSIP: 565923BC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30000000 | PA      | $29969250.00  | 0.12%             | 2036-10-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| MFIT 2021-AA B 2.33% 05/01/27                          | MARINER FINANCE ISSUANCE TRUST 2021-A SER 2021-AA CL B REGD 144A P/P 2.33000000                  | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5700000 | PA      | $5532286.05   | 0.02%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP IN 4.15% 09/17/50                         | MARKEL GROUP INC REGD 4.15000000                                                                 | CUSIP: 570535AV6<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    655000 | PA      | $506225.31    | 0.00%             | 2050-09-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MARS INC 5.2% 03/01/35                                 | MARS INC REGD 144A P/P 5.20000000                                                                | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   9135000 | PA      | $9389223.67   | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC 5.65% 05/01/45                                | MARS INC REGD 144A P/P 5.65000000                                                                | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   4775000 | PA      | $4813271.86   | 0.02%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNA 3.5% 10/15/32                         | MARRIOTT INTERNATIONAL REGD SER GG 3.50000000                                                    | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   6693000 | PA      | $6249019.98   | 0.02%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNA 4.9% 04/15/29                         | MARRIOTT INTERNATIONAL REGD 4.90000000                                                           | CUSIP: 571903BL6<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    809000 | PA      | $827052.20    | 0.00%             | 2029-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA 6.25% 05/01/37                         | MARTIN MARIETTA MATERIAL REGD 6.25000000                                                         | CUSIP: 573284AJ5<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    107000 | PA      | $113792.10    | 0.00%             | 2037-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOL 4.75% 07/15/30                         | MARVELL TECHNOLOGY INC REGD 4.75000000                                                           | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7575000 | PA      | $7673971.24   | 0.03%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOL 5.45% 07/15/35                         | MARVELL TECHNOLOGY INC REGD 5.45000000                                                           | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9653000 | PA      | $9945623.46   | 0.04%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASCO CORP 6.5% 08/15/32                               | MASCO CORP REGD 6.50000000                                                                       | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1354884.57   | 0.01%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASCO CORP 2% 10/01/30                                 | MASCO CORP REGD 2.00000000                                                                       | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    479000 | PA      | $427391.66    | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS  4.004% 08/15/46                         | MASSACHUSETTS ELECTRIC REGD 144A P/P 4.00400000                                                  | CUSIP: 575634AT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    624000 | PA      | $492204.40    | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE 4.678% 07/01/14                         | MASS INSTITUTE OF TECH REGD 4.67800000                                                           | CUSIP: 575718AB7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1361532.74   | 0.01%             | 2114-07-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE 3.885% 07/01/16                         | MASS INSTITUTE OF TECH REGD 3.88500000                                                           | CUSIP: 575718AF8<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   2906000 | PA      | $2000648.63   | 0.01%             | 2116-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE 5.618% 06/01/55                         | MASS INSTITUTE OF TECH REGD 5.61800000                                                           | CUSIP: 575718AK7<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1590720.62   | 0.01%             | 2055-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LIFE 4.9% 04/01/77                         | MASS MUTUAL LIFE INS CO REGD 144A P/P 4.90000000                                                 | CUSIP: 575767AL2<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4021654.65   | 0.02%             | 2077-04-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LI 3.729% 10/15/70                         | MASS MUTUAL LIFE INS CO REGD 144A P/P 3.72900000                                                 | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   2690000 | PA      | $1738939.87   | 0.01%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| MASTEC INC 4.5% 08/15/28                               | MASTEC INC REGD 144A P/P 4.50000000                                                              | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4968703.10   | 0.02%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTEC INC 5.9% 06/15/29                               | MASTEC INC REGD 5.90000000                                                                       | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6771937.84   | 0.03%             | 2029-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MARM 2004-3 4A2 V/R 04/25/34                           | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-3 SER 2004-3 CL 4A2 V/R REGD 4.23872000               | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11609 | PA      | $10488.08     | 0.00%             | 2034-04-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MARM 2004-13 3.8176% 4/21//34_                         | MASTER ADJUSTABLE RATE   MORTGAGES TRUST SERIES 2004-13 CLASS 2A1 REGD_ 6.29037000               | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31579 | PA      | $31073.69     | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MARM 2004-15 3A1 V/R 12/25/34                          | MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-15 SER 2004-15 CL 3A1 V/R REGD 6.75959000             | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5478 | PA      | $5377.70      | 0.00%             | 2034-12-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| MALT 2003-9 8A1 6% 01/25/34                            | MASTR ALTERNATIVE LOAN TRUST 2003-9 SER 2003-9 CL 8A1 REGD 6.00000000                            | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6873 | PA      | $6521.77      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-3 2A 6.25% 04/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-3 SER 2004-3 CL 2A1 REGD 6.25000000                            | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11892 | PA      | $12179.86     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MALT 2004-3 3A1 6% 04/25/34                            | MASTR ALTERNATIVE LOAN TRUST 2004-3 SER 2004-3 CL 3A1 REGD 6.00000000                            | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67507 | PA      | $68674.89     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-6 7A  6.00% 07/25/34                         | MASTR ALTERNATIVE LOANS TRUST_  2004-6 7A1 REGD__ 6.00000000                                     | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7702 | PA      | $7552.67      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-6 30PO ZCP 07/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-6 SER 2004-6 CL 30PO ZCP REGD 0.00000000                       | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12747 | PA      | $10132.20     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MALT 2004-7 30PO ZCP 08/25/34                          | MASTR ALTERNATIVE LOAN TRUST 2004-7 SER 2004-7 CL 30PO ZCP REGD 0.00000000                       | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6767 | PA      | $4781.44      | 0.00%             | 2034-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MALT 2005-6 3A1 5.5% 12/25/35                          | MASTR ALTERNATIVE LOAN TRUST 2005-6 SER 2005-6 CL 3A1 REGD 5.50000000                            | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6454 | PA      | $5626.45      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARS 2005-PO 3PO ZCP 05/28/35                          | MASTR RESECURITIZATION TRUST 2005-PO SER 2005-PO CL 3PO ZCP REGD 144A P/P 0.00000000             | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6607 | PA      | $5219.75      | 0.00%             | 2035-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR 2004-4 1 5.25% 12/26/33                          | MASTR ASSET SECURITIZATION TRUST 2004-4 SER 2004-4 CL 1A6 REGD 5.25000000                        | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13458 | PA      | $13234.69     | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MARP 2005-2 1A1F V/R 05/25/35                          | MASTR REPERFORMING LOAN TRUST 2005-2 SER 2005-2 CL 1A1F V/R REGD 144A P/P 4.19621000             | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    550918 | PA      | $259191.72    | 0.00%             | 2035-05-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MARP 2006-2 1A1 V/R 05/25/36                           | MASTR REPERFORMING LOAN TRUST_  SER 2006-2 CL 1A1 V/R REGD 144A P/P 4.36906000                   | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55218 | PA      | $45227.27     | 0.00%             | 2036-05-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| MFRA 2024-NPL1 A V/R 09/25/27                          | MFA 2024-NPL1 TRUST SER 2024-NPL1 CL A1 V/R REGD 6.33000000                                      | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5289768 | PA      | $5297170.38   | 0.02%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 6.3% 10/15/37                          | MCDONALD'S CORP REGD MTN 6.30000000                                                              | CUSIP: 58013MEC4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    394000 | PA      | $437948.26    | 0.00%             | 2037-10-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 4.7% 12/09/35                          | MCDONALD'S CORP REGD MTN 4.70000000                                                              | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    216000 | PA      | $214406.87    | 0.00%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 4.45% 03/01/47                         | MCDONALD'S CORP REGD MTN 4.45000000                                                              | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    360000 | PA      | $307934.23    | 0.00%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MRFC 2000-TBC2 A V/R 06/15/30                          | MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 4.34460000        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26526 | PA      | $26089.01     | 0.00%             | 2030-06-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| MRFC 2000-TBC3 A1 V/R 12/15/30                         | MRFC 2000-TBC3 A1 V/R 12/15/30 4.30460000                                                        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6359 | PA      | $6230.64      | 0.00%             | 2030-12-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALT 3.447% 11/01/49                         | MEMORIAL HEALTH SERVICES REGD 3.44700000                                                         | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $2158581.73   | 0.01%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MBALT 2025-A A 4.61% 04/16/29                          | MERCEDES-BENZ AUTO LEASE TRUST 2025-A SER 2025-A CL A3 REGD 4.61000000                           | CUSIP: 58768YAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3784000 | PA      | $3833895.45   | 0.02%             | 2029-04-16      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 4% 03/07/49                             | MERCK & CO INC REGD 4.00000000                                                                   | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1072313.36   | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 2.75% 12/10/51                          | MERCK & CO INC REGD 2.75000000                                                                   | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $875632.80    | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 2.9% 12/10/61                           | MERCK & CO INC REGD 2.90000000                                                                   | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $863106.74    | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 5.5% 03/15/46                           | MERCK & CO INC REGD 5.50000000                                                                   | CUSIP: 58933YCA1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   5910000 | PA      | $5887572.32   | 0.02%             | 2046-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 5.7% 12/04/65                           | MERCK & CO INC REGD 5.70000000                                                                   | CUSIP: 58933YCC7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   3316000 | PA      | $3280442.53   | 0.01%             | 2065-12-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MLCC 2003-F A1 V/R 10/25/28                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2003-F CL A1 V/R REGD 4.48621000         | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6497 | PA      | $6387.57      | 0.00%             | 2028-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| MLMI 2003-A5 2A6 V/R 08/25/33                          | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERI SER 2003-A5 CL 2A6 V/R REGD 6.21714000               | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7403 | PA      | $7218.08      | 0.00%             | 2033-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| MLCC 2003-E A1 V/R 10/25/28                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2003-E CL A1 V/R REGD 4.46621000         | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12570 | PA      | $11981.32     | 0.00%             | 2028-10-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-A A1 V/R 4/25/29                             | MLCC 2004-A A1 V/R 4/25/29 4.30621000                                                            | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5525 | PA      | $5162.44      | 0.00%             | 2029-04-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-C A2 V/R 07/25/29                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2004-C CL A2 V/R REGD 4.63258000         | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7149 | PA      | $7107.38      | 0.00%             | 2029-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| MLMI 2004-A4 A2 V/R 08/25/34                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI 2 SER 2004-A4 CL A2 V/R REGD 5.11476000       | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16262 | PA      | $15481.85     | 0.00%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| MLCC 2004-1 2A1 V/R 12/25/34                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC  SER 2004-1 CL 2A1 V/R REGD 5.22257000        | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16731 | PA      | $15680.77     | 0.00%             | 2034-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| MLMI 2005-A2 A1 V/R 02/25/35                           | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI 2 SER 2005-A2 CL A1 V/R REGD 5.45065000       | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37534 | PA      | $33908.74     | 0.00%             | 2035-02-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 7.75% 05/14/38                         | BANK OF AMERICA CORP REGD 7.75000000                                                             | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    137000 | PA      | $166323.72    | 0.00%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC 4.875% 11/13/43                            | METLIFE INC REGD 4.87500000                                                                      | CUSIP: 59156RBG2<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2797053.69   | 0.01%             | 2043-11-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN 5.2% 04/01/28                         | FIRSTENERGY PENN ELECTRI REGD 144A P/P 5.20000000                                                | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1885000 | PA      | $1924500.27   | 0.01%             | 2028-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB F 5.15% 03/28/33                         | MET LIFE GLOB FUNDING I REGD 144A P/P MTN 5.15000000                                             | CUSIP: 59217GFP9<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2057892.68   | 0.01%             | 2033-03-28      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARP 4.25% 10/31/26                         | MEXICO CITY ARPT TRUST REGD 144A P/P 4.25000000                                                  | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1720000 | PA      | $1712535.20   | 0.01%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY AR 3.875% 04/30/28                         | MEXICO CITY ARPT TRUST REGD 144A P/P 3.87500000                                                  | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3645000 | PA      | $3565021.96   | 0.01%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT 5.5% 07/31/47                         | MEXICO CITY ARPT TRUST REGD 144A P/P 5.50000000                                                  | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   3660000 | PA      | $3204256.80   | 0.01%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APAR 1.7% 02/15/31                         | MID-AMERICA APARTMENTS REGD 1.70000000                                                           | CUSIP: 59523UAS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1164960.70   | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INT 4.1% 05/15/28                         | MID-ATLANTIC INTERSTATE REGD 144A P/P 4.10000000                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9310000 | PA      | $9316351.93   | 0.04%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MDST 2006-1 M 6.083% 10/15/40                          | MID-STATE CAPITAL CORP 2006-1 TRUST SER 2006-1 CL M1 REGD 144A P/P 6.08300000                    | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216678 | PA      | $218116.08    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENE 5.85% 09/15/54                         | MIDAMERICAN ENERGY CO REGD 5.85000000                                                            | CUSIP: 595620AY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1357891.76   | 0.01%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATH 6.125% 04/01/36                         | BERKSHIRE HATHAWAY ENERG REGD 6.12500000                                                         | CUSIP: 59562VAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    366000 | PA      | $396925.67    | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEA 3.409% 06/01/50                         | MYMICHIGAN HEALTH REGD SER 2020 3.40900000                                                       | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3480000 | PA      | $2413187.24   | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| MCMLT 2021-NMR1  V/R 11/25/60                          | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 SER 2021-NMR1 CL A1 V/R REGD 144A P/P 1.12500000         | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    773832 | PA      | $746574.55    | 0.00%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| MINERA MEXICO  5.625% 02/12/32                         | MINERA MEXICO SA DE CV REGD 144A P/P 5.62500000                                                  | CUSIP: 60284MAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1558000 | PA      | $1610193.00   | 0.01%             | 2032-02-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC  5.807% 09/12/28                         | MITSUBISHI HC FIN AMER REGD 144A P/P 5.80700000                                                  | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1863456.49   | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 04/24/31                         | MITSUBISHI UFJ FIN GRP REGD V/R 5.15900000                                                       | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1600000 | PA      | $1648971.49   | 0.01%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 09/12/36                         | MITSUBISHI UFJ FIN GRP REGD V/R 5.18800000                                                       | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3490000 | PA      | $3545870.08   | 0.01%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 09/13/30                         | MIZUHO FINANCIAL GROUP REGD V/R 2.86900000                                                       | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1620000 | PA      | $1538922.16   | 0.01%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/22/32                         | MIZUHO FINANCIAL GROUP REGD V/R 2.17200000                                                       | CUSIP: 60687YBQ1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   8000000 | PA      | $7104559.12   | 0.03%             | 2032-05-22      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 07/09/32                         | MIZUHO FINANCIAL GROUP REGD V/R 2.26000000                                                       | CUSIP: 60687YBT5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $891349.41    | 0.00%             | 2032-07-09      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 07/08/31                         | MIZUHO FINANCIAL GROUP REGD V/R 4.71100000                                                       | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  28280000 | PA      | $28645132.13  | 0.11%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 07/08/36                         | MIZUHO FINANCIAL GROUP REGD V/R 5.32300000                                                       | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   9625000 | PA      | $9887398.00   | 0.04%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MOLEX ELECTRONI 4.75% 04/30/28                         | MOLEX ELECTRONICS TECH REGD 144A P/P 4.75000000                                                  | CUSIP: 60856BAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5698000 | PA      | $5760141.82   | 0.02%             | 2028-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEV 4.2% 07/15/46                         | MOLSON COORS BEVERAGE REGD 4.20000000                                                            | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1511000 | PA      | $1213085.30   | 0.00%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWE 5.4% 12/15/43                         | MONONGAHELA POWER CO REGD P/P 5.40000000                                                         | CUSIP: 610202BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1609392.38   | 0.01%             | 2043-12-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MSC 2016-UB12 3.596% 11/15/26                          | MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 SER 2016-UB12 CL A4 REGD 3.59600000                    | CUSIP: 61691EBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80000 | PA      | $79166.45     | 0.00%             | 2049-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MSBAM 2016-C32 3.72% 12/15/26                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2016-C32 CL A4 REGD 3.72000000         | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8436000 | PA      | $8368619.98   | 0.03%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/23/30                            | MORGAN STANLEY REGD V/R MTN SER GMTN 4.43100000                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2304000 | PA      | $2316764.44   | 0.01%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/22/31                            | MORGAN STANLEY REGD V/R MTN SER GMTN 2.69900000                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2199602.00   | 0.01%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 02/13/32                            | MORGAN STANLEY REGD V/R MTN 1.79400000                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $2142931.68   | 0.01%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/28/32                            | MORGAN STANLEY REGD V/R MTN 1.92800000                                                           | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  15725000 | PA      | $13796448.42  | 0.05%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/22/28                            | MORGAN STANLEY REGD V/R MTN 3.59100000                                                           | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3215000 | PA      | $3193002.58   | 0.01%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MSM 2004-3 4A V/R 04/25/34                             | MORGAN STANLEY MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL 4A V/R REGD 5.63053000                   | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51240 | PA      | $50668.24     | 0.00%             | 2034-04-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/21/32                            | MORGAN STANLEY REGD V/R MTN SER GMTN 2.23900000                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3555000 | PA      | $3158930.30   | 0.01%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/21/28                            | MORGAN STANLEY REGD V/R MTN 2.47500000                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    526000 | PA      | $517324.04    | 0.00%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/18/28                            | MORGAN STANLEY REGD V/R 6.29600000                                                               | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5350000 | PA      | $5557664.96   | 0.02%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/20/29                            | MORGAN STANLEY REGD V/R MTN 5.16400000                                                           | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14465000 | PA      | $14790600.64  | 0.06%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/20/29                            | MORGAN STANLEY REGD V/R 5.44900000                                                               | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7990000 | PA      | $8245272.75   | 0.03%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/16/30                            | MORGAN STANLEY REGD V/R 5.17300000                                                               | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1385864.79   | 0.01%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/18/35                            | MORGAN STANLEY REGD V/R 5.46600000                                                               | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1846000 | PA      | $1918871.44   | 0.01%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/19/35                            | MORGAN STANLEY REGD V/R MTN 5.83100000                                                           | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $2029674.16   | 0.01%             | 2035-04-19      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/19/30                            | MORGAN STANLEY REGD V/R 5.04200000                                                               | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1486664.83   | 0.01%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 07/19/35                            | MORGAN STANLEY REGD V/R 5.32000000                                                               | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6965000 | PA      | $7169783.12   | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/18/30                            | MORGAN STANLEY REGD V/R 4.65400000                                                               | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9556000 | PA      | $9671604.47   | 0.04%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 11/19/55                            | MORGAN STANLEY REGD V/R 5.51600000                                                               | CUSIP: 61747YFV2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2736000 | PA      | $2704360.57   | 0.01%             | 2055-11-19      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/17/36                            | MORGAN STANLEY REGD V/R 5.66400000                                                               | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10240000 | PA      | $10748572.26  | 0.04%             | 2036-04-17      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/22/31                            | MORGAN STANLEY REGD V/R MTN SER I 4.35600000                                                     | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3190000 | PA      | $3179527.84   | 0.01%             | 2031-10-22      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/22/36                            | MORGAN STANLEY REGD V/R MTN SER I 4.89200000                                                     | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  12064000 | PA      | $11957203.56  | 0.05%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 3.95% 04/23/27                          | MORGAN STANLEY REGD MTN 3.95000000                                                               | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14190000 | PA      | $14179945.39  | 0.06%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MSBAM 2016-C30 2.86% 08/15/26                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2016-C30 CL A5 REGD 2.86000000         | CUSIP: 61766NBB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7336000 | PA      | $7262051.65   | 0.03%             | 2049-09-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| MSC 2016-UB11 2.531% 08/15/26                          | MORGAN STANLEY CAPITAL I TRUST 2016-UBS11 SER 2016-UB11 CL A3 REGD 2.53100000                    | CUSIP: 61767FAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19529784 | PA      | $19401879.66  | 0.08%             | 2049-08-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MSC 2020-L4 A 2.698% 02/15/30                          | MORGAN STANLEY CAPITAL I TRUST 2020-L4 SER 2020-L4 CL A3 REGD 2.69800000                         | CUSIP: 61770KAX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15418603 | PA      | $14408971.29  | 0.06%             | 2053-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/22/42                            | MORGAN STANLEY REGD V/R 3.21700000                                                               | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3917532.10   | 0.02%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PV V/R 07/18/31                         | MORGAN STANLEY PVT BANK REGD V/R 4.73400000                                                      | CUSIP: 61776NVG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19482000 | PA      | $19748855.67  | 0.08%             | 2031-07-18      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PV V/R 11/19/31                         | MORGAN STANLEY PVT BANK REGD V/R 4.46500000                                                      | CUSIP: 61776NZW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13985000 | PA      | $14021612.31  | 0.06%             | 2031-11-19      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| MSRM 2024-RPL1 A V/R 11/25/28                          | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 SER 2024-RPL1 CL A1 V/R REGD 4.00000000 | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3208541 | PA      | $3143933.14   | 0.01%             | 2064-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-C3 5.633% 07/15/35                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2025-C35 CL A5 REGD 5.63300000         | CUSIP: 61779CAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2495224 | PA      | $2634073.98   | 0.01%             | 2058-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-5C 4.631% 09/15/30                          | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2025-5C2 CL A2 REGD 4.63100000         | CUSIP: 61779RAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12075000 | PA      | $12134749.52  | 0.05%             | 2058-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MVWOT 2025-1A  5.21% 04/20/39                          | MVW 2025-1 LLC SER 2025-1A CL B REGD 144A P/P 5.21000000                                         | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2158713 | PA      | $2191903.22   | 0.01%             | 2042-09-22      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA 5.35% 04/09/27                         | MUTUAL OF OMAHA GLOBAL REGD 144A P/P 5.35000000                                                  | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8119299.84   | 0.03%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 5.4% 11/29/43                                | MYLAN INC REGD 5.40000000                                                                        | CUSIP: 628530BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2254761.76   | 0.01%             | 2043-11-29      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MYLAN INC 5.2% 04/15/48                                | MYLAN INC REGD SER WI 5.20000000                                                                 | CUSIP: 628530BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2483000 | PA      | $2017567.88   | 0.01%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITIO 5.25% 06/15/46                         | UTAH ACQUISITION SUB REGD SER WI 5.25000000                                                      | CUSIP: 62854AAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2877000 | PA      | $2362999.38   | 0.01%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD 2.625% 05/05/31                             | NBN CO LTD REGD 144A P/P MTN 2.62500000                                                          | CUSIP: 62878U2B7<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |  15025000 | PA      | $13801096.41  | 0.05%             | 2031-05-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUNDI 5.4% 01/23/30                         | NLG GLOBAL FUNDING REGD 144A P/P 5.40000000                                                      | CUSIP: 62915W2A0<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3597427.54   | 0.01%             | 2030-01-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUND 4.35% 09/15/30                         | NLG GLOBAL FUNDING REGD 144A P/P 4.35000000                                                      | CUSIP: 62915W2B8<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5921027.16   | 0.02%             | 2030-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| NMNL 2025-1A A 5.14% 11/20/30                          | NMABS ISSUER I LLC SER 2025-1A CL A REGD 144A P/P 5.14000000                                     | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11322641 | PA      | $11308789.64  | 0.04%             | 2055-11-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 A1 V/R 10/25/62                             | NLT 2023-1 TRUST SER 2023-1 CL A1 V/R REGD 144A P/P 3.20000000                                   | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1278533 | PA      | $1177978.96   | 0.00%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC 3.25% 07/15/31                         | NGPL PIPECO LLC REGD 144A P/P 3.25000000                                                         | CUSIP: 62928CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2055000 | PA      | $1890517.20   | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 4.45% 06/15/29                          | NRG ENERGY INC REGD 144A P/P 4.45000000                                                          | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1149901.02   | 0.00%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 2.45% 12/02/27                          | NRG ENERGY INC REGD 144A P/P 2.45000000                                                          | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   6215000 | PA      | $6005989.92   | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 7% 03/15/33                             | NRG ENERGY INC REGD 144A P/P 7.00000000                                                          | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3876000 | PA      | $4284487.76   | 0.02%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 5.407% 10/15/35                         | NRG ENERGY INC REGD 144A P/P 5.40700000                                                          | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   4810000 | PA      | $4804905.25   | 0.02%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NAA 2004-R2 A1 V/R 10/25/34                            | NACC REPERFORMING LOAN REMIC TRUST 2004-R2 SER 2004-R2 CL A1 V/R REGD 144A P/P 6.50000000        | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22827 | PA      | $20346.92     | 0.00%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 2.65% 02/15/32                         | NXP BV/NXP FDG/NXP USA REGD 2.65000000                                                           | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   4875000 | PA      | $4378907.72   | 0.02%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 3.25% 11/30/51                         | NXP BV/NXP FDG/NXP USA REGD 3.25000000                                                           | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1505000 | PA      | $993782.64    | 0.00%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 3.25% 05/11/41                         | NXP BV/NXP FDG/NXP USA REGD 3.25000000                                                           | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   3600000 | PA      | $2729475.11   | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 4.3% 06/18/29                         | NXP BV/NXP FDG/NXP USA REGD 4.30000000                                                           | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   7077000 | PA      | $7088527.73   | 0.03%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/N 4.3% 08/19/28                         | NXP BV/NXP FDG/NXP USA REGD 4.30000000                                                           | CUSIP: 62954HBF4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   4526000 | PA      | $4542794.95   | 0.02%             | 2028-08-19      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 4.85% 08/19/32                         | NXP BV/NXP FDG/NXP USA REGD 4.85000000                                                           | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   6932000 | PA      | $6968487.90   | 0.03%             | 2032-08-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/ 5.25% 08/19/35                         | NXP BV/NXP FDG/NXP USA REGD 5.25000000                                                           | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5566000 | PA      | $5648241.10   | 0.02%             | 2035-08-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOS 3.38% 07/01/55                         | NYU LANGONE HOSPITALS REGD SER 2020 3.38000000                                                   | CUSIP: 62954RAA4<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $868718.46    | 0.00%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CO 4.567% 07/16/27                         | NTT FINANCE CORP REGD 144A P/P 4.56700000                                                        | CUSIP: 62954WAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |   3982000 | PA      | $4015598.40   | 0.02%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE COR 4.62% 07/16/28                         | NTT FINANCE CORP REGD 144A P/P 4.62000000                                                        | CUSIP: 62954WAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |   2785000 | PA      | $2822040.78   | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CO 4.876% 07/16/30                         | NTT FINANCE CORP REGD 144A P/P 4.87600000                                                        | CUSIP: 62954WAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |  20197000 | PA      | $20568880.49  | 0.08%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CO 5.171% 07/16/32                         | NTT FINANCE CORP REGD 144A P/P 5.17100000                                                        | CUSIP: 62954WAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |   4520000 | PA      | $4637671.74   | 0.02%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NZES 2021-FHT 3.104% 07/25/56                          | NRZ EXCESS SPREAD-COLLATERALIZED  SER 2021-FHT1 CL A REGD 144A P/P 3.10400000                    | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4754138 | PA      | $4696732.59   | 0.02%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC 5.55% 02/15/34                              | NASDAQ INC REGD 5.55000000                                                                       | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    975000 | PA      | $1023886.05   | 0.00%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTR 2.332% 08/21/30                         | NATIONAL AUSTRALIA BANK REGD 144A P/P MTN 2.33200000                                             | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   6000000 | PA      | $5442803.16   | 0.02%             | 2030-08-21      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALI V/R 01/12/37                         | NATIONAL AUSTRALIA BANK REGD V/R 144A P/P 3.34700000                                             | CUSIP: 632525BB6<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2600000 | PA      | $2376610.99   | 0.01%             | 2037-01-12      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF 4.5% 10/10/29                         | NATIONAL BANK OF CANADA REGD 4.50000000                                                          | CUSIP: 63307A3B9<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3031297.41   | 0.01%             | 2029-10-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL G 4.75% 09/01/28                         | NATIONAL FUEL GAS CO REGD 4.75000000                                                             | CUSIP: 636180BP5<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   2181000 | PA      | $2204667.03   | 0.01%             | 2028-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GA 5.5% 03/15/30                         | NATIONAL FUEL GAS CO REGD 5.50000000                                                             | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |  11260000 | PA      | $11612016.88  | 0.05%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL G 5.95% 03/15/35                         | NATIONAL FUEL GAS CO REGD 5.95000000                                                             | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   1596000 | PA      | $1668243.48   | 0.01%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC 3.6% 12/15/26                             | NNN REIT INC REGD 3.60000000                                                                     | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $697079.65    | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC 3.5% 10/15/27                             | NNN REIT INC REGD 3.50000000                                                                     | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396474.04    | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC 5.6% 10/15/33                             | NNN REIT INC REGD 5.60000000                                                                     | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    950000 | PA      | $992245.07    | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTI 8% 03/01/32                         | NATIONAL RURAL UTIL COOP REGD MTN SER MTNC 8.00000000                                            | CUSIP: 637432CT0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    791000 | PA      | $931248.58    | 0.00%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SO 4% 09/14/26                         | NATIONWIDE BLDG SOCIETY REGD 144A P/P 4.00000000                                                 | CUSIP: 63859WAE9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   9650000 | PA      | $9633176.48   | 0.04%             | 2026-09-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE CHI 4.556% 11/01/52                         | NATIONWIDE CHILDREN HOSP REGD 4.55600000                                                         | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    646000 | PA      | $556269.86    | 0.00%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG S V/R 07/14/36                         | NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 5.53700000                                             | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   4715000 | PA      | $4869420.63   | 0.02%             | 2036-07-14      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUT 9.375% 08/15/39                         | NATIONWIDE MUTUAL INSURA REGD P/P 9.37500000                                                     | CUSIP: 638671AK3<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $9561106.91   | 0.04%             | 2039-08-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 06/14/27                         | NATWEST GROUP PLC REGD V/R 1.64200000                                                            | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8225000 | PA      | $8135374.81   | 0.03%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 03/01/35                         | NATWEST GROUP PLC REGD V/R 5.77800000                                                            | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2865000 | PA      | $3029342.59   | 0.01%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 05/23/31                         | NATWEST GROUP PLC REGD V/R 5.11500000                                                            | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8200000 | PA      | $8417324.60   | 0.03%             | 2031-05-23      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS 5.41% 05/17/29                         | NATWEST MARKETS PLC REGD 144A P/P 5.41000000                                                     | CUSIP: 63906YAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4475000 | PA      | $4642631.35   | 0.02%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKET 4.412% 11/06/30                         | NATWEST MARKETS PLC REGD P/P 4.41200000                                                          | CUSIP: 63906YAS7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   9160000 | PA      | $9169726.00   | 0.04%             | 2030-11-06      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NAVSL 2019-CA  3.13% 02/15/68                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-C SER 2019-CA CL A2 REGD 144A P/P 3.13000000      | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    707431 | PA      | $700349.55    | 0.00%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-BA  2.12% 09/15/27                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B SER 2020-BA CL A2 REGD 144A P/P 2.12000000      | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1328489 | PA      | $1275862.96   | 0.01%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| NAVSL 2021-GA  1.58% 05/15/28                          | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-G SER 2021-GA CL A REGD 144A P/P 1.58000000       | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5765767 | PA      | $5237386.56   | 0.02%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| NBCUNIVERSAL ME 4.45% 01/15/43                         | NBCUNIVERSAL MEDIA LLC REGD 4.45000000                                                           | CUSIP: 63946BAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8500.88      | 0.00%             | 2043-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NSLT 2021-DA A 1.63% 03/20/29                          | NELNET STUDENT LOAN TRUST 2021-D SER 2021-DA CL AFX REGD 144A P/P 1.63000000                     | CUSIP: 64034YAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4259899 | PA      | $4065189.44   | 0.02%             | 2062-04-20      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER C 5.375% 09/15/40                         | NEVADA POWER CO REGD 5.37500000                                                                  | CUSIP: 641423BZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    261000 | PA      | $260998.28    | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO 5.45% 05/15/41                         | NEVADA POWER CO REGD 5.45000000                                                                  | CUSIP: 641423CA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    386000 | PA      | $382236.66    | 0.00%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NCHET 2003-5 AI S/UP 11/25/33                          | NEW CENTURY HOME EQUITY LOAN TRUST SERIES 2003-5 SER 2003-5 CL AI6 S/UP REGD 6.00000000          | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     64114 | PA      | $63597.04     | 0.00%             | 2033-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWE 3.8% 12/05/47                         | NEW ENGLAND POWER CO REGD 144A P/P 3.80000000                                                    | CUSIP: 644188BF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5108000 | PA      | $3911976.82   | 0.02%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST  7.102% 01/01/41                         | NEW JERSEY ST TURNPIKE AUTH TU REGD N/C B/E 7.10200000                                           | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   5870000 | PA      | $6858505.07   | 0.03%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-3A A1 V/R 04/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 SER 2017-3A CL A1 V/R REGD 144A P/P 4.00000000        | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1517891 | PA      | $1473650.12   | 0.01%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-2A A3 V/R 03/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-2 SER 2017-2A CL A3 V/R REGD 144A P/P 4.00000000        | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    918072 | PA      | $894094.38    | 0.00%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZT 2017-4A A1 V/R 05/25/57                           | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-4 SER 2017-4A CL A1 V/R REGD 144A P/P 4.00000000        | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    913546 | PA      | $885177.97    | 0.00%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZT 2018-1A A1A V/R 12/25/57                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-1 SER 2018-1A CL A1A V/R REGD 144A P/P 4.00000000       | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    876036 | PA      | $858500.00    | 0.00%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NRMLT 2022-SFR2 D 4% 09/04/27                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR2 SER 2022-SFR2 CL D REGD 144A P/P 4.00000000        | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4901818.00   | 0.02%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRMLT 2024-RTL2  V/R 10/25/27                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL2 SER 2024-RTL2 CL A1 V/R REGD 144A P/P 5.44300000   | CUSIP: 64831WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7200000 | PA      | $7253676.00   | 0.03%             | 2039-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| NRZT 2024-RPL1 A V/R 01/25/64                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 SER 2024-RPL1 CL A V/R REGD 144A P/P 3.80000000    | CUSIP: 64832AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3748683 | PA      | $3575731.45   | 0.01%             | 2064-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE I 4.45% 05/15/69                         | NEW YORK LIFE INSURANCE REGD 144A P/P 4.45000000                                                 | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $3291281.13   | 0.01%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY 5.094% 10/01/49                            | NEW YORK NY REGD N/C B/E 5.09400000                                                              | CUSIP: 64966SHM1<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1335000 | PA      | $1255981.75   | 0.00%             | 2049-10-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY 5.114% 10/01/54                            | NEW YORK NY REGD N/C B/E 5.11400000                                                              | CUSIP: 64966SHN9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    910000 | PA      | $851534.32    | 0.00%             | 2054-10-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY 5.372% 10/01/51                            | NEW YORK NY REGD N/C B/E 5.37200000                                                              | CUSIP: 64966SSF4<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1500000 | PA      | $1460541.00   | 0.01%             | 2051-10-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY 5.392% 10/01/55                            | NEW YORK NY REGD N/C B/E 5.39200000                                                              | CUSIP: 64966SSG2<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   2735000 | PA      | $2642873.71   | 0.01%             | 2055-10-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTR 3.25% 12/01/26                         | NY STATE ELECTRIC & GAS REGD 144A P/P 3.25000000                                                 | CUSIP: 649840CQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    804000 | PA      | $798113.20    | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM 5.6% 03/15/40                         | NEW YORK ST DORM AUTH ST PERSO REGD N/C B/E 5.60000000                                           | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    260000 | PA      | $266082.31    | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST UR 5.838% 03/15/40                         | NEW YORK ST URBAN DEV CORP REV REGD N/C B/E 5.83800000                                           | CUSIP: 650035VB1<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $2067489.60   | 0.01%             | 2040-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| NEWMONT / NEWCR 5.35% 03/15/34                         | NEWMONT / NEWCREST FIN REGD SER WI 5.35000000                                                    | CUSIP: 65163LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5260000 | PA      | $5498054.50   | 0.02%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NZES 2021-GNT 3.474% 11/25/26                          | NRZ EXCESS SPREAD-COLLATERALIZED  SER 2021-GNT1 CL A REGD 144A P/P 3.47400000                    | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2970192 | PA      | $2921126.38   | 0.01%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NGC 2024-1A A1 V/R 07/20/37                            | NGC 2024-I LTD SER 2024-1A CL A1 V/R REGD 144A P/P 5.48444000                                    | CUSIP: 652927AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  29750000 | PA      | $29794387.00  | 0.12%             | 2037-07-20      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY C 1.9% 06/15/28                         | NEXTERA ENERGY CAPITAL REGD 1.90000000                                                           | CUSIP: 65339KBW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5605000 | PA      | $5341103.65   | 0.02%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY 4.685% 09/01/27                         | NEXTERA ENERGY CAPITAL REGD 4.68500000                                                           | CUSIP: 65339KCL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14537000 | PA      | $14709742.73  | 0.06%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY  5.55% 03/15/54                         | NEXTERA ENERGY CAPITAL REGD 5.55000000                                                           | CUSIP: 65339KCV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4829482.10   | 0.02%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY C 5.9% 03/15/55                         | NEXTERA ENERGY CAPITAL REGD 5.90000000                                                           | CUSIP: 65339KDM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5055000 | PA      | $5110569.72   | 0.02%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK 5.996% 07/03/55                         | NIAGARA MOHAWK POWER REGD 144A P/P 5.99600000                                                    | CUSIP: 653522DV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    890000 | PA      | $901560.63    | 0.00%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK  1.96% 06/27/30                         | NIAGARA MOHAWK POWER REGD 144A P/P 1.96000000                                                    | CUSIP: 65364UAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2150000 | PA      | $1943877.03   | 0.01%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 1.7% 02/15/31                             | NISOURCE INC REGD 1.70000000                                                                     | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1439115.56   | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.4% 06/30/33                             | NISOURCE INC REGD 5.40000000                                                                     | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   2132000 | PA      | $2210920.37   | 0.01%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.85% 04/01/55                            | NISOURCE INC REGD 5.85000000                                                                     | CUSIP: 65473PAU9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   5934000 | PA      | $5915298.64   | 0.02%             | 2055-04-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.95% 06/15/41                            | NISOURCE INC REGD 5.95000000                                                                     | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   4416000 | PA      | $4562004.97   | 0.02%             | 2041-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.8% 02/01/42                             | NISOURCE INC REGD 5.80000000                                                                     | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    774000 | PA      | $778596.59    | 0.00%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC 5.25% 02/15/43                            | NISOURCE INC REGD 5.25000000                                                                     | CUSIP: 65473QBB8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   5576000 | PA      | $5339742.54   | 0.02%             | 2043-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.679% 07/16/30                         | NOMURA HOLDINGS INC REGD 2.67900000                                                              | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1550000 | PA      | $1432836.10   | 0.01%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 1.653% 07/14/26                         | NOMURA HOLDINGS INC REGD 1.65300000                                                              | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $4938327.90   | 0.02%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.608% 07/14/31                         | NOMURA HOLDINGS INC REGD 2.60800000                                                              | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2025000 | PA      | $1829609.47   | 0.01%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS 2.71% 01/22/29                         | NOMURA HOLDINGS INC REGD 2.71000000                                                              | CUSIP: 65535HBB4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  11000000 | PA      | $10492468.36  | 0.04%             | 2029-01-22      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS 6.07% 07/12/28                         | NOMURA HOLDINGS INC REGD 6.07000000                                                              | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   4200000 | PA      | $4380327.71   | 0.02%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A1 5.5% 05/25/33                           | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A1 REGD 5.50000000   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1341 | PA      | $1345.08      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A2 6% 05/25/33                             | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A2 REGD 6.00000000   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3996 | PA      | $4066.13      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAA 2003-A1 A5 7% 04/25/33                             | NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST SERIES 2 SER 2003-A1 CL A5 REGD 7.00000000   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7552 | PA      | $7622.88      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN 7.8% 05/15/27                         | NORFOLK SOUTHERN CORP REGD 7.80000000                                                            | CUSIP: 655844AJ7<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1791598.52   | 0.01%             | 2027-05-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 3.95% 10/01/42                         | NORFOLK SOUTHERN CORP REGD 3.95000000                                                            | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    332000 | PA      | $275195.93    | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN 4.8% 08/15/43                         | NORFOLK SOUTHERN CORP REGD 4.80000000                                                            | CUSIP: 655844BN7<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1273000 | PA      | $1142669.53   | 0.00%             | 2043-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHER 4.05% 08/15/52                         | NORFOLK SOUTHERN CORP REGD SER WI 4.05000000                                                     | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $853643.86    | 0.00%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BA 4.674% 09/09/30                         | NORINCHUKIN BANK REGD 144A P/P 4.67400000                                                        | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   5625000 | PA      | $5661762.92   | 0.02%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BA 5.359% 09/09/35                         | NORINCHUKIN BANK REGD 144A P/P 5.35900000                                                        | CUSIP: 656029AQ8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |  10898000 | PA      | $11047984.05  | 0.04%             | 2035-09-09      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| NORTHERN NATUR 5.625% 02/01/54                         | NORTHERN NATURAL GAS CO REGD 144A P/P 5.62500000                                                 | CUSIP: 665501AN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $538021.34    | 0.00%             | 2054-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES  3.6% 09/15/47                         | NORTHERN STATES PWR-MINN REGD 3.60000000                                                         | CUSIP: 665772CQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2395000 | PA      | $1803754.61   | 0.01%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CO V/R 05/08/32                         | NORTHERN TRUST CORP REGD V/R 3.37500000                                                          | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    411000 | PA      | $405263.22    | 0.00%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMA 3.85% 04/15/45                         | NORTHROP GRUMMAN CORP REGD 3.85000000                                                            | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    195000 | PA      | $155926.59    | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CFCC 2022-A A 6.19% 10/15/30                           | CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST SER 2022-A CL A REGD 144A P/P 6.19000000        | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6604577 | PA      | $6630714.76   | 0.03%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| CFCC 2025-A A 5.4% 11/15/28                            | CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST SER 2025-A CL A REGD 144A P/P 5.40000000        | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14600000 | PA      | $14667365.86  | 0.06%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 E1 4% 10/17/27                          | AMSR 2022-SFR3 TRUST SER 2022-SFR3 CL E1 REGD 144A P/P 4.00000000                                | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9757295.00   | 0.04%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 4.125% 03/15/35                            | NUTRIEN LTD REGD 4.12500000                                                                      | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1960000 | PA      | $1810206.16   | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 5.25% 01/15/45                             | NUTRIEN LTD REGD 5.25000000                                                                      | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1444000 | PA      | $1349422.69   | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD 4.2% 04/01/29                              | NUTRIEN LTD REGD 4.20000000                                                                      | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    420000 | PA      | $419241.19    | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE S 4.55% 04/15/28                         | NVENT FINANCE SARL REGD 4.55000000                                                               | CUSIP: 67078AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3625000 | PA      | $3645327.44   | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFI 6.875% 04/25/44                         | OFFICE CHERIFIEN DES PHO REGD 144A P/P 6.87500000                                                | CUSIP: 67091TAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | MA        |   1737000 | PA      | $1812559.50   | 0.01%             | 2044-04-25      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIE 6.75% 05/02/34                         | OFFICE CHERIFIEN DES PHO REGD 144A P/P 6.75000000                                                | CUSIP: 67091TAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | MA        |   5033000 | PA      | $5421343.16   | 0.02%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN 6.1% 04/30/30                         | OFFICE CHERIFIEN DES PHO REGD 144A P/P 6.10000000                                                | CUSIP: 67091TAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | MA        |   3580000 | PA      | $3739954.40   | 0.01%             | 2030-04-30      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN 6.7% 03/01/36                         | OFFICE CHERIFIEN DES PHO REGD 144A P/P 6.70000000                                                | CUSIP: 67091TAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | MA        |   6886000 | PA      | $7384408.68   | 0.03%             | 2036-03-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOT 3.6% 09/01/27                         | O'REILLY AUTOMOTIVE INC REGD 3.60000000                                                          | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    802000 | PA      | $797278.86    | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOT 4.7% 06/15/32                         | O'REILLY AUTOMOTIVE INC REGD 4.70000000                                                          | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3177297.68   | 0.01%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM5 A1 V/R 05/25/62                          | OBX 2022-NQM5 TRUST SER 2022-NQM5 CL A1 V/R REGD 144A P/P 4.31000000                             | CUSIP: 67115FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7186572 | PA      | $7170223.61   | 0.03%             | 2062-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| NYMT 2024-CP1 A1 V/R 08/25/37                          | NYMT LOAN TRUST 2024-CP1 SER 2024-CP1 CL A1 V/R REGD 144A P/P 3.75000000                         | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3600836 | PA      | $3360794.51   | 0.01%             | 2068-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM23 A V/R 12/25/29                          | OBX 2025-NQM23 TRUST SER 2025-NQM23 CL A1 V/R REGD 144A P/P 4.87200000                           | CUSIP: 67123BAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18750000 | PA      | $18752788.13  | 0.07%             | 2065-10-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM21 A V/R 11/25/29                          | OBX 2025-NQM21 TRUST SER 2025-NQM21 CL A1FC V/R REGD 144A P/P 4.91700000                         | CUSIP: 67448BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9775970 | PA      | $9779104.72   | 0.04%             | 2065-10-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM2 A1 V/R 02/25/26                          | OBX 2022-NQM2 TRUST SER 2022-NQM2 CL A1 V/R REGD 144A P/P 2.99004000                             | CUSIP: 67448DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6634184 | PA      | $6381916.05   | 0.03%             | 2062-01-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 A1 V/R 03/25/53                          | OBX 2024-HYB1 TRUST SER 2024-HYB1 CL A1 V/R REGD 144A P/P 3.63661000                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6456682 | PA      | $6438963.70   | 0.03%             | 2053-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETRO 4.4% 04/15/46                         | OCCIDENTAL PETROLEUM COR REGD 4.40000000                                                         | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2211507.20   | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETRO 4.3% 08/15/39                         | OCCIDENTAL PETROLEUM COR REGD 4.30000000                                                         | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    825000 | PA      | $710910.75    | 0.00%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PET 7.875% 09/15/31                         | OCCIDENTAL PETROLEUM COR REGD 7.87500000                                                         | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   5368000 | PA      | $6138263.88   | 0.02%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETR 6.45% 09/15/36                         | OCCIDENTAL PETROLEUM COR REGD 6.45000000                                                         | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4262901.88   | 0.02%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETRO 6.2% 03/15/40                         | OCCIDENTAL PETROLEUM COR REGD 6.20000000                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1513027.95   | 0.01%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETRO 6.6% 03/15/46                         | OCCIDENTAL PETROLEUM COR REGD 6.60000000                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1142000 | PA      | $1181150.04   | 0.00%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PET 6.125% 01/01/31                         | OCCIDENTAL PETROLEUM COR REGD 6.12500000                                                         | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2009000 | PA      | $2123366.34   | 0.01%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETR 5.55% 10/01/34                         | OCCIDENTAL PETROLEUM COR REGD 5.55000000                                                         | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5100063.35   | 0.02%             | 2034-10-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| OCTR 2020-8A A1R V/R 03/15/38                          | OCEAN TRAILS CLO 8 SER 2020-8A CL A1R2 V/R REGD 144A P/P 5.08799000                              | CUSIP: 67514UBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30100000 | PA      | $30100000.00  | 0.12%             | 2038-03-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-1A B 5.96% 03/20/26                          | OCTANE RECEIVABLES TRUST 2023-1 SER 2023-1A CL B REGD 144A P/P 5.96000000                        | CUSIP: 67571BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4100000 | PA      | $4116996.14   | 0.02%             | 2029-07-20      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| OCT55 2021-1A A1 V/R 03/20/38                          | OCTAGON 55 LTD SER 2021-1A CL A1R V/R REGD 144A P/P 5.23125000                                   | CUSIP: 67577AAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  40000000 | PA      | $40052040.00  | 0.16%             | 2038-03-20      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POW 6.191% 01/01/31                         | OGLETHORPE POWER CORP REGD 144A P/P 6.19100000                                                   | CUSIP: 677050AC0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |   6357750 | PA      | $6728903.37   | 0.03%             | 2031-01-01      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER 6.2% 12/01/53                         | OGLETHORPE POWER CORP REGD 6.20000000                                                            | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |   4517000 | PA      | $4631932.99   | 0.02%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMP 4.15% 04/01/48                         | OHIO POWER COMPANY REGD 4.15000000                                                               | CUSIP: 677415CQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1190000 | PA      | $939672.33    | 0.00%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPA 2.9% 10/01/51                         | OHIO POWER COMPANY REGD SER R 2.90000000                                                         | CUSIP: 677415CU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1390000 | PA      | $856666.63    | 0.00%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV 4.8% 06/01/11                             | OHIO ST UNIV REGD N/C OID B/E 4.80000000                                                         | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   1102000 | PA      | $908435.46    | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC  5.75% 03/15/29                         | ONCOR ELECTRIC DELIVERY REGD 5.75000000                                                          | CUSIP: 68233JBK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    124000 | PA      | $129658.17    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC D 3.1% 09/15/49                         | ONCOR ELECTRIC DELIVERY REGD SER * 3.10000000                                                    | CUSIP: 68233JBR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1257330.59   | 0.01%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 3.1% 03/15/30                                | ONEOK INC REGD 3.10000000                                                                        | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |  13970000 | PA      | $13283192.05  | 0.05%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 4.2% 03/15/45                                | ONEOK INC REGD 4.20000000                                                                        | CUSIP: 682680BW2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   4567000 | PA      | $3524820.78   | 0.01%             | 2045-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 4.75% 10/15/31                               | ONEOK INC REGD 4.75000000                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276461.20    | 0.00%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 6.5% 09/01/30                                | ONEOK INC REGD 144A P/P 6.50000000                                                               | CUSIP: 682680CR2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |  16976000 | PA      | $18200132.57  | 0.07%             | 2030-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC 6.25% 10/15/55                               | ONEOK INC REGD 6.25000000                                                                        | CUSIP: 682680DD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3427219.14   | 0.01%             | 2055-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ODART 2025-1A  5.36% 06/16/31                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2025-1 SER 2025-1A CL A REGD 144A P/P 5.36000000           | CUSIP: 682684AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17100000 | PA      | $17710230.60  | 0.07%             | 2035-04-16      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| ODART 2023-1A  5.41% 08/14/27                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1 SER 2023-1A CL A REGD 144A P/P 5.41000000           | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12500000 | PA      | $12594288.75  | 0.05%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| ODART 2023-1A  7.07% 11/14/27                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1 SER 2023-1A CL D REGD 144A P/P 7.07000000           | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6480000 | PA      | $6707095.49   | 0.03%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| ODART 2021-1A  1.26% 05/14/25                          | ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2021-1 SER 2021-1A CL B REGD 144A P/P 1.26000000           | CUSIP: 682687AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9165892 | PA      | $9153963.02   | 0.04%             | 2028-07-14      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS  6.65% 10/01/36                         | ONEOK PARTNERS LP REGD 6.65000000                                                                | CUSIP: 68268NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1142761.17   | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS L 6.2% 09/15/43                         | ONEOK PARTNERS LP REGD 6.20000000                                                                | CUSIP: 68268NAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2535264.33   | 0.01%             | 2043-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OMFIT 2020-2A  1.75% 02/14/27                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2 SER 2020-2A CL A REGD 144A P/P 1.75000000                | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7215334 | PA      | $7102372.29   | 0.03%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OMFIT 2023-2A  5.84% 11/14/27                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2 SER 2023-2A CL A1 REGD 144A P/P 5.84000000               | CUSIP: 68269HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16600000 | PA      | $16931968.46  | 0.07%             | 2036-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| OMFIT 2021-1A A2 V/R 09/14/27                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1 SER 2021-1A CL A2 V/R REGD 144A P/P 4.74385000           | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10342000 | PA      | $10354012.23  | 0.04%             | 2036-06-16      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| OMFIT 2025-1A  4.82% 10/14/29                          | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 SER 2025-1A CL A REGD 144A P/P 4.82000000                | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21700000 | PA      | $21938906.15  | 0.09%             | 2038-07-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRV 3.875% 03/20/27                         | CADILLAC FAIRVIEW PRP TR REGD 144A P/P 3.87500000                                                | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1044000 | PA      | $1042148.27   | 0.00%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRV 4.125% 02/01/29                         | CADILLAC FAIRVIEW PRP TR REGD 144A P/P 4.12500000                                                | CUSIP: 68327LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   6740000 | PA      | $6716279.11   | 0.03%             | 2029-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OPTN 2021-B A 1.47% 05/01/24                           | OPORTUN ISSUANCE TRUST 2021-B SER 2021-B CL A REGD 144A P/P 1.47000000                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1101359 | PA      | $1080971.49   | 0.00%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| OPTN 2025-D B 5.31% 02/08/33                           | OPORTUN ISSUANCE TRUST 2025-D SER 2025-D CL B REGD 144A P/P 5.31000000                           | CUSIP: 68379HAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16200000 | PA      | $16251285.96  | 0.06%             | 2033-02-08      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FIBERCOP SPA 7.2% 07/18/36                             | FIBERCOP SPA REGD 144A P/P 7.20000000                                                            | CUSIP: 683879AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | IT        |   1231000 | PA      | $1225152.75   | 0.00%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| OOMLT 2004-3 A4 V/R 11/25/34                           | OPTION ONE MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL A4 V/R REGD 4.74621000                       | CUSIP: 68389FFS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1303759 | PA      | $1359110.81   | 0.01%             | 2034-11-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.3% 07/08/34                              | ORACLE CORP REGD 4.30000000                                                                      | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    221000 | PA      | $199843.84    | 0.00%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.9% 05/15/35                              | ORACLE CORP REGD 3.90000000                                                                      | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    936000 | PA      | $806662.57    | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.375% 05/15/55                            | ORACLE CORP REGD 4.37500000                                                                      | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8400000 | PA      | $5801254.28   | 0.02%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.85% 07/15/36                             | ORACLE CORP REGD 3.85000000                                                                      | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $889475.69    | 0.00%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.8% 11/15/37                              | ORACLE CORP REGD 3.80000000                                                                      | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    600000 | PA      | $484405.08    | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 3.6% 04/01/40                              | ORACLE CORP REGD 3.60000000                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $1854094.53   | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 6.9% 11/09/52                              | ORACLE CORP REGD 6.90000000                                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8893123.38   | 0.04%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.9% 02/06/33                              | ORACLE CORP REGD 4.90000000                                                                      | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2819812.49   | 0.01%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 5.55% 02/06/53                             | ORACLE CORP REGD 5.55000000                                                                      | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1659759.04   | 0.01%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.45% 09/26/30                             | ORACLE CORP REGD 4.45000000                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10163000 | PA      | $9942829.17   | 0.04%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 4.8% 09/26/32                              | ORACLE CORP REGD 4.80000000                                                                      | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   6595000 | PA      | $6366958.29   | 0.03%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 5.2% 09/26/35                              | ORACLE CORP REGD 5.20000000                                                                      | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8230000 | PA      | $7885004.49   | 0.03%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 5.875% 09/26/45                            | ORACLE CORP REGD 5.87500000                                                                      | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8204000 | PA      | $7409227.90   | 0.03%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORLANDO HEALTH 4.089% 10/01/48                         | ORLANDO HEALTH OBL GRP REGD 4.08900000                                                           | CUSIP: 686514AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2116332.69   | 0.01%             | 2048-10-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC 5.65% 05/15/28                             | OVINTIV INC REGD 5.65000000                                                                      | CUSIP: 69047QAB8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   1351000 | PA      | $1390821.17   | 0.01%             | 2028-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 4.15% 10/01/44                          | PECO ENERGY CO REGD 4.15000000                                                                   | CUSIP: 693304AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | PA      | $295767.59    | 0.00%             | 2044-10-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 3.7% 09/15/47                           | PECO ENERGY CO REGD 3.70000000                                                                   | CUSIP: 693304AV9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1617105.37   | 0.01%             | 2047-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 3.9% 03/01/48                           | PECO ENERGY CO REGD 3.90000000                                                                   | CUSIP: 693304AW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5235000 | PA      | $4107547.94   | 0.02%             | 2048-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO 2.8% 06/15/50                           | PECO ENERGY CO REGD 2.80000000                                                                   | CUSIP: 693304AY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    860000 | PA      | $538220.83    | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  4.263% 06/01/36                         | PG&E WILDFIRE RECOVERY REGD SER A-2 4.26300000                                                   | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1687100.78   | 0.01%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  5.212% 12/01/47                         | PG&E WILDFIRE RECOVERY REGD SER A-4 5.21200000                                                   | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1239680.34   | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE  5.099% 06/01/52                         | PG&E WILDFIRE RECOVERY REGD SER A-5 5.09900000                                                   | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2254707.35   | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PFSFC 2025-B A 4.85% 02/15/28                          | PFS FINANCING CORP SER 2025-B CL A REGD 144A P/P 4.85000000                                      | CUSIP: 69335PFU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13575000 | PA      | $13818040.01  | 0.05%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 01/24/34                         | PNC FINANCIAL SERVICES REGD V/R 5.06800000                                                       | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   3433000 | PA      | $3512391.32   | 0.01%             | 2034-01-24      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 06/12/29                         | PNC FINANCIAL SERVICES REGD V/R 5.58200000                                                       | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   8670000 | PA      | $8991831.18   | 0.04%             | 2029-06-12      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 10/20/34                         | PNC FINANCIAL SERVICES REGD V/R 6.87500000                                                       | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5035000 | PA      | $5697741.79   | 0.02%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 10/21/32                         | PNC FINANCIAL SERVICES REGD V/R 4.81200000                                                       | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2430000 | PA      | $2472950.42   | 0.01%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 07/21/36                         | PNC FINANCIAL SERVICES REGD V/R 5.37300000                                                       | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |  13555000 | PA      | $13941113.91  | 0.06%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC U 4.125% 06/15/44                         | PPL ELECTRIC UTILITIES REGD 4.12500000                                                           | CUSIP: 69351UAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    208000 | PA      | $173848.96    | 0.00%             | 2044-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILI 3% 10/01/49                         | PPL ELECTRIC UTILITIES REGD 3.00000000                                                           | CUSIP: 69351UAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2105000 | PA      | $1398316.75   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUN 5.25% 09/01/34                         | PPL CAPITAL FUNDING INC REGD 5.25000000                                                          | CUSIP: 69352PAT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4811000 | PA      | $4926937.79   | 0.02%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PSEG POWER LLC 5.2% 05/15/30                           | PSEG POWER LLC REGD 144A P/P 5.20000000                                                          | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12941000 | PA      | $13235132.11  | 0.05%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PSEG POWER LLC 5.75% 05/15/35                          | PSEG POWER LLC REGD 144A P/P 5.75000000                                                          | CUSIP: 69362BBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7336000 | PA      | $7613791.36   | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDON 4.763% 04/14/27                         | FREEPORT INDONESIA PT REGD 144A P/P MTN 4.76300000                                               | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    660000 | PA      | $661132.56    | 0.00%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2  S/UP 11/25/53                          | PRPM 2023-RCF2 LLC SER 2023-RCF2 CL A1 S/UP REGD 144A P/P 4.00000000                             | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4384167 | PA      | $4346479.55   | 0.02%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 A V/R 12/25/64                          | PRPM 2024-RPL1 LLC SER 2024-RPL1 CL A1 V/R REGD 144A P/P 4.20000000                              | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1922585 | PA      | $1902230.56   | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-2 A1 V/R 05/25/30                            | PRPM 2025-2 LLC SER 2025-2 CL A1 V/R REGD 144A P/P 6.46900000                                    | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4135818 | PA      | $4143534.90   | 0.02%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 A1 V/R 06/25/28                            | PRPM 2025-4 LLC SER 2025-4 CL A1 V/R REGD 144A P/P 6.17900000                                    | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2161769 | PA      | $2165869.56   | 0.01%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-8 A1 V/R 10/25/30                            | PRPM 2025-8 LLC SER 2025-8 CL A1 V/R REGD 144A P/P 5.38500000                                    | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1280450 | PA      | $1282329.48   | 0.01%             | 2030-10-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 A V/R 10/25/55                          | PRPM 2025-RCF5 LLC SER 2025-RCF5 CL A1 V/R REGD 144A P/P 4.83900000                              | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1572732 | PA      | $1573738.25   | 0.01%             | 2055-10-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL2 A V/R 06/25/64                          | PRET 2024-RPL2 TRUST SER 2024-RPL2 CL A1 V/R REGD 144A P/P 4.07500000                            | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5577369 | PA      | $5372829.88   | 0.02%             | 2064-06-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 A V/R 07/25/28                          | PRET 2025-NPL8 LLC SER 2025-NPL8 CL A1 V/R REGD 144A P/P 5.73190000                              | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10066286 | PA      | $10089406.62  | 0.04%             | 2055-08-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL1 A V/R 07/25/69                          | PRET 2025-RPL1 TRUST SER 2025-RPL1 CL A1 V/R REGD 144A P/P 4.00000000                            | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3310799 | PA      | $3243738.12   | 0.01%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2 A V/R 08/25/64                          | PRET 2025-RPL2 TRUST SER 2025-RPL2 CL A1 V/R REGD 144A P/P 4.00000000                            | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7351934 | PA      | $7188723.98   | 0.03%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL5 A V/R 01/25/70                          | PRET 2025-RPL5 TRUST SER 2025-RPL5 CL A1 V/R REGD 144A P/P 4.15000000                            | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5529894 | PA      | $5439036.59   | 0.02%             | 2070-01-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 A V/R 03/25/28                          | PRPM 2024-RCF2 LLC SER 2024-RCF2 CL A1 V/R REGD 144A P/P 3.75000000                              | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3420691 | PA      | $3370136.72   | 0.01%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.45% 04/15/42                         | PACIFIC GAS & ELECTRIC REGD 4.45000000                                                           | CUSIP: 694308GZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1575203.94   | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.75% 08/15/42                         | PACIFIC GAS & ELECTRIC REGD 3.75000000                                                           | CUSIP: 694308HA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    376000 | PA      | $284496.71    | 0.00%             | 2042-08-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.3% 03/15/45                         | PACIFIC GAS & ELECTRIC REGD 4.30000000                                                           | CUSIP: 694308HL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    638000 | PA      | $506082.08    | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 2.95% 03/01/26                         | PACIFIC GAS & ELECTRIC REGD 2.95000000                                                           | CUSIP: 694308HP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $987531.73    | 0.00%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.95% 12/01/47                         | PACIFIC GAS & ELECTRIC REGD SER WI 3.95000000                                                    | CUSIP: 694308HY6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    779000 | PA      | $579956.27    | 0.00%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.95% 07/01/50                         | PACIFIC GAS & ELECTRIC REGD 4.95000000                                                           | CUSIP: 694308JN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4255000 | PA      | $3596462.80   | 0.01%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.5% 07/01/40                         | PACIFIC GAS & ELECTRIC REGD 4.50000000                                                           | CUSIP: 694308JQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15392000 | PA      | $13412576.79  | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 5.9% 06/15/32                         | PACIFIC GAS & ELECTRIC REGD 5.90000000                                                           | CUSIP: 694308KG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2099000 | PA      | $2197559.59   | 0.01%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 6.15% 01/15/33                         | PACIFIC GAS & ELECTRIC REGD 6.15000000                                                           | CUSIP: 694308KJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2228000 | PA      | $2364120.46   | 0.01%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 6.7% 04/01/53                         | PACIFIC GAS & ELECTRIC REGD 6.70000000                                                           | CUSIP: 694308KK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3144000 | PA      | $3317606.12   | 0.01%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 6.1% 01/15/29                         | PACIFIC GAS & ELECTRIC REGD 6.10000000                                                           | CUSIP: 694308KL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    975000 | PA      | $1019718.27   | 0.00%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 6.4% 06/15/33                         | PACIFIC GAS & ELECTRIC REGD 6.40000000                                                           | CUSIP: 694308KM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1488186.74   | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 6.95% 03/15/34                         | PACIFIC GAS & ELECTRIC REGD 6.95000000                                                           | CUSIP: 694308KP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1884000 | PA      | $2095225.68   | 0.01%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 5.8% 05/15/34                         | PACIFIC GAS & ELECTRIC REGD 5.80000000                                                           | CUSIP: 694308KR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4992000 | PA      | $5184528.51   | 0.02%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 5.9% 10/01/54                         | PACIFIC GAS & ELECTRIC REGD 5.90000000                                                           | CUSIP: 694308KT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8735000 | PA      | $8371670.47   | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELEC 6% 08/15/35                         | PACIFIC GAS & ELECTRIC REGD 6.00000000                                                           | CUSIP: 694308KX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2735000 | PA      | $2869828.17   | 0.01%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSU V/R 10/24/67                         | PACIFIC LIFE INSURANCE C REGD V/R 144A P/P 4.30000000                                            | CUSIP: 69448FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    743000 | PA      | $596610.80    | 0.00%             | 2067-10-24      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFICORP 5.8% 01/15/55                               | PACIFICORP REGD 5.80000000                                                                       | CUSIP: 695114DE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3327000 | PA      | $3104686.73   | 0.01%             | 2055-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP O 5.2% 08/15/35                         | PACKAGING CORP OF AMERIC REGD 5.20000000                                                         | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2680384.42   | 0.01%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PATH 2023-1 A 3.6% 10/25/28                            | PAGAYA AI TECHNOLOGY IN HOUSING TRUST 2023-1 SER 2023-1 CL A REGD 144A P/P 3.60000000            | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3200000 | PA      | $3118115.52   | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANA 4.5% 04/16/50                         | REPUBLIC OF PANAMA REGD 4.50000000                                                               | CUSIP: 698299BH6<br>LEI: N/A                  | Long             | DBT              | USGA              | PA        |    935000 | PA      | $720978.50    | 0.00%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANA 4.5% 01/19/63                         | REPUBLIC OF PANAMA REGD 4.50000000                                                               | CUSIP: 698299BS2<br>LEI: N/A                  | Long             | DBT              | USGA              | PA        |    949000 | PA      | $706721.78    | 0.00%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN 4.45% 11/21/44                         | PARKER-HANNIFIN CORP REGD MTN 4.45000000                                                         | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    333000 | PA      | $292336.66    | 0.00%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC 5.1% 04/15/30                              | PAYCHEX INC REGD 5.10000000                                                                      | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10295144.00  | 0.04%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PEACHTREE FUND 6.012% 05/15/35                         | PEACHTREE FUND TRUST II REGD 144A P/P 6.01200000                                                 | CUSIP: 70470BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5269981.30   | 0.02%             | 2035-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXI 6.625% 06/15/38                         | PETROLEOS MEXICANOS REGD 6.62500000                                                              | CUSIP: 706451BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    126000 | PA      | $114156.00    | 0.00%             | 2038-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PEN 3.25% 03/15/28                         | FIRSTENERGY PENN ELECTRI REGD 144A P/P 3.25000000                                                | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2386000 | PA      | $2337847.87   | 0.01%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEA 6.2% 06/15/30                         | PENSKE TRUCK LEASING/PTL REGD 144A P/P 6.20000000                                                | CUSIP: 709599BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2925000 | PA      | $3122642.05   | 0.01%             | 2030-06-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LE 6.05% 08/01/28                         | PENSKE TRUCK LEASING/PTL REGD 144A P/P 6.05000000                                                | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5209399.75   | 0.02%             | 2028-08-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| PEPCO HOLDINGS  7.45% 08/15/32                         | PEPCO HOLDINGS LLC REGD 7.45000000                                                               | CUSIP: 713291AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    222000 | PA      | $254872.33    | 0.00%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNI 3.301% 12/01/59                         | PEPPERDINE UNIV REGD SER 2020 3.30100000                                                         | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $911908.57    | 0.00%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PMNBT 2025-1A  5.58% 02/15/29                          | PERIMETER MASTER NOTE BUSINESS TRUST SER 2025-1A CL A REGD 144A P/P 5.58000000                   | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-CBDO         | CORP              | US        |  12750000 | PA      | $12822785.93  | 0.05%             | 2030-12-16      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| REVVITY INC 3.625% 03/15/51                            | REVVITY INC REGD 3.62500000                                                                      | CUSIP: 714046AJ8<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2416624.83   | 0.01%             | 2051-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PE 5.625% 11/18/50                         | REPUBLIC OF PERU REGD 5.62500000                                                                 | CUSIP: 715638BM3<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    190000 | PA      | $185012.50    | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PE 2.783% 01/23/31                         | REPUBLIC OF PERU REGD 2.78300000                                                                 | CUSIP: 715638DF6<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   2220000 | PA      | $2046951.00   | 0.01%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU 6.2% 06/30/55                         | REPUBLIC OF PERU REGD 6.20000000                                                                 | CUSIP: 715638FD9<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   1936000 | PA      | $1989046.40   | 0.01%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICA 6.7% 02/16/32                         | PETROLEOS MEXICANOS REGD 6.70000000                                                              | CUSIP: 71643VAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   6724000 | PA      | $6706048.40   | 0.03%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY  7.875% 06/15/26                         | SUNCOR ENERGY INC REGD 7.87500000                                                                | CUSIP: 71644EAE2<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    543000 | PA      | $551563.84    | 0.00%             | 2026-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY IN 6.8% 05/15/38                         | SUNCOR ENERGY INC REGD 6.80000000                                                                | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $253965.29    | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICA 6.5% 01/23/29                         | PETROLEOS MEXICANOS REGD SER WI 6.50000000                                                       | CUSIP: 71654QCP5<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    970000 | PA      | $985520.00    | 0.00%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMEN 5.3% 05/19/53                         | PFIZER INVESTMENT ENTER REGD 5.30000000                                                          | CUSIP: 716973AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |   4685000 | PA      | $4436115.70   | 0.02%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PFIZER INC 5.6% 11/15/55                               | PFIZER INC REGD 5.60000000                                                                       | CUSIP: 717081FG3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   2375000 | PA      | $2353536.32   | 0.01%             | 2055-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PFIZER INC 3.875% 11/15/27                             | PFIZER INC REGD 3.87500000                                                                       | CUSIP: 717081FJ7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   7811000 | PA      | $7836608.44   | 0.03%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY  5.231% 06/01/42                         | PG&E RECOVERY FND LLC REGD SER A-2 5.23100000                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2674420.73   | 0.01%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY  5.529% 06/01/49                         | PG&E RECOVERY FND LLC REGD SER A-3 5.52900000                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3140000 | PA      | $3135623.59   | 0.01%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PHEAA 2021-1A A V/R 05/25/70                           | PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY SER 2021-1A CL A V/R 144A P/P 4.51867000         | CUSIP: 71723MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3629199 | PA      | $3564136.03   | 0.01%             | 2070-05-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS  5.125% 02/13/31                         | PHILIP MORRIS INTL INC REGD 5.12500000                                                           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   9615000 | PA      | $9963092.71   | 0.04%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL 4% 10/29/30                         | PHILIP MORRIS INTL INC REGD 4.00000000                                                           | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |  19120000 | PA      | $18946409.71  | 0.08%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 5.875% 05/01/42                            | PHILLIPS 66 REGD SER WI 5.87500000                                                               | CUSIP: 718546AH7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3032309.04   | 0.01%             | 2042-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC 2.625% 11/01/31                             | DOC DR LLC REGD 2.62500000                                                                       | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1222731.13   | 0.00%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALT 2.864% 01/01/52                         | PIEDMONT HEALTHCARE INC REGD 2.86400000                                                          | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $1388577.76   | 0.01%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL  1.9% 08/15/30                         | PIONEER NATURAL RESOURCE REGD 1.90000000                                                         | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |  10650000 | PA      | $9645621.18   | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER 3.55% 12/15/29                         | PLAINS ALL AMER PIPELINE REGD 3.55000000                                                         | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2720150.08   | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER 5.95% 06/15/35                         | PLAINS ALL AMERICAN PIPE REGD 5.95000000                                                         | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $3077434.31   | 0.01%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER  4.7% 01/15/31                         | PLAINS ALL AMER PIPELINE REGD 4.70000000                                                         | CUSIP: 72650RBR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2715223.92   | 0.01%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER  5.6% 01/15/36                         | PLAINS ALL AMER PIPELINE REGD 5.60000000                                                         | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6771000 | PA      | $6849311.69   | 0.03%             | 2036-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLA 5.5% 03/18/54                         | REPUBLIC OF POLAND REGD SER 30Y 5.50000000                                                       | CUSIP: 731011AZ5<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |   2147000 | PA      | $2053245.92   | 0.01%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PILOT 2025-1A  4.61% 10/20/28                          | PORSCHE INNOVATIVE LEASE OWNER TRUST 2025-1 SER 2025-1A CL A3 REGD 144A P/P 4.61000000           | CUSIP: 73329KAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6554000 | PA      | $6628520.29   | 0.03%             | 2028-10-20      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 5.647% 11/01/40                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E GO OF A 5.64700000                                   | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1260000 | PA      | $1342449.23   | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 5.647% 11/01/40                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E GO OF A 5.64700000                                   | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    435000 | PA      | $463464.62    | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF N 4.458% 10/01/62                         | PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E 4.45800000                                           | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2065000 | PA      | $1730315.13   | 0.01%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC 6.5% 11/15/37                         | POTOMAC ELECTRIC POWER REGD 6.50000000                                                           | CUSIP: 737679DB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136000 | PA      | $152537.83    | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PWRP 2025-1A A 5.23% 01/18/31                          | POWERPAY ISSUANCE TRUST 2025-1 SER 2025-1A CL A REGD 144A P/P 5.23000000                         | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10601902 | PA      | $10630826.02  | 0.04%             | 2041-11-18      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PRECISION CASTPA 4.2% 06/15/35                         | PRECISION CASTPARTS CORP REGD 4.20000000                                                         | CUSIP: 740189AN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $73046.38     | 0.00%             | 2035-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PRECISION CAST 4.375% 06/15/45                         | PRECISION CASTPARTS CORP REGD 4.37500000                                                         | CUSIP: 740189AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $361043.21    | 0.00%             | 2045-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS O 3.3% 07/15/56                         | PRES & FELLOWS OF HARVAR REGD 3.30000000                                                         | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |   4420000 | PA      | $3041801.57   | 0.01%             | 2056-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS 4.887% 03/15/30                         | PRES & FELLOWS OF HARVAR REGD 4.88700000                                                         | CUSIP: 740816AS2<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |   8231000 | PA      | $8489006.13   | 0.03%             | 2030-03-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS 5.259% 03/15/36                         | PRES & FELLOWS OF HARVAR REGD 5.25900000                                                         | CUSIP: 740816AT0<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |   4927000 | PA      | $5172061.98   | 0.02%             | 2036-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 A V/R 06/25/28                          | PRET 2025-NPL6 LLC SER 2025-NPL6 CL A1 V/R REGD 144A P/P 5.74370000                              | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5157855 | PA      | $5177857.88   | 0.02%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL7 A V/R 10/25/27                          | PRET 2024-NPL7 LLC SER 2024-NPL7 CL A1 V/R REGD 144A P/P 5.92510000                              | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2969745 | PA      | $2971570.61   | 0.01%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRIME 2004-CL1 1A 6% 02/25/34                          | PRIME MORTGAGE TRUST 2004-CL1 SER 2004-CL1 CL 1A1 REGD 6.00000000                                | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12336 | PA      | $12324.75     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINA 4.111% 02/15/28                         | PRINCIPAL FINANCIAL GRP REGD P/P 4.11100000                                                      | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1970631.83   | 0.01%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GL 5.1% 01/25/29                         | PRINCIPAL LFE GLB FND II REGD 144A P/P 5.10000000                                                | CUSIP: 74256LEY1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7167241.48   | 0.03%             | 2029-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PRM7 2025-PRM7 C V/R 11/10/30                          | PRM7 TRUST 2025-PRM7 SER 2025-PRM7 CL C V/R REGD 144A P/P 4.94108000                             | CUSIP: 74290HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4285000 | PA      | $4243064.42   | 0.02%             | 2042-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| PROG 2024-SFR2  3.3% 04/17/29                          | PROGRESS RESIDENTIAL 2024-SFR2 TRUST SER 2024-SFR2 CL A REGD 144A P/P 3.30000000                 | CUSIP: 74290XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19784234 | PA      | $19098732.05  | 0.08%             | 2041-04-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR3  5.2% 04/17/27                          | PROGRESS RESIDENTIAL 2022-SFR3 TRUST SER 2022-SFR3 CL E1 REGD 144A P/P 5.20000000                | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9025000 | PA      | $8989412.62   | 0.04%             | 2039-04-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR 3.945% 04/17/27                          | PROGRESS RESIDENTIAL 2022-SFR2 TRUST SER 2022-SFR2 CL D REGD 144A P/P 3.94500000                 | CUSIP: 74332VAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2953794.00   | 0.01%             | 2027-04-17      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 2.811% 11/17/28                          | PROGRESS RESIDENTIAL 2021-SFR9 TRUST SER 2021-SFR9 CL E1 REGD 144A P/P 2.81100000                | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5400000 | PA      | $5065147.08   | 0.02%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR 2.538% 05/17/26                          | PROGRESS RESIDENTIAL 2021-SFR3 SER 2021-SFR3 CL E1 REGD 144A P/P 2.53800000                      | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6250000 | PA      | $6207760.63   | 0.02%             | 2026-05-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| PROG 2022-SFR1 E V/R 02/17/29                          | PROGRESS RESIDENTIAL 2022-SFR1 TRUST SER 2022-SFR1 CL E1 V/R REGD 144A P/P 3.93000000            | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11100000 | PA      | $10719914.91  | 0.04%             | 2041-02-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR3 3.39% 07/17/30                          | PROGRESS RESIDENTIAL 2025-SFR3 TRUST SER 2025-SFR3 CL B REGD 144A P/P 3.39000000                 | CUSIP: 74334BAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8310000 | PA      | $7790157.98   | 0.03%             | 2042-07-17      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR6 C 4% 12/17/30                           | PROGRESS RESIDENTIAL 2025-SFR6 TRUST SER 2025-SFR6 CL C REGD 144A P/P 4.00000000                 | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5330000 | PA      | $5081151.89   | 0.02%             | 2042-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR6 D 4% 12/17/30                           | PROGRESS RESIDENTIAL 2025-SFR6 TRUST SER 2025-SFR6 CL D REGD 144A P/P 4.00000000                 | CUSIP: 74334EAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7735000 | PA      | $7261490.37   | 0.03%             | 2042-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR 3.555% 04/17/30                          | PROGRESS RESIDENTIAL 2025-SFR2 TRUST SER 2025-SFR2 CL D REGD 144A P/P 3.55500000                 | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8372507 | PA      | $7826814.38   | 0.03%             | 2042-04-17      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| PROG 2025-SFR5 C 4% 10/17/30                           | PROGRESS RESIDENTIAL 2025-SFR5 TRUST SER 2025-SFR5 CL C REGD 144A P/P 4.00000000                 | CUSIP: 74334RAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1400000 | PA      | $1337241.08   | 0.01%             | 2042-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 2.25% 04/15/30                             | PROLOGIS LP REGD 2.25000000                                                                      | CUSIP: 74340XBM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $282972.19    | 0.00%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 2.875% 11/15/29                            | PROLOGIS LP REGD 2.87500000                                                                      | CUSIP: 74340XBY6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $764845.15    | 0.00%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE  4.3% 09/30/28                         | PROTECTIVE LIFE CORP REGD 144A P/P 4.30000000                                                    | CUSIP: 743674BD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4512514.23   | 0.02%             | 2028-09-30      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIF 5.467% 12/08/28                         | PROTECTIVE LIFE GLOBAL REGD 144A P/P 5.46700000                                                  | CUSIP: 74368CBV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5725000 | PA      | $5931564.01   | 0.02%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIF 4.161% 01/15/29                         | PROTECTIVE LIFE GLOBAL REGD 144A P/P 4.16100000                                                  | CUSIP: 74368CCD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7249000 | PA      | $7258499.45   | 0.03%             | 2029-01-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH 2.746% 10/01/26                         | PROV ST JOSEPH HLTH OBL REGD SER H 2.74600000                                                    | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    865000 | PA      | $857391.32    | 0.00%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FIN 3.905% 12/07/47                         | PRUDENTIAL FINANCIAL INC REGD SER WI 3.90500000                                                  | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1231000 | PA      | $967887.99    | 0.00%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FIN 6.625% 06/21/40                         | PRUDENTIAL FINANCIAL INC REGD MTN 6.62500000                                                     | CUSIP: 74432QBN4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   5995000 | PA      | $6831192.19   | 0.03%             | 2040-06-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE  3.55% 06/15/46                         | PUBLIC SERVICE COLORADO REGD 3.55000000                                                          | CUSIP: 744448CM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | PA      | $255795.22    | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE C 4.1% 06/15/48                         | PUBLIC SERVICE COLORADO REGD 4.10000000                                                          | CUSIP: 744448CQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2515000 | PA      | $1998412.28   | 0.01%             | 2048-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 A V/R 12/25/28                          | PRPM 2024-RPL4 LLC SER 2024-RPL4 CL A1 V/R REGD 144A P/P 4.00000000                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7926083 | PA      | $7783318.81   | 0.03%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE 6.625% 11/15/37                         | PUBLIC SERVICE OKLAHOMA REGD SER G 6.62500000                                                    | CUSIP: 744533BJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    649000 | PA      | $711283.56    | 0.00%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE O 5.2% 01/15/35                         | PUBLIC SERVICE OKLAHOMA REGD 5.20000000                                                          | CUSIP: 744533BR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    685000 | PA      | $692406.69    | 0.00%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & 5.375% 11/01/39                         | PUB SVC ELEC & GAS REGD MTN 5.37500000                                                           | CUSIP: 74456QAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    117000 | PA      | $118624.76    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE E 3.6% 12/01/47                         | PUBLIC SERVICE ELECTRIC REGD MTN 3.60000000                                                      | CUSIP: 74456QBT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1204360.43   | 0.00%             | 2047-12-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELE 3% 03/01/51                         | PUBLIC SERVICE ELECTRIC REGD MTN 3.00000000                                                      | CUSIP: 74456QCG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4380000 | PA      | $2867561.87   | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE  4.65% 03/15/33                         | PUBLIC SERVICE ELECTRIC REGD MTN 4.65000000                                                      | CUSIP: 74456QCL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7255000 | PA      | $7296290.60   | 0.03%             | 2033-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE E 1.6% 08/15/30                         | PUBLIC SERVICE ENTERPRIS REGD 1.60000000                                                         | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   8395000 | PA      | $7440495.55   | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY I 2.379% 06/15/28                         | PUGET ENERGY INC REGD 2.37900000                                                                 | CUSIP: 745310AM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $535859.68    | 0.00%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY I 5.725% 03/15/35                         | PUGET ENERGY INC REGD 5.72500000                                                                 | CUSIP: 745310AQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1508449.57   | 0.01%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY 1.375% 09/12/26                           | QATAR ENERGY REGD 144A P/P 1.37500000                                                            | CUSIP: 74730DAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |   1534000 | PA      | $1504806.45   | 0.01%             | 2026-09-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY 2.25% 07/12/31                            | QATAR ENERGY REGD 144A P/P 2.25000000                                                            | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |   3240000 | PA      | $2917944.00   | 0.01%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY 3.125% 07/12/41                           | QATAR ENERGY REGD 144A P/P 3.12500000                                                            | CUSIP: 74730DAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |  24182000 | PA      | $18621445.83  | 0.07%             | 2041-07-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES 2.35% 01/15/32                         | QUANTA SERVICES INC REGD 2.35000000                                                              | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   2965000 | PA      | $2611251.25   | 0.01%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES  4.5% 01/15/31                         | QUANTA SERVICES INC REGD 4.50000000                                                              | CUSIP: 74762EAN2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   7315000 | PA      | $7320963.70   | 0.03%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES  5.1% 08/09/35                         | QUANTA SERVICES INC REGD 5.10000000                                                              | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  10598000 | PA      | $10620685.44  | 0.04%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RALI 2007-QS1 1A1 6% 01/25/37                          | RALI SERIES 2007-QS1 TRUST SER 2007-QS1 CL 1A1 REGD 6.00000000                                   | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6748 | PA      | $5402.94      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES5 A V/R 08/25/44                          | RCKT MORTGAGE TRUST 2024-CES5 SER 2024-CES5 CL A1A V/R REGD 144A P/P 5.84600000                  | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1324593 | PA      | $1337582.09   | 0.01%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| RCO 2025-3 A1 V/R 05/25/28                             | RCO VIII MORTGAGE LLC 2025-3 SER 2025-3 CL A1 V/R REGD 144A P/P 6.43450000                       | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3726085 | PA      | $3734250.79   | 0.01%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-1A  4.99% 07/25/34                          | RCKT TRUST 2025-PL1 SER 2025-1A CL B REGD 144A P/P 4.99000000                                    | CUSIP: 74939RAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1430000 | PA      | $1438728.86   | 0.01%             | 2034-07-25      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| RCO 2025-4 A1 V/R 10/25/30                             | RCO IX MORTGAGE LLC 2025-4 SER 2025-4 CL A1 V/R REGD 144A P/P 5.30990000                         | CUSIP: 74939VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12418425 | PA      | $12423118.03  | 0.05%             | 2030-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES7 A V/R 09/25/28                          | RCKT MORTGAGE TRUST 2024-CES7 SER 2024-CES7 CL A1A V/R REGD 144A P/P 5.15800000                  | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3812215 | PA      | $3824254.18   | 0.02%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| RCKT 2024-CES9 A V/R 12/25/28                          | RCKT MORTGAGE TRUST 2024-CES9 SER 2024-CES9 CL A1A V/R REGD 144A P/P 5.58200000                  | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4017891 | PA      | $4059009.04   | 0.02%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| RCKT 2025-CES9 A V/R 09/25/55                          | RCKT MORTGAGE TRUST 2025-CES9 SER 2025-CES9 CL A1A V/R REGD 144A P/P 4.79500000                  | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6176077 | PA      | $6164024.65   | 0.02%             | 2055-09-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL IN 5.25% 03/27/35                         | RELX CAPITAL INC REGD 5.25000000                                                                 | CUSIP: 74949LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1155950.77   | 0.00%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROCC 2024-CNT 5.388% 11/13/29                          | ROCK TRUST 2024-CNTR SER 2024-CNTR CL A REGD 144A P/P 5.38834000                                 | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3595822.65   | 0.01%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABO V/R 01/21/33                         | COOPERATIEVE RABOBANK UA REGD V/R 144A P/P 5.71000000                                            | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   3100000 | PA      | $3263474.01   | 0.01%             | 2033-01-21      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABO V/R 05/27/31                         | COOPERATIEVE RABOBANK UA REGD V/R 144A P/P 4.99000000                                            | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   5450000 | PA      | $5575471.26   | 0.02%             | 2031-05-27      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US 5.875% 04/16/34                         | RWE FINANCE US LLC REGD 144A P/P 5.87500000                                                      | CUSIP: 749983AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4446000 | PA      | $4686902.38   | 0.02%             | 2034-04-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US  6.25% 04/16/54                         | RWE FINANCE US LLC REGD 144A P/P 6.25000000                                                      | CUSIP: 749983AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2052465.34   | 0.01%             | 2054-04-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US 5.875% 09/18/55                         | RWE FINANCE US LLC REGD 144A P/P 5.87500000                                                      | CUSIP: 749983AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2281000 | PA      | $2230323.80   | 0.01%             | 2055-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RCO 2025-2 A1 V/R 04/25/28                             | RCO IX MORTGAGE LLC 2025-2 SER 2025-2 CL A1 V/R REGD 144A P/P 6.51310000                         | CUSIP: 754930AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9039106 | PA      | $9068042.85   | 0.04%             | 2030-04-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| RTX CORP 4.35% 04/15/47                                | RTX CORP REGD SER WI 4.35000000                                                                  | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    970000 | PA      | $821995.99    | 0.00%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX CORP 2.82% 09/01/51                                | RTX CORP REGD 2.82000000                                                                         | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $1590325.99   | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| RTX CORP 5.15% 02/27/33                                | RTX CORP REGD 5.15000000                                                                         | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2076000 | PA      | $2144094.61   | 0.01%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RCO 2025-1 A1 V/R 01/25/28                             | RCO X MORTGAGE LLC 2025-1 SER 2025-1 CL A1 V/R REGD 144A P/P 5.87500000                          | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3131707 | PA      | $3138306.87   | 0.01%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| RCO 2025-5 A1 V/R 10/25/28                             | RCO X MORTGAGE LLC 2025-5 SER 2025-5 CL A1 V/R REGD 144A P/P 5.41800000                          | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7886256 | PA      | $7792520.66   | 0.03%             | 2030-10-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME  5.125% 04/15/35                         | REALTY INCOME CORP REGD 5.12500000                                                               | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |  15815000 | PA      | $16086601.59  | 0.06%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD C 6.05% 04/15/28                         | REGAL REXNORD CORP REGD 6.05000000                                                               | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   1368000 | PA      | $1415145.29   | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARM 1.75% 09/15/30                         | REGENERON PHARMACEUTICAL REGD 1.75000000                                                         | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2497928.13   | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REG12 2019-1A AR V/R 10/15/37                          | REGATTA XII FUNDING LTD SER 2019-1A CL ARR V/R REGD 144A P/P 5.29454000                          | CUSIP: 75888HAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  28000000 | PA      | $28055888.00  | 0.11%             | 2037-10-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| RMIT 2025-1 A 4.99% 04/17/34                           | REGIONAL MANAGEMENT ISSUANCE TRUST 2025-1 SER 2025-1 CL A REGD 144A P/P 4.99000000               | CUSIP: 75908AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4055000 | PA      | $4083541.12   | 0.02%             | 2034-04-17      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUS 2.875% 01/12/32                         | RELIANCE INDUSTRIES LTD REGD 144A P/P 2.87500000                                                 | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   3000000 | PA      | $2737258.83   | 0.01%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RAMC 2007-1 AF3 V/R 04/25/37                           | RENAISSANCE HOME EQUITY LOAN TRUST 2007-1 SER 2007-1 CL AF3 V/R REGD 5.61200000                  | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    298832 | PA      | $74055.71     | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RENEW 2017-1A  3.67% 09/20/52                          | RENEW 2017-1 SER 2017-1A CL A REGD 144A P/P 3.67000000                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    657174 | PA      | $611936.06    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| RALI 2005-QA6 A3 V/R 05/25/35                          | RALI SERIES 2005-QA6 TRUST SER 2005-QA6 CL A32 V/R REGD 6.83740600                               | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     68887 | PA      | $35367.39     | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| RFC PRIN STRIP ZCP 04/15/30                            | RESOLUTION FUNDING CORP PRINCIPAL STRIP ZCP 0.00000000                                           | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    929000 | PA      | $786438.07    | 0.00%             | 2030-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERIC 7.25% 06/15/37                         | REYNOLDS AMERICAN INC REGD 7.25000000                                                            | CUSIP: 761713AT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2365000 | PA      | $2732754.28   | 0.01%             | 2037-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICA 5.7% 08/15/35                         | REYNOLDS AMERICAN INC REGD 5.70000000                                                            | CUSIP: 761713BA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $114735.02    | 0.00%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN  4.875% 03/14/30                         | RIO TINTO FIN USA PLC REGD 4.87500000                                                            | CUSIP: 76720AAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |  10230000 | PA      | $10509699.45  | 0.04%             | 2030-03-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN U 5.25% 03/14/35                         | RIO TINTO FIN USA PLC REGD 5.25000000                                                            | CUSIP: 76720AAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    691000 | PA      | $712030.18    | 0.00%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS 5.593% 11/13/33                         | ROCHE HOLDINGS INC REGD 144A P/P 5.59300000                                                      | CUSIP: 771196CH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7570000 | PA      | $8093154.30   | 0.03%             | 2033-11-13      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS 4.592% 09/09/34                         | ROCHE HOLDINGS INC REGD 144A P/P 4.59200000                                                      | CUSIP: 771196CQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4875000 | PA      | $4863482.08   | 0.02%             | 2034-09-09      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| ROC 2025-RTL1 A1 V/R 08/25/27                          | ROC MORTGAGE TRUST 2025-RTL1 SER 2025-RTL1 CL A1 V/R REGD 144A P/P 5.62500000                    | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6031967.40   | 0.02%             | 2040-02-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICA 3.8% 03/15/32                         | ROGERS COMMUNICATIONS IN REGD 3.80000000                                                         | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   4650000 | PA      | $4381075.62   | 0.02%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICA 5.3% 02/15/34                         | ROGERS COMMUNICATIONS IN REGD 5.30000000                                                         | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  12145000 | PA      | $12237327.14  | 0.05%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA 6.375% 01/30/34                                | ROMANIA REGD 144A P/P 6.37500000                                                                 | CUSIP: 77586RAU4<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |   2266000 | PA      | $2356708.25   | 0.01%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA 6.625% 05/16/36                                | ROMANIA REGD 144A P/P 6.62500000                                                                 | CUSIP: 77586RAX8<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |   4642000 | PA      | $4838356.60   | 0.02%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA 5.75% 09/16/30                                 | ROMANIA REGD 144A P/P 5.75000000                                                                 | CUSIP: 77586RAY6<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |  18920000 | PA      | $19515696.20  | 0.08%             | 2030-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGI 4.9% 10/15/34                         | ROPER TECHNOLOGIES INC REGD 4.90000000                                                           | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4190829.22   | 0.02%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PL 4.8% 04/05/26                         | NATWEST GROUP PLC REGD 4.80000000                                                                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3017000 | PA      | $3024493.90   | 0.01%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 05/18/29                         | NATWEST GROUP PLC REGD V/R 4.89200000                                                            | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   9505000 | PA      | $9664892.64   | 0.04%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 05/08/30                         | NATWEST GROUP PLC REGD V/R_ 4.44500000                                                           | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    985000 | PA      | $988691.00    | 0.00%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 01/27/30                         | NATWEST GROUP PLC REGD V/R 5.07600000                                                            | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   9010000 | PA      | $9209129.20   | 0.04%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN 6.25% 03/15/32                         | ROYAL CARIBBEAN CRUISES REGD 144A P/P 6.25000000                                                 | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1779773.87   | 0.01%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 08/06/29                         | ROYAL BANK OF CANADA REGD V/R MTN 4.49800000                                                     | CUSIP: 78017DAK4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  12812000 | PA      | $12936437.83  | 0.05%             | 2029-08-06      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 11/03/31                         | ROYAL BANK OF CANADA REGD V/R MTN 4.30500000                                                     | CUSIP: 78017DAQ1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  14930000 | PA      | $14856560.38  | 0.06%             | 2031-11-03      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 10/18/30                         | ROYAL BANK OF CANADA REGD V/R MTN SER GMTN 4.65000000                                            | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  12477000 | PA      | $12650949.34  | 0.05%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA P 5.2% 09/25/35                         | ROYALTY PHARMA PLC REGD 5.20000000                                                               | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4371999.73   | 0.02%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC 1.5% 01/19/26                             | SK HYNIX INC REGD 144A P/P 1.50000000                                                            | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   2000000 | PA      | $1997318.52   | 0.01%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SFAST 2023-1A  5.71% 09/20/27                          | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2 SER 2023-1A CL B REGD 144A P/P 5.71000000            | CUSIP: 78398AAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1228869.12   | 0.00%             | 2030-01-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SFAST 2023-1A  5.97% 10/20/27                          | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2 SER 2023-1A CL C REGD 144A P/P 5.97000000            | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1550000 | PA      | $1594203.68   | 0.01%             | 2031-02-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| SCG 2025-SNIP A V/R 09/15/27                           | SCG TRUST 2025-SNIP SER 2025-SNIP CL A V/R REGD 144A P/P 5.25012000                              | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14250000 | PA      | $14272248.53  | 0.06%             | 2042-09-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SCFET 2023-1A  6.17% 05/20/32                          | SCF EQUIPMENT LEASING 2023-1 LLC SER 2023-1A CL A3 REGD 144A P/P 6.17000000                      | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2514803 | PA      | $2547986.81   | 0.01%             | 2032-05-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SCFET 2023-1A D 7% 08/22/33                            | SCF EQUIPMENT LEASING 2023-1 LLC SER 2023-1A CL D REGD 144A P/P 7.00000000                       | CUSIP: 784024AF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8558000 | PA      | $8968218.32   | 0.04%             | 2033-08-22      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC 4.25% 05/01/29                          | S&P GLOBAL INC REGD 4.25000000                                                                   | CUSIP: 78409VBG8<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   3529000 | PA      | $3547942.47   | 0.01%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY F 4.697% 06/15/40                         | SCE RECOVERY FUNDING LLC REGD SER A-1 4.69700000                                                 | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2106094 | PA      | $2094477.81   | 0.01%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY F 4.453% 03/15/36                         | SCE RECOVERY FUNDING LLC REGD 4.45300000                                                         | CUSIP: 78433LAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5171000 | PA      | $5182067.80   | 0.02%             | 2036-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY F 5.341% 03/15/45                         | SCE RECOVERY FUNDING LLC REGD 5.34100000                                                         | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2765000 | PA      | $2762360.64   | 0.01%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SCFET 2025-1A  5.11% 11/21/33                          | SCF EQUIPMENT LEASING 2025-1 LLC SER 2025-1A CL A3 REGD 144A P/P 5.11000000                      | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6950000 | PA      | $7094524.56   | 0.03%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CA 1.9% 10/15/26                         | SMBC AVIATION CAPITAL FI REGD 144A P/P 1.90000000                                                | CUSIP: 78448TAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1400000 | PA      | $1376160.66   | 0.01%             | 2026-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION C 5.55% 04/03/34                         | SMBC AVIATION CAPITAL FI REGD 144A P/P 5.55000000                                                | CUSIP: 78448TAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  11200000 | PA      | $11550853.66  | 0.05%             | 2034-04-03      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SLG 2021-OVA  2.585% 07/15/31                          | SLG OFFICE TRUST 2021-OVA SER 2021-OVA CL A REGD 144A P/P 2.58540000                             | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9955000 | PA      | $8899801.86   | 0.04%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SABAL TRAIL TR 4.682% 05/01/38                         | SABAL TRAIL TRANS REGD 144A P/P 4.68200000                                                       | CUSIP: 78516FAB5<br>LEI: 5493002DWITGSZFUI977 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9464406.80   | 0.04%             | 2038-05-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQU 4.5% 05/15/30                         | SABINE PASS LIQUEFACTION REGD SER WI 4.50000000                                                  | CUSIP: 785592AX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3320000 | PA      | $3333440.82   | 0.01%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLD 2.8% 06/15/31                         | SAFEHOLD GL HOLDINGS LLC REGD 2.80000000                                                         | CUSIP: 78646UAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2328000 | PA      | $2139620.38   | 0.01%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOL 2.85% 01/15/32                         | SAFEHOLD GL HOLDINGS LLC REGD 2.85000000                                                         | CUSIP: 78646UAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4308000 | PA      | $3880475.29   | 0.02%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SAINT JOHNS CN 2.538% 10/01/30                         | SAINT JOHNS CNTY FL INDL DEV A REGD B/E AG 2.53800000                                            | CUSIP: 790417AQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10000000 | PA      | $9210317.00   | 0.04%             | 2030-10-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| SBM7 2003-UP2 PO ZCP 12/25/18                          | CITIGROUP GLOBAL MARKETS MORTGAGE SECURITIES VII INC SER 2003-UP2 CL PO1 ZCP REGD 0.00000000     | CUSIP: 79549AXS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       140 | PA      | $139.06       | 0.00%             | 2033-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SBM7 2003-HYB1 A V/R 09/25/33                          | CITIGROUP GLOBAL MARKETS MORTGAGE SECURITIES VII INC SER 2003-HYB1 CL A V/R REGD 6.74000000      | CUSIP: 79549AYG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10061 | PA      | $9855.44      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCI 3.35% 04/16/31                         | SAMMONS FINANCIAL GROUP REGD 144A P/P 3.35000000                                                 | CUSIP: 79588TAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6487876.08   | 0.03%             | 2031-04-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCI 4.75% 04/08/32                         | SAMMONS FINANCIAL GROUP REGD 144A P/P 4.75000000                                                 | CUSIP: 79588TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4864371.95   | 0.02%             | 2032-04-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACA 9.5% 06/30/31                         | SAMARCO MINERACAO SA REGD 144A P/P 9.50000000                                                    | CUSIP: 79588YAA7<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |    664968 | PA      | $673582.66    | 0.00%             | 2031-06-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 5.35% 05/15/40                         | SAN DIEGO G & E REGD 5.35000000                                                                  | CUSIP: 797440BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3430000 | PA      | $3425435.77   | 0.01%             | 2040-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 3.95% 11/15/41                         | SAN DIEGO G & E REGD 3.95000000                                                                  | CUSIP: 797440BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $254501.63    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E 2.95% 08/15/51                         | SAN DIEGO G & E REGD SER WWW 2.95000000                                                          | CUSIP: 797440CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7230000 | PA      | $4590103.23   | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD 5.4% 08/08/28                          | SANDS CHINA LTD REGD SER WI 5.40000000                                                           | CUSIP: 80007RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | MO        |    249000 | PA      | $253505.16    | 0.00%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| SAN 2025-CES1 A1 V/R 09/25/55                          | SANTANDER MORTGAGE ASSET RECEIV SER 2025-CES1 CL A1A V/R REGD 144A P/P 5.03600000                | CUSIP: 802650AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5862330 | PA      | $5865473.47   | 0.02%             | 2055-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 11/03/28                         | SANTANDER UK GROUP HLDGS REGD V/R 3.82300000                                                     | CUSIP: 80281LAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2700000 | PA      | $2682122.30   | 0.01%             | 2028-11-03      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 06/14/27                         | SANTANDER UK GROUP HLDGS REGD V/R 1.67300000                                                     | CUSIP: 80281LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2290000 | PA      | $2264402.06   | 0.01%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 01/10/29                         | SANTANDER UK GROUP HLDGS REGD V/R 6.53400000                                                     | CUSIP: 80281LAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |  16796000 | PA      | $17548021.08  | 0.07%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 09/11/30                         | SANTANDER UK GROUP HLDGS REGD V/R 4.85800000                                                     | CUSIP: 80281LAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2034008.49   | 0.01%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 04/15/31                         | SANTANDER UK GROUP HLDGS REGD V/R 5.69400000                                                     | CUSIP: 80281LAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   3025000 | PA      | $3153765.81   | 0.01%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 09/22/29                         | SANTANDER UK GROUP HLDGS REGD V/R 4.32000000                                                     | CUSIP: 80281LAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |  17100000 | PA      | $17116316.48  | 0.07%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 09/22/36                         | SANTANDER UK GROUP HLDGS REGD V/R 5.13600000                                                     | CUSIP: 80281LAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   3380000 | PA      | $3371126.55   | 0.01%             | 2036-09-22      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDING V/R 01/09/30                         | SANTANDER HOLDINGS USA REGD V/R 6.17400000                                                       | CUSIP: 80282KBJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3515000 | PA      | $3663409.24   | 0.01%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDING V/R 05/31/35                         | SANTANDER HOLDINGS USA REGD V/R 6.34200000                                                       | CUSIP: 80282KBL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4730000 | PA      | $5071956.86   | 0.02%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| SDART 2023-3 C 5.77% 08/16/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 SER 2023-3 CL C REGD 5.77000000                    | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4500000 | PA      | $4583501.10   | 0.02%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| SDART 2023-6 B 5.98% 05/15/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 SER 2023-6 CL B REGD 5.98000000                    | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2534446.75   | 0.01%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| SDART 2023-6 C 6.4% 12/15/27                           | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 SER 2023-6 CL C REGD 6.40000000                    | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1033585.10   | 0.00%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| SDART 2023-1 C 5.09% 01/15/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-1 SER 2023-1 CL C REGD 5.09000000                    | CUSIP: 80287GAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2029106 | PA      | $2042257.55   | 0.01%             | 2030-05-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SDART 2024-3 D 5.97% 07/17/28                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 SER 2024-3 CL D REGD 5.97000000                    | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11480000 | PA      | $11819992.83  | 0.05%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| SDART 2025-3 A 4.38% 01/18/28                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3 SER 2025-3 CL A3 REGD 4.38000000                   | CUSIP: 80288JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14019000 | PA      | $14086093.53  | 0.06%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SDART 2025-3 C 4.68% 01/16/29                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3 SER 2025-3 CL C REGD 4.68000000                    | CUSIP: 80288JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15580000 | PA      | $15675098.76  | 0.06%             | 2031-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| SDART 2022-6 D 5.69% 10/15/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6 SER 2022-6 CL D REGD 5.69000000                    | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10600000 | PA      | $10673939.24  | 0.04%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SDART 2024-4 C 4.95% 06/15/28                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 SER 2024-4 CL C REGD 4.95000000                    | CUSIP: 802919AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7500000 | PA      | $7578813.00   | 0.03%             | 2030-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SDART 2024-5 B 4.63% 08/15/29                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 SER 2024-5 CL B REGD 4.63000000                    | CUSIP: 802920AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3396000 | PA      | $3413700.63   | 0.01%             | 2029-08-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 A 4.28% 04/15/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4 SER 2025-4 CL A2 REGD 4.28000000                   | CUSIP: 802923AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16064000 | PA      | $16100667.69  | 0.06%             | 2029-01-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 A 4.17% 04/17/28                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4 SER 2025-4 CL A3 REGD 4.17000000                   | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8427000 | PA      | $8458511.92   | 0.03%             | 2030-04-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 B 4.27% 10/16/28                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4 SER 2025-4 CL B REGD 4.27000000                    | CUSIP: 802923AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7512000 | PA      | $7524669.74   | 0.03%             | 2032-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 D 4.95% 03/15/30                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4 SER 2025-4 CL D REGD 4.95000000                    | CUSIP: 802923AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4455000 | PA      | $4471275.90   | 0.02%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4 A 5.73% 03/16/26                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 SER 2023-4 CL A3 REGD 5.73000000                   | CUSIP: 802927AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250907 | PA      | $1252402.85   | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4 C 6.04% 09/15/27                          | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 SER 2023-4 CL C REGD 6.04000000                    | CUSIP: 802927AF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8300000 | PA      | $8509115.18   | 0.03%             | 2031-12-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE 3.649% 04/29/31                         | SANTOS FINANCE LTD REGD 144A P/P 3.64900000                                                      | CUSIP: 803014AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   5891000 | PA      | $5519958.90   | 0.02%             | 2031-04-29      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE 6.875% 09/19/33                         | SANTOS FINANCE LTD REGD 144A P/P 6.87500000                                                      | CUSIP: 803014AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3160000 | PA      | $3456284.76   | 0.01%             | 2033-09-19      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE  5.75% 11/13/35                         | SANTOS FINANCE LTD REGD 144A P/P 5.75000000                                                      | CUSIP: 803014AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   5000000 | PA      | $4972222.45   | 0.02%             | 2035-11-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING  6.5% 09/27/28                         | SASOL FINANCING USA LLC REGD 6.50000000                                                          | CUSIP: 80386WAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1531305.69   | 0.01%             | 2028-09-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATI 3.45% 02/02/61                         | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 3.45000000                                            | CUSIP: 80413TAW9<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |   1185000 | PA      | $754625.83    | 0.00%             | 2061-02-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN O 4.75% 06/02/30                         | SAUDI ARABIAN OIL CO REGD 144A P/P 4.75000000                                                    | CUSIP: 80414L2X2<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |    930000 | PA      | $942140.22    | 0.00%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB  1.65% 03/11/31                         | CHARLES SCHWAB CORP REGD 1.65000000                                                              | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  11130000 | PA      | $9761774.85   | 0.04%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CBASS 2006-CB1  S/UP 01/25/36                          | SECURITIZED ASSET BACKED RECEIVABLES LLC TRU SER 2006-CB1 CL AF2 S/UP REGD 5.73600000            | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38097 | PA      | $32814.47     | 0.00%             | 2036-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| SEMPRA 3.4% 02/01/28                                   | SEMPRA REGD 3.40000000                                                                           | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   3641000 | PA      | $3585533.41   | 0.01%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-8 A1 V/R 09/20/34                            | SEQUOIA MORTGAGE TRUST 2004-8 SER 2004-8 CL A1 V/R REGD 4.54838000                               | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    259575 | PA      | $229166.72    | 0.00%             | 2034-09-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-8 A2 V/R 09/20/34                            | SEQUOIA MORTGAGE TRUST 2004-8 SER 2004-8 CL A2 V/R REGD 5.21810000                               | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     30609 | PA      | $28506.05     | 0.00%             | 2034-09-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-10 A1A V/R 11/20/34                          | SEQUOIA MORTGAGE TRUST 2004-10 SER 2004-10 CL A1A V/R REGD 4.46838000                            | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12248 | PA      | $11702.31     | 0.00%             | 2034-11-20      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-11 A1 V/R 12/20/34                           | SEQUOIA MORTGAGE TRUST 2004-11 SER 2004-11 CL A1 V/R REGD 4.44838000                             | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13926 | PA      | $12897.61     | 0.00%             | 2034-12-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| SEMT 2004-12 A3 V/R 01/20/35                           | SEQUOIA MORTGAGE TRUST 2004-12 SER 2004-12 CL A3 V/R REGD 4.36765000                             | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19541 | PA      | $19381.79     | 0.00%             | 2035-01-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS 4.3% 08/15/28                         | SHERWIN-WILLIAMS CO REGD 4.30000000                                                              | CUSIP: 824348BU9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   3502000 | PA      | $3523619.63   | 0.01%             | 2028-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIE 4.4% 05/27/45                         | SIEMENS FINANCIERINGSMAT REGD P/P 4.40000000                                                     | CUSIP: 82620KAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    513000 | PA      | $451952.45    | 0.00%             | 2045-05-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SRFC 2021-1A B 1.34% 11/20/37                          | SIERRA TIMESHARE 2021-1 RECEIVABLES FUNDING LLC SER 2021-1A CL B REGD 144A P/P 1.34000000        | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    708293 | PA      | $706940.91    | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-2A A 4.72% 04/20/44                          | SIERRA TIMESHARE 2025-2 RECEIVABLES FUNDING LLC SER 2025-2A CL A REGD 144A P/P 4.72000000        | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1654640 | PA      | $1662420.75   | 0.01%             | 2044-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-2A B 4.93% 04/20/44                          | SIERRA TIMESHARE 2025-2 RECEIVABLES FUNDING LLC SER 2025-2A CL B REGD 144A P/P 4.93000000        | CUSIP: 82653HAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2341544 | PA      | $2349034.33   | 0.01%             | 2044-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURIT 5.026% 11/15/36                         | SIGECO SECURITIZATION I REGD SER A1 5.02600000                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2253112 | PA      | $2309086.25   | 0.01%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SIXST 2018-12A A V/R 01/17/39                          | SIXTH STREET CLO XII LTD SER 2018-12A CL A1R2 V/R REGD 144A P/P 4.97008000                       | CUSIP: 829928AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30000000 | PA      | $30000000.00  | 0.12%             | 2039-01-17      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA  4.911% 09/01/27                         | SOUTH BOW USA INFRA HLDS REGD 4.91100000                                                         | CUSIP: 83007CAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $782088.89    | 0.00%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA  5.026% 10/01/29                         | SOUTH BOW USA INFRA HLDS REGD 5.02600000                                                         | CUSIP: 83007CAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    885000 | PA      | $897726.86    | 0.00%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA  5.584% 10/01/34                         | SOUTH BOW USA INFRA HLDS REGD 5.58400000                                                         | CUSIP: 83007CAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9175000 | PA      | $9265853.42   | 0.04%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| SIXST 2020-16A A V/R 01/20/37                          | SIXTH STREET CLO XVI LTD SER 2020-16A CL A1R V/R REGD 144A P/P 5.67444000                        | CUSIP: 83012DAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20250000 | PA      | $20248461.00  | 0.08%             | 2037-01-20      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA EN 4.5% 09/03/30                         | SKANDINAVISKA ENSKILDA REGD 144A P/P MTN 4.50000000                                              | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2500000 | PA      | $2510442.48   | 0.01%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 4.75% 10/20/28                         | DELTA AIR LINES/SKYMILES REGD 144A P/P 4.75000000                                                | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12625000 | PA      | $12701671.12  | 0.05%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 3% 01/22/30                           | SOCIETE GENERALE REGD 144A P/P MTN 3.00000000                                                    | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    562000 | PA      | $528843.67    | 0.00%             | 2030-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERA 3.625% 03/01/41                         | SOCIETE GENERALE REGD 144A P/P MTN 3.62500000                                                    | CUSIP: 83368RBB7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $4447928.40   | 0.02%             | 2041-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 06/09/27                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 1.79200000                                                | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5930000 | PA      | $5866757.32   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 06/09/32                          | SOCIETE GENERALE REGD V/R 144A P/P 2.88900000                                                    | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  11975000 | PA      | $10837718.92  | 0.04%             | 2032-06-09      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 01/10/34                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 6.69100000                                                | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  10965000 | PA      | $11941931.94  | 0.05%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 01/19/28                          | SOCIETE GENERALE REGD V/R 144A P/P 5.51900000                                                    | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $3038056.23   | 0.01%             | 2028-01-19      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 01/19/30                          | SOCIETE GENERALE REGD V/R 144A P/P 5.63400000                                                    | CUSIP: 83368RBW1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3550000 | PA      | $3662149.01   | 0.01%             | 2030-01-19      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERAL 5.25% 02/19/27                         | SOCIETE GENERALE REGD 144A P/P MTN 5.25000000                                                    | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2861000 | PA      | $2893513.15   | 0.01%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 04/13/33                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 6.10000000                                                | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4080000 | PA      | $4311006.30   | 0.02%             | 2033-04-13      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 05/22/31                          | SOCIETE GENERALE REGD V/R 144A P/P 5.51200000                                                    | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   7794000 | PA      | $8033430.12   | 0.03%             | 2031-05-22      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 05/22/29                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 5.24900000                                                | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  15409000 | PA      | $15719167.61  | 0.06%             | 2029-05-22      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE V/R 10/03/36                          | SOCIETE GENERALE REGD V/R 144A P/P MTN 5.43900000                                                | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  18550000 | PA      | $18590330.85  | 0.07%             | 2036-10-03      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| SOFI 2019-C A2 2.37% 04/15/28                          | SOFI PROFESSIONAL LOAN PROGRAM 2019-C LLC SER 2019-C CL A2FX REGD 144A P/P 2.37000000            | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1577547 | PA      | $1530230.45   | 0.01%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| SOFI 2020-A A2 2.54% 07/17/28                          | SOFI PROFESSIONAL LOAN PROGRAM 2020-ATRUST SER 2020-A CL A2FX REGD 144A P/P 2.54000000           | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2249812 | PA      | $2176621.75   | 0.01%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP 5.6% 03/23/34                           | SOLVENTUM CORP REGD 5.60000000                                                                   | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |  18335000 | PA      | $19077423.20  | 0.08%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SNDPT 2013-1A A1 V/R 01/26/31                          | SOUND POINT CLO II LTD SER 2013-1A CL A1R V/R REGD 144A P/P 5.18959000                           | CUSIP: 83608GAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    641119 | PA      | $640977.02    | 0.00%             | 2031-01-26      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 6.05% 03/15/39                         | SOUTHERN CAL EDISON REGD 6.05000000                                                              | CUSIP: 842400FL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    253000 | PA      | $258647.14    | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 3.9% 12/01/41                         | SOUTHERN CAL EDISON REGD 3.90000000                                                              | CUSIP: 842400FT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    392000 | PA      | $307144.93    | 0.00%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 4.05% 03/15/42                         | SOUTHERN CAL EDISON REGD 4.05000000                                                              | CUSIP: 842400FV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $636230.22    | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISO 4% 04/01/47                         | SOUTHERN CAL EDISON REGD 4.00000000                                                              | CUSIP: 842400GG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2024000 | PA      | $1517790.46   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 3.65% 03/01/28                         | SOUTHERN CAL EDISON REGD SER B 3.65000000                                                        | CUSIP: 842400GJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1186155.07   | 0.00%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL E 4.125% 03/01/48                         | SOUTHERN CAL EDISON REGD SER C 4.12500000                                                        | CUSIP: 842400GK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1426894.00   | 0.01%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 2.95% 02/01/51                         | SOUTHERN CAL EDISON REGD SER 20A 2.95000000                                                      | CUSIP: 842400GY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6220000 | PA      | $3789820.25   | 0.02%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 4.9% 06/01/26                         | SOUTHERN CAL EDISON REGD 4.90000000                                                              | CUSIP: 842400HW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4586000 | PA      | $4592171.79   | 0.02%             | 2026-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL E 5.875% 12/01/53                         | SOUTHERN CAL EDISON REGD 5.87500000                                                              | CUSIP: 842400HX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2647000 | PA      | $2534487.31   | 0.01%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL E 4.875% 02/01/27                         | SOUTHERN CAL EDISON REGD 4.87500000                                                              | CUSIP: 842400JA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4901000 | PA      | $4932489.37   | 0.02%             | 2027-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL ED 5.75% 04/15/54                         | SOUTHERN CAL EDISON REGD 5.75000000                                                              | CUSIP: 842400JD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5100000 | PA      | $4781434.93   | 0.02%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 5.9% 03/01/55                         | SOUTHERN CAL EDISON REGD 5.90000000                                                              | CUSIP: 842400JH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $965421.72    | 0.00%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 6.2% 09/15/55                         | SOUTHERN CAL EDISON REGD 6.20000000                                                              | CUSIP: 842400JK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5023526.90   | 0.02%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF  2.55% 02/01/30                         | SOUTHERN CALIF GAS CO REGD SER XX 2.55000000                                                     | CUSIP: 842434CU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2470187.50   | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF  5.05% 09/01/34                         | SOUTHERN CALIF GAS CO REGD 5.05000000                                                            | CUSIP: 842434DB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16213000 | PA      | $16472718.64  | 0.07%             | 2034-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO 5.2% 06/15/33                              | SOUTHERN CO REGD 5.20000000                                                                      | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   4063000 | PA      | $4174440.65   | 0.02%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO 5.7% 03/15/34                              | SOUTHERN CO REGD 5.70000000                                                                      | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   8902000 | PA      | $9371750.97   | 0.04%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS 3.95% 10/01/46                         | SOUTHERN CO GAS CAPITAL REGD 3.95000000                                                          | CUSIP: 8426EPAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    282000 | PA      | $220636.40    | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS 5.75% 09/15/33                         | SOUTHERN CO GAS CAPITAL REGD 5.75000000                                                          | CUSIP: 8426EPAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1833175.78   | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS  5.1% 09/15/35                         | SOUTHERN CO GAS CAPITAL REGD SER B 5.10000000                                                    | CUSIP: 8426EPAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1325074.43   | 0.01%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER  5.15% 09/15/41                         | SOUTHERN POWER CO REGD 5.15000000                                                                | CUSIP: 843646AH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    746000 | PA      | $718288.74    | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRL 4.375% 11/15/28                         | SOUTHWEST AIRLINES CO REGD 4.37500000                                                            | CUSIP: 844741BL1<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $2991245.75   | 0.01%             | 2028-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CO 3.8% 09/29/46                         | SOUTHWEST GAS CORP REGD 3.80000000                                                               | CUSIP: 844895AX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    508000 | PA      | $384650.69    | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUB 4.5% 08/15/41                         | SOUTHWESTERN PUBLIC SERV REGD 4.50000000                                                         | CUSIP: 845743BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $311777.88    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY P 4.5% 03/15/45                         | SPECTRA ENERGY PARTNERS REGD 4.50000000                                                          | CUSIP: 84756NAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2530099.35   | 0.01%             | 2045-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL 6.875% 11/15/28                         | SPRINT CAPITAL CORP REGD 6.87500000                                                              | CUSIP: 852060AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5198000 | PA      | $5578124.65   | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SREIT 2021-MFP2  V/R 11/15/23                          | SREIT TRUST 2021-MFP2 SER 2021-MFP2 CL A V/R REGD 144A P/P 4.68628000                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16956000 | PA      | $16950857.25  | 0.07%             | 2036-11-15      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 01/14/27                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 1.45600000                                              | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $6993299.25   | 0.03%             | 2027-01-14      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 06/29/32                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 2.67800000                                              | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $3621440.40   | 0.01%             | 2032-06-29      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 01/12/28                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 2.60800000                                              | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4921177.80   | 0.02%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 11/16/28                         | STANDARD CHARTERED PLC REGD V/R P/P 7.76700000                                                   | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3500000 | PA      | $3726631.16   | 0.01%             | 2028-11-16      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 07/06/34                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 6.29600000                                              | CUSIP: 853254CU2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2162109.32   | 0.01%             | 2034-07-06      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 05/14/28                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 5.68800000                                              | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5640000 | PA      | $5755147.76   | 0.02%             | 2028-05-14      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 05/14/35                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 5.90500000                                              | CUSIP: 853254DC1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2111642.12   | 0.01%             | 2035-05-14      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 10/15/30                         | STANDARD CHARTERED PLC REGD V/R 144A P/P 5.00500000                                              | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    924000 | PA      | $943342.49    | 0.00%             | 2030-10-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 08/12/36                         | STANDARD CHARTERED PLC REGD V/R 144A P/P MTN 5.40000000                                          | CUSIP: 85325C2J0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5096511.45   | 0.02%             | 2036-08-12      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| STAR 2022-1 A1 V/R 12/25/66                            | STARWOOD MORTGAGE RESIDENTIAL TRUST 2022-1 SER 2022-1 CL A1 V/R REGD 144A P/P 2.44700000         | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11056735 | PA      | $10016385.03  | 0.04%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP /PREFERRED/                          | STATE STREET CORP /PREFERRED/ 0.00000000                                                         | CUSIP: 857477855<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     65000 | NS      | $1459250.00   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP V/R 10/23/36                         | STATE STREET CORP REGD V/R 4.78400000                                                            | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2069176.68   | 0.01%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 5.375% 02/12/35                         | REPUBLIC OF POLAND REGD SER 10Y 5.37500000                                                       | CUSIP: 857524AH5<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |   6810000 | PA      | $7059575.40   | 0.03%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC 4% 12/15/28                         | STEEL DYNAMICS INC REGD 4.00000000                                                               | CUSIP: 858119BU3<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |   1959000 | PA      | $1956749.62   | 0.01%             | 2028-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN 2.691% 09/15/31                         | STELLANTIS FIN US INC REGD 144A P/P 2.69100000                                                   | CUSIP: 85855CAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2008000 | PA      | $1760594.08   | 0.01%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA  4.06% 09/20/27                          | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED  SER 2025-CA CL A2 REGD 144A P/P 4.06000000           | CUSIP: 85855EAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16016000 | PA      | $16037325.30  | 0.06%             | 2028-06-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA  4.11% 07/20/28                          | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED  SER 2025-CA CL A3 REGD 144A P/P 4.11000000           | CUSIP: 85855EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11045000 | PA      | $11060872.77  | 0.04%             | 2029-04-20      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-CA  4.25% 09/20/28                          | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEA SER 2025-CA CL B REGD 144A P/P 4.25000000         | CUSIP: 85855EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6861000 | PA      | $6858764.69   | 0.03%             | 2029-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-AA A 4.5% 10/20/27                          | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED  SER 2025-AA CL A4 REGD 144A P/P 4.50000000           | CUSIP: 858928AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3800000 | PA      | $3833135.24   | 0.02%             | 2029-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA  4.27% 01/22/29                          | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED  SER 2025-BA CL A3 REGD 144A P/P 4.27000000           | CUSIP: 858933AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7999000 | PA      | $8041834.65   | 0.03%             | 2029-01-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| SAMI 2003-CL1 1F V/R 07/25/32                          | STRUCTURED ASSET MORTGAGE INVESTMENTS TRUST 2003-CL1 SER 2003-CL1 CL 1F1 V/R REGD 4.24621000     | CUSIP: 86358HSS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50200 | PA      | $47664.20     | 0.00%             | 2032-07-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SASC 2002-AL1  3.45% 02/25/32                          | STRUCTURED ASSET SECURITIES CORP PASS-THROUGH CER SER 2002-AL1 CL A2 REGD 3.45000000             | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       713 | PA      | $603.04       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SASC 2002-AL1  3.45% 02/25/32                          | STRUCTURED ASSET SECURITIES CORP PASS-THROUGH CER SER 2002-AL1 CL A3 REGD 3.45000000             | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11432 | PA      | $2012.50      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SASC 2003-34A 3A V/R 11/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS SER 2003-34A CL 3A3 V/R REGD 5.54638000           | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5036 | PA      | $4996.54      | 0.00%             | 2033-11-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| SASC 2003-37A 2A V/R 12/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS- SER 2003-37A CL 2A V/R REGD 5.44402100           | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33712 | PA      | $33133.62     | 0.00%             | 2033-12-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| SASC 2003-37A 8A V/R 12/25/33                          | STRUCTURED ASSET SECURITIES CORP MORTGAGE PASS SER 2003-37A CL 8A2 V/R REGD 6.42413700           | CUSIP: 86359BCM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    412153 | PA      | $412390.08    | 0.00%             | 2033-12-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| SASC 2004-4XS 1 S/UP 02/25/34                          | STRUCTURED ASSET SECURITIES CORP SER 2004-4XS CL 1A5 S/UP REGD 5.99000000                        | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75223 | PA      | $74027.65     | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| SASC 2005-RF3 1A V/R 06/25/35                          | STRUCTURED ASSET SECURITIES CORP SER 2005-RF3 CL 1A V/R REGD 144A P/P 4.19621000                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33163 | PA      | $28496.93     | 0.00%             | 2035-06-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| SAMI 2004-AR5 1A V/R 10/19/34                          | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2004-AR5 SER 2004-AR5 CL 1A1 V/R REGD 4.50552000  | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26100 | PA      | $25278.98     | 0.00%             | 2034-10-19      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| SAMI 2005-AR5 A3 V/R 07/19/35                          | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR5 SER 2005-AR5 CL A3 V/R REGD 4.34552000   | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88146 | PA      | $87325.59     | 0.00%             | 2035-07-19      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 3.04% 07/16/29                         | SUMITOMO MITSUI FINL GRP REGD 3.04000000                                                         | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   5005000 | PA      | $4808254.55   | 0.02%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 2.13% 07/08/30                         | SUMITOMO MITSUI FINL GRP REGD 2.13000000                                                         | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2650000 | PA      | $2413696.64   | 0.01%             | 2030-07-08      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI 5.71% 01/13/30                         | SUMITOMO MITSUI FINL GRP REGD 5.71000000                                                         | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2790000 | PA      | $2939065.71   | 0.01%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SUMITOMO LIFE INS V/R 09/14/77                         | SUMITOMO LIFE INSUR REGD V/R 144A P/P 4.00000000                                                 | CUSIP: 86564CAB6<br>LEI: 549300I5OQCDADQSPI57 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $992215.90    | 0.00%             | 2077-09-14      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY I 5.95% 12/01/34                         | SUNCOR ENERGY INC REGD 5.95000000                                                                | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   1048000 | PA      | $1108703.44   | 0.00%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 4.95% 01/15/43                         | ENERGY TRANSFER LP REGD 4.95000000                                                               | CUSIP: 86765BAM1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1482000 | PA      | $1299095.01   | 0.01%             | 2043-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.3% 04/01/44                         | ENERGY TRANSFER LP REGD SER 30YR 5.30000000                                                      | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181399.55    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER  5.4% 10/01/47                         | ENERGY TRANSFER LP REGD 5.40000000                                                               | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3145250.19   | 0.01%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB 5.337% 09/20/27                            | SWEDBANK AB REGD 144A P/P 5.33700000                                                             | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   5125000 | PA      | $5240065.48   | 0.02%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SYMETRA LIFE IN 6.55% 10/01/55                         | SYMETRA LIFE INSURANCE REGD 144A P/P 6.55000000                                                  | CUSIP: 87151KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4135295.44   | 0.02%             | 2055-10-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC 5.7% 04/01/55                             | SYNOPSYS INC REGD 5.70000000                                                                     | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2876768.80   | 0.01%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINAN 3.95% 12/01/27                         | SYNCHRONY FINANCIAL REGD 3.95000000                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1492852.10   | 0.01%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCI V/R 08/02/30                         | SYNCHRONY FINANCIAL REGD V/R 5.93500000                                                          | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   7602000 | PA      | $7922623.17   | 0.03%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCI V/R 03/06/31                         | SYNCHRONY FINANCIAL REGD V/R 5.45000000                                                          | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5126501.50   | 0.02%             | 2031-03-06      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCI V/R 07/29/36                         | SYNCHRONY FINANCIAL REGD V/R 6.00000000                                                          | CUSIP: 87165BAY9<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2566102.38   | 0.01%             | 2036-07-29      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK 5.625% 08/23/27                         | SYNCHRONY BANK REGD 5.62500000                                                                   | CUSIP: 87166FAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1988688.14   | 0.01%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SYNIT 2025-A2  4.49% 05/15/28                          | SYNCHRONY CARD FUNDING LLC SER 2025-A2 CL A REGD 4.49000000                                      | CUSIP: 87166PAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $10652848.50  | 0.04%             | 2031-05-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATI 5.95% 04/01/30                         | SYSCO CORPORATION REGD 5.95000000                                                                | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5302229.45   | 0.02%             | 2030-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATIO 6.6% 04/01/50                         | SYSCO CORPORATION REGD 6.60000000                                                                | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1098599.42   | 0.00%             | 2050-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| TCW 2020-1A A1R3 V/R 04/20/34                          | TCW CLO 2020-1 LTD SER 2020-1A CL A1R3 V/R REGD 144A P/P 4.93444000                              | CUSIP: 87190CBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  19250000 | PA      | $19227246.50  | 0.08%             | 2034-04-20      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| TC PIPELINES LP 3.9% 05/25/27                          | TC PIPELINES LP REGD 3.90000000                                                                  | CUSIP: 87233QAC2<br>LEI: 6HL0C5LCIE4TN8UZHL06 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4978882.15   | 0.02%             | 2027-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA I 3.875% 04/15/30                         | T-MOBILE USA INC REGD SER WI 3.87500000                                                          | CUSIP: 87264ABF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  44285000 | PA      | $43548758.78  | 0.17%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 3% 02/15/41                           | T-MOBILE USA INC REGD SER WI 3.00000000                                                          | CUSIP: 87264ABL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2300000 | PA      | $1713840.61   | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 3.6% 11/15/60                         | T-MOBILE USA INC REGD 3.60000000                                                                 | CUSIP: 87264ABY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3920000 | PA      | $2604296.61   | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC 3.4% 10/15/52                         | T-MOBILE USA INC REGD SER WI 3.40000000                                                          | CUSIP: 87264ACT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2140000 | PA      | $1438398.15   | 0.01%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA IN 5.65% 01/15/53                         | T-MOBILE USA INC REGD 5.65000000                                                                 | CUSIP: 87264ACW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $966705.90    | 0.00%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA I 5.125% 05/15/32                         | T-MOBILE USA INC REGD 5.12500000                                                                 | CUSIP: 87264ADS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6688968.20   | 0.03%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMAC 3.025% 07/09/40                         | TAKEDA PHARMACEUTICAL REGD 3.02500000                                                            | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    912000 | PA      | $698086.23    | 0.00%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMAC 3.175% 07/09/50                         | TAKEDA PHARMACEUTICAL REGD 3.17500000                                                            | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   3788000 | PA      | $2526246.97   | 0.01%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACE 5.65% 07/05/44                         | TAKEDA PHARMACEUTICAL REGD 5.65000000                                                            | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    881000 | PA      | $886655.54    | 0.00%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TAKEDA US FIN 5.2% 07/07/35                            | TAKEDA US FIN REGD 5.20000000                                                                    | CUSIP: 87406BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17905000 | PA      | $18236745.09  | 0.07%             | 2035-07-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES 6.15% 03/01/29                         | TARGA RESOURCES CORP REGD 6.15000000                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   7916000 | PA      | $8333281.41   | 0.03%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  5.5% 02/15/35                         | TARGA RESOURCES CORP REGD 5.50000000                                                             | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   3480000 | PA      | $3564743.71   | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES 5.55% 08/15/35                         | TARGA RESOURCES CORP REGD 5.55000000                                                             | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3070531.53   | 0.01%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  4.9% 09/15/30                         | TARGA RESOURCES CORP REGD 4.90000000                                                             | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   4902000 | PA      | $4994572.60   | 0.02%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  5.2% 07/01/27                         | TARGA RESOURCES CORP REGD 5.20000000                                                             | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4064860.44   | 0.02%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR  6.85% 12/16/39                         | TEACHERS INSUR & ANNUITY REGD P/P 6.85000000                                                     | CUSIP: 878091BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    218000 | PA      | $249977.55    | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & 4.9% 09/15/44                         | TEACHERS INSUR & ANNUITY REGD P/P 4.90000000                                                     | CUSIP: 878091BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $181520.76    | 0.00%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR  4.27% 05/15/47                         | TEACHERS INSUR & ANNUITY REGD 144A P/P 4.27000000                                                | CUSIP: 878091BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3360000 | PA      | $2757693.93   | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA C 7.2% 07/18/36                         | TELECOM ITALIA CAPITAL REGD 7.20000000                                                           | CUSIP: 87927VAR9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    413000 | PA      | $447880.20    | 0.00%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMI 4.103% 03/08/27                         | TELEFONICA EMISIONES SAU REGD 4.10300000                                                         | CUSIP: 87938WAT0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   2215000 | PA      | $2213669.12   | 0.01%             | 2027-03-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMI 4.895% 03/06/48                         | TELEFONICA EMISIONES SAU REGD 4.89500000                                                         | CUSIP: 87938WAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   4575000 | PA      | $3842394.91   | 0.02%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| TVA 5.88% 04/01/36                                     | TENNESSEE VALLEY AUTHORITY 5.88000000                                                            | CUSIP: 880591CS9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2967000 | PA      | $3313731.75   | 0.01%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VY 7.125% 5/1/30                             | TENNESSEE VALLEY AUTHORITY 7.12500000                                                            | CUSIP: 880591DM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1615000 | PA      | $1830459.81   | 0.01%             | 2030-05-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TVA 5.5% 06/15/38                                      | TENNESSEE VALLEY AUTHORITY 5.50000000                                                            | CUSIP: 880591ED0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57000 | PA      | $61811.90     | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TVA 4.625% 09/15/60                                    | TENNESSEE VALLEY AUTHORITY 4.62500000                                                            | CUSIP: 880591EJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1308000 | PA      | $1163253.87   | 0.00%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TVA 4.25% 09/15/65                                     | TENNESSEE VALLEY AUTHORITY 4.25000000                                                            | CUSIP: 880591ES7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1720000 | PA      | $1417818.41   | 0.01%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TVA 2.875% 02/01/27                                    | TENNESSEE VALLEY AUTHORITY SER A 2.87500000                                                      | CUSIP: 880591EU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    805000 | PA      | $798725.56    | 0.00%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TVA 1.5% 09/15/31                                      | TENNESSEE VALLEY AUTHORITY 1.50000000                                                            | CUSIP: 880591EX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    890000 | PA      | $781539.53    | 0.00%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TVA 4.25% 09/15/52                                     | TENNESSEE VALLEY AUTHORITY 4.25000000                                                            | CUSIP: 880591EY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4360000 | PA      | $3706137.82   | 0.01%             | 2052-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TVA 5.25% 02/01/55                                     | TENNESSEE VALLEY AUTHORITY 5.25000000                                                            | CUSIP: 880591FC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  13461000 | PA      | $13318055.89  | 0.05%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TVA 4.875% 05/15/35                                    | TENNESSEE VALLEY AUTHORITY 4.87500000                                                            | CUSIP: 880591FD9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   9638000 | PA      | $9971720.95   | 0.04%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY                                       | TENNESSEE VALLEY                0% STRIP 15/03/32 USD1000'A 0.00000000                           | CUSIP: 88059E5J9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1514000 | PA      | $1177614.54   | 0.00%             | 2032-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TVA- GEN STRIP ZCP 07/15/28                            | TENNESSEE VALLEY AUTHORITY GENERIC STRIP ZCP 0.00000000                                          | CUSIP: 88059ENP5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2000000 | PA      | $1822979.84   | 0.01%             | 2028-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TVA- GEN STRIP ZCP 07/15/34                            | TENNESSEE VALLEY AUTHORITY GENERIC STRIP ZCP 0.00000000                                          | CUSIP: 88059EPB4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    295000 | PA      | $204231.49    | 0.00%             | 2034-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TVA PRIN STRIP ZCP 06/15/35                            | TVA PRIN STRIP REGD ZCP 0.00000000                                                               | CUSIP: 88059FBM2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    258000 | PA      | $167633.54    | 0.00%             | 2035-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TEVT 2023-1 A4 5.38% 02/20/29                          | TESLA ELECTRIC VEHICLE TRUST 2023-1 SER 2023-1 CL A4 REGD 144A P/P 5.38000000                    | CUSIP: 881943AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1733000 | PA      | $1763486.42   | 0.01%             | 2029-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TCIFC 2023-2A A1 V/R 10/21/37                          | TEXAS DEBT CAPITAL CLO 2023-II LTD SER 2023-2A CL A1R V/R REGD 144A P/P 5.23996000               | CUSIP: 88239MAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22000000 | PA      | $22040436.00  | 0.09%             | 2037-10-21      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RE 4.33% 11/15/55                         | TEXAS HEALTH RESOURCES REGD 4.33000000                                                           | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $821377.45    | 0.00%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH R 2.328% 11/15/50                         | TEXAS HEALTH RESOURCES REGD 2.32800000                                                           | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    970000 | PA      | $555100.98    | 0.00%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| TNG23 2023-1  5.102% 04/01/33                          | TEXAS NATURAL GAS SECURITIZATION FINANCE CORP SER 2023-1 CL A1 REGD 5.10200000                   | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11702208 | PA      | $12012863.45  | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TNG23 2023-1  5.169% 04/01/39                          | TEXAS NATURAL GAS SECURITIZATION FINANCE CORP SER 2023-1 CL A2 REGD 5.16900000                   | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10028000 | PA      | $10227057.81  | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TEXAS ST PRIV  3.922% 12/31/49                         | TEXAS ST PRIV ACTIVITY BOND SU REGD N/C B/E 3.92200000                                           | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1810000 | PA      | $1447924.70   | 0.01%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC 3.65% 03/15/27                             | TEXTRON INC REGD 3.65000000                                                                      | CUSIP: 883203BX8<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   4975000 | PA      | $4948955.73   | 0.02%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| TMST 2003-4 A1 V/R 09/25/43                            | THORNBURG MORTGAGE SECURITIES TRUST 2003-4 SER 2003-4 CL A1 V/R REGD 4.48621000                  | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    130216 | PA      | $130095.03    | 0.00%             | 2043-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| TMST 2003-5 3A V/R 10/25/43                            | THORNBURG MORTGAGE SECURITIES TRUST 2003-5 SER 2003-5 CL 3A V/R REGD 5.00344000                  | CUSIP: 885220ED1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    492439 | PA      | $464978.93    | 0.00%             | 2043-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TMST 2004-4 3A V/R 12/25/44                            | THORNBURG MORTGAGE SECURITIES TRUST 2004-4 SER 2004-4 CL 3A V/R REGD 5.28456000                  | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65616 | PA      | $64445.54     | 0.00%             | 2044-12-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| TMST 2005-1 A3 V/R 04/25/45                            | THORNBURG MORTGAGE SECURITIES TRUST 2005-1 SER 2005-1 CL A3 V/R REGD 5.62059000                  | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157301 | PA      | $154194.28    | 0.00%             | 2045-04-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CA 8.375% 07/15/33                         | TIME WARNER CABLE ENTRMN REGD SER * 8.37500000                                                   | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    529000 | PA      | $610431.78    | 0.00%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CAB 6.55% 05/01/37                         | TIME WARNER CABLE LLC REGD 6.55000000                                                            | CUSIP: 88732JAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $382672.05    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABL 7.3% 07/01/38                         | TIME WARNER CABLE LLC REGD 7.30000000                                                            | CUSIP: 88732JAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3578000 | PA      | $3832683.98   | 0.02%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CAB 6.75% 06/15/39                         | TIME WARNER CABLE LLC REGD 6.75000000                                                            | CUSIP: 88732JAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    539000 | PA      | $545176.86    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CA 5.875% 11/15/40                         | TIME WARNER CABLE LLC REGD 5.87500000                                                            | CUSIP: 88732JAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1179825.52   | 0.00%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABL 5.5% 09/01/41                         | TIME WARNER CABLE LLC REGD 5.50000000                                                            | CUSIP: 88732JBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6815000 | PA      | $5981209.76   | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON C 6.15% 05/15/37                         | TOLEDO EDISON COMPANY REGD 6.15000000                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    680000 | PA      | $739858.20    | 0.00%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON C 2.65% 05/01/28                         | TOLEDO EDISON COMPANY REGD 144A P/P 2.65000000                                                   | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1208000 | PA      | $1148798.25   | 0.00%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINAN 4.35% 02/15/28                         | TOLL BROS FINANCE CORP REGD SER 10YR 4.35000000                                                  | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16345000 | PA      | $16398222.26  | 0.07%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TRK 2025-RRTL1 A V/R 03/25/27                          | TOORAK MORTGAGE TRUST 2025-RRTL1 SER 2025-RRTL1 CL A1 V/R REGD 144A P/P 5.52400000               | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8700000 | PA      | $8740213.14   | 0.03%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC 4.55% 09/15/28                          | GLOBE LIFE INC REGD 4.55000000                                                                   | CUSIP: 891027AS3<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3027234.54   | 0.01%             | 2028-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION 3.2% 03/10/32                         | TORONTO-DOMINION BANK REGD MTN 3.20000000                                                        | CUSIP: 89114TZV7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $4660034.15   | 0.02%             | 2032-03-10      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINI 5.298% 01/30/32                         | TORONTO-DOMINION BANK REGD 5.29800000                                                            | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2815000 | PA      | $2939880.55   | 0.01%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINI 4.928% 10/15/35                         | TORONTO-DOMINION BANK REGD 4.92800000                                                            | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  13246000 | PA      | $13236225.11  | 0.05%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES  3.461% 07/12/49                         | TOTALENERGIES CAP INTL REGD 3.46100000                                                           | CUSIP: 89153VAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   1905000 | PA      | $1360256.14   | 0.01%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES  3.127% 05/29/50                         | TOTALENERGIES CAP INTL REGD 3.12700000                                                           | CUSIP: 89153VAV1<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   2465000 | PA      | $1643037.27   | 0.01%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES  2.986% 06/29/41                         | TOTALENERGIES CAP INTL REGD 2.98600000                                                           | CUSIP: 89153VAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $3025864.52   | 0.01%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| TPMT 2017-6 A1 V/R 10/25/57                            | TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL A1 V/R REGD 144A P/P 2.75000000                   | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    802061 | PA      | $791626.02    | 0.00%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2018-1 A1 V/R 05/25/24                            | TOWD POINT MORTGAGE TRUST 2018-1 SER 2018-1 CL A1 V/R REGD 144A P/P 3.00000000                   | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    327078 | PA      | $325099.75    | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2020-2 A1A V/R 04/25/60                           | TOWD POINT MORTGAGE TRUST 2020-2 SER 2020-2 CL A1A V/R REGD 144A P/P 1.63600000                  | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13243967 | PA      | $12147180.90  | 0.05%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-1 A1 V/R 11/25/28                            | TOWD POINT MORTGAGE TRUST 2019-1 SER 2019-1 CL A1 V/R REGD 144A P/P 3.75000000                   | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2381723 | PA      | $2326777.21   | 0.01%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 A1 V/R 07/25/27                          | TOWD POINT MORTGAGE TRUST 2019-HY3 SER 2019-HY3 CL A1A V/R REGD 144A P/P 4.84621000              | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    365216 | PA      | $365483.25    | 0.00%             | 2059-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| TPMT 2020-MH1 A1 V/R 02/25/60                          | TOWD POINT MORTGAGE TRUST 2020-MH1 SER 2020-MH1 CL A1 V/R REGD 144A P/P 2.25000000               | CUSIP: 89178YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    966836 | PA      | $948236.47    | 0.00%             | 2060-02-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TPMT 2020-4 A1 1.75% 08/25/30                          | TOWD POINT MORTGAGE TRUST 2020-4 SER 2020-4 CL A1 REGD 144A P/P 1.75000000                       | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1616745 | PA      | $1481382.46   | 0.01%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-R1 A1 V/R 04/27/29                           | TOWD POINT MORTGAGE TRUST 2021-R1 SER 2021-R1 CL A1 V/R REGD 144A P/P 2.91808000                 | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12233593 | PA      | $11110972.37  | 0.04%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-SJ1 A1 V/R 06/25/24                          | TOWD POINT MORTGAGE TRUST 2021-SJ1 SER 2021-SJ1 CL A1 V/R REGD 144A P/P 2.25000000               | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3312190 | PA      | $3220226.40   | 0.01%             | 2068-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TPMT 2022-2 A1 V/R 01/25/32                            | TOWD POINT MORTGAGE TRUST 2022-2 SER 2022-2 CL A1 V/R REGD 144A P/P 3.75000000                   | CUSIP: 89180HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12134328 | PA      | $11586012.51  | 0.05%             | 2062-07-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2021-SJ2 A1 V/R 12/25/61                          | TOWD POINT MORTGAGE TRUST 2021-SJ2 SER 2021-SJ2 CL A1A V/R REGD 144A P/P 2.25000000              | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4389153 | PA      | $4285077.09   | 0.02%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TPMT 2022-3 A1 V/R 08/01/62                            | TOWD POINT MORTGAGE TRUST 2022-3 SER 2022-3 CL A1 V/R REGD 144A P/P 3.75000000                   | CUSIP: 89180NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11259924 | PA      | $10782971.58  | 0.04%             | 2062-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2023-1 A1 3.75% 01/25/63                          | TOWD POINT MORTGAGE TRUST 2023-1 SER 2023-1 CL A1 REGD 144A P/P 3.75000000                       | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5589643 | PA      | $5434230.52   | 0.02%             | 2063-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TPMT 2023-CES2 A V/R 10/25/63                          | TOWD POINT MORTGAGE TRUST SER 2023-CES2 CL A1A V/R REGD 144A P/P 7.29400000                      | CUSIP: 89182FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1717857 | PA      | $1739243.58   | 0.01%             | 2063-10-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-1 A1 V/R 03/25/64                            | TOWD POINT MORTGAGE TRUST 2024-1 SER 2024-1 CL A1 V/R REGD 144A P/P 4.88208200                   | CUSIP: 89182NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3365018 | PA      | $3420055.59   | 0.01%             | 2064-03-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-CES4 A V/R 09/25/28                          | TOWD POINT MORTGAGE TRUST 2024-CES4 SER 2024-CES4 CL A1 V/R REGD 144A P/P 5.12200000             | CUSIP: 89182QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4802701 | PA      | $4807826.96   | 0.02%             | 2064-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-2 A1A V/R 09/25/41                           | TOWD POINT MORTGAGE TRUST 2024-2 SER 2024-2 CL A1A V/R REGD 144A P/P 4.88194000                  | CUSIP: 89183AAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12606655 | PA      | $12757474.98  | 0.05%             | 2064-12-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-CES1 A V/R 09/25/31                          | TOWD POINT MORTGAGE TRUST 2024-CES1 SER 2024-CES1 CL A1A V/R REGD 144A P/P 5.84800000            | CUSIP: 89183CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342686 | PA      | $344545.77    | 0.00%             | 2064-01-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-CES3 A V/R 05/25/64                          | TOWD POINT MORTGAGE TRUST 2024-CES3 SER 2024-CES3 CL A1 V/R REGD 144A P/P 6.29000000             | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4249446 | PA      | $4299365.13   | 0.02%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-3 A1A V/R 04/25/38                           | TOWD POINT MORTGAGE TRUST 2024-3 SER 2024-3 CL A1A V/R REGD 144A P/P 5.00463700                  | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7428978 | PA      | $7500946.35   | 0.03%             | 2065-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-CES1 A V/R 05/25/29                          | TOWD POINT MORTGAGE TRUST 2025-CES1 SER 2025-CES1 CL A1 V/R REGD 144A P/P 5.70500000             | CUSIP: 89183HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5538522 | PA      | $5596456.74   | 0.02%             | 2055-02-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-CES5 A V/R 09/25/64                          | TOWD POINT MORTGAGE TRUST 2024-CES5 SER 2024-CES5 CL A1 V/R REGD 144A P/P 5.16700000             | CUSIP: 89183QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4437990 | PA      | $4444880.12   | 0.02%             | 2064-09-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-5 A1A V/R 10/25/64                           | TOWD POINT MORTGAGE TRUST 2024-5 SER 2024-5 CL A1A V/R REGD 144A P/P 4.60124900                  | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12564448 | PA      | $12608144.40  | 0.05%             | 2064-10-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-CRM1 A V/R 01/15/29                          | TOWD POINT MORTGAGE TRUST 2025-CRM1 SER 2025-CRM1 CL A1 V/R REGD 144A P/P 5.79900000             | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4928265 | PA      | $4969465.97   | 0.02%             | 2065-01-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| TALNT 2025-1A  4.65% 05/28/30                          | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1 SER 2025-1A CL A REGD 144A P/P 4.65000000            | CUSIP: 891950AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16000000 | PA      | $16320692.80  | 0.06%             | 2038-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TAOT 2021-D A4 1.02% 10/15/25                          | TOYOTA AUTO RECEIVABLES 2021-D OWNER TRUST SER 2021-D CL A4 REGD 1.02000000                      | CUSIP: 89238JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212246 | PA      | $211991.38    | 0.00%             | 2027-03-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| TLOT 2025-B A3 3.96% 11/20/28                          | TOYOTA LEASE OWNER TRUST 2025-B SER 2025-B CL A3 REGD 144A P/P 3.96000000                        | CUSIP: 89240NAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11763000 | PA      | $11791978.15  | 0.05%             | 2028-11-20      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS P 3.25% 05/15/30                         | TRANSCONT GAS PIPE LINE REGD SER WI 3.25000000                                                   | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6253000 | PA      | $5990622.74   | 0.02%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PI 5.1% 03/15/36                         | TRANSCONT GAS PIPE LINE REGD 144A P/P 5.10000000                                                 | CUSIP: 893574AS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2245167.43   | 0.01%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS I 5.45% 05/25/53                         | TRAVELERS COS INC REGD 5.45000000                                                                | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1675206.95   | 0.01%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS I 5.05% 07/24/35                         | TRAVELERS COS INC REGD 5.05000000                                                                | CUSIP: 89417EAT6<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1513288.85   | 0.01%             | 2035-07-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUIS 6.125% 08/15/43                         | TRINITY ACQUISITION PLC REGD 6.12500000                                                          | CUSIP: 89641UAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5026815.45   | 0.02%             | 2043-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUISIT 4.4% 03/15/26                         | TRINITY ACQUISITION PLC REGD 4.40000000                                                          | CUSIP: 89641UAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2300459.82   | 0.01%             | 2026-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| TRUSTAGE FINAN 4.625% 04/15/32                         | TRUSTAGE FINANCIAL GROUP REGD 144A P/P 4.62500000                                                | CUSIP: 89787EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4819996.40   | 0.02%             | 2032-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 01/26/34                         | TRUIST FINANCIAL CORP REGD V/R MTN 5.12200000                                                    | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   6770000 | PA      | $6897844.41   | 0.03%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 06/08/27                         | TRUIST FINANCIAL CORP REGD V/R MTN 6.04700000                                                    | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1950569.49   | 0.01%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 06/08/34                         | TRUIST FINANCIAL CORP REGD V/R MTN 5.86700000                                                    | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1564219.46   | 0.01%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 10/30/29                         | TRUIST FINANCIAL CORP REGD V/R MTN 7.16100000                                                    | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   5777000 | PA      | $6232094.49   | 0.02%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 01/24/30                         | TRUIST FINANCIAL CORP REGD V/R MTN 5.43500000                                                    | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   4570000 | PA      | $4731467.93   | 0.02%             | 2030-01-24      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 01/24/35                         | TRUIST FINANCIAL CORP REGD V/R MTN 5.71100000                                                    | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1931000 | PA      | $2031257.33   | 0.01%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 05/20/31                         | TRUIST FINANCIAL CORP REGD V/R MTN 5.07100000                                                    | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3338755.78   | 0.01%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL  V/R 10/23/36                         | TRUIST FINANCIAL CORP REGD V/R MTN 4.96400000                                                    | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3957389.16   | 0.02%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| TACLN 2025-1  4.728% 12/15/28                          | TRUIST BANK AUTO CREDIT-LINKED NOTES SER SER 2025-1 CL B REGD 144A P/P 4.72800000                | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4764024 | PA      | $4771719.94   | 0.02%             | 2033-09-26      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CO V/R /PERP/                         | TRUIST FINANCIAL CORP REGD V/R /PERP/ SER N 6.66900000                                           | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3460000 | PA      | $3469463.10   | 0.01%             | 2174-03-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| TSQ 2018-20TS D V/R 05/15/23                           | 20 TIMES SQUARE TRUST 2018-20TS SER 2018-20TS CL D V/R REGD 144A P/P 3.09990000                  | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5204000 | PA      | $4839720.00   | 0.02%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| 200 PARK FUNDIN 5.74% 02/15/55                         | 200 PARK FUNDING TRUST REGD 144A P/P 5.74000000                                                  | CUSIP: 901928AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2984006.97   | 0.01%             | 2055-02-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC 5.4% 03/15/29                          | TYSON FOODS INC REGD 5.40000000                                                                  | CUSIP: 902494BL6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7237210.89   | 0.03%             | 2029-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC 5.7% 03/15/34                          | TYSON FOODS INC REGD 5.70000000                                                                  | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2224555.17   | 0.01%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/30/27                              | UBS GROUP AG REGD V/R 144A P/P 1.36400000                                                        | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4700000 | PA      | $4689431.91   | 0.02%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 02/11/32                              | UBS GROUP AG REGD V/R 144A P/P MTN 2.09500000                                                    | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3610000 | PA      | $3199668.12   | 0.01%             | 2032-02-11      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 05/12/28                              | UBS GROUP AG REGD V/R 144A P/P 4.75100000                                                        | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2360000 | PA      | $2379086.57   | 0.01%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/12/27                              | UBS GROUP AG REGD V/R P/P 5.71100000                                                             | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5000000 | PA      | $5001889.60   | 0.02%             | 2027-01-12      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 11/06/33                              | UBS GROUP AG REGD V/R 144A P/P MTN 4.84400000                                                    | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  25075000 | PA      | $25099056.71  | 0.10%             | 2033-11-06      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| UDR INC 2.95% 09/01/26                                 | UDR INC REGD MTN 2.95000000                                                                      | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    276000 | PA      | $274274.05    | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR INC 3.2% 01/15/30                                  | UDR INC REGD MTN 3.20000000                                                                      | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1503677.67   | 0.01%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UDR INC 3% 08/15/31                                    | UDR INC REGD 3.00000000                                                                          | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    415000 | PA      | $384209.45    | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC 2.1% 08/01/32                                  | UDR INC REGD MTN 2.10000000                                                                      | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1221772.12   | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UBSCM 2017-C5 3.212% 09/15/27                          | UBS COMMERCIAL MORTGAGE TRUST 2017-C5 SER 2017-C5 CL A4 REGD 3.21200000                          | CUSIP: 90276TAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14137964 | PA      | $13928646.07  | 0.06%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| UBSCM 2018-C1 4.448% 11/15/28                          | UBS COMMERCIAL MORTGAGE TRUST 2018-C14 SER 2018-C14 CL A4 REGD 4.44800000                        | CUSIP: 90278KBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2007201.40   | 0.01%             | 2051-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UBSCM 2018-C9 3.854% 02/15/28                          | UBS COMMERCIAL MORTGAGE TRUST 2018-C9 SER 2018-C9 CL A3 REGD 3.85400000                          | CUSIP: 90291JAV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8450188 | PA      | $8366480.85   | 0.03%             | 2051-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 4.253% 03/23/28                           | UBS GROUP AG REGD 144A P/P 4.25300000                                                            | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3000000 | PA      | $3000344.49   | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIE 4.8% 09/15/34                         | UBER TECHNOLOGIES INC REGD 4.80000000                                                            | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1509562.86   | 0.01%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA V/R 06/03/27                             | UNICREDIT SPA REGD V/R 144A P/P 1.98200000                                                       | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1135000 | PA      | $1124536.23   | 0.00%             | 2027-06-03      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CO 4.1% 09/15/67                         | UNION PACIFIC CORP REGD 4.10000000                                                               | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $148088.38    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 3.5% 03/01/30                         | UNITED AIR 2018-1 AA PTT REGD SER AA 3.50000000                                                  | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2223737 | PA      | $2148003.47   | 0.01%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019 4.15% 08/25/31                         | UNITED AIR 2019-1 AA PTT REGD SER AA 4.15000000                                                  | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1671800 | PA      | $1641522.12   | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019 4.55% 08/25/31                         | UNITED AIR 2019-1 A PTT REGD SER A 4.55000000                                                    | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1462087 | PA      | $1421787.09   | 0.01%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016- 3.1% 07/07/28                         | UNITED AIR 2016-1 AA PTT REGD SER AA 3.10000000                                                  | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4617205 | PA      | $4498179.05   | 0.02%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016 3.45% 07/07/28                         | UNITED AIR 2016-1 A PTT REGD SER A 3.45000000                                                    | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1025729 | PA      | $999801.09    | 0.00%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 3.7% 03/01/30                         | UNITED AIR 2018-1 A PTT REGD SER A 3.70000000                                                    | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2514553 | PA      | $2400262.24   | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016- 3.1% 10/07/28                         | UNITED AIR 2016-2 A PTT REGD SER A 3.10000000                                                    | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1806641 | PA      | $1726445.86   | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 201 2.875% 10/07/28                         | UNITED AIR 2016-2 AA PTT REGD SER AA 2.87500000                                                  | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1083985 | PA      | $1045002.46   | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019- 2.7% 05/01/32                         | UNITED AIR 2019-2 AA PTT REGD SER AA 2.70000000                                                  | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2123877 | PA      | $1949250.94   | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018- 4.6% 03/01/26                         | UNITED AIR 2018-1 B PTT REGD SER B 4.60000000                                                    | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550208 | PA      | $549809.15    | 0.00%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1  4% 04/11/26                         | UNITED AIR 2014-1 A PTT REGD SER A 4.00000000                                                    | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    481663 | PA      | $481578.97    | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024 5.45% 02/15/37                         | UNITED AIR 2024-1 AA PTT REGD SER AA 5.45000000                                                  | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2331734 | PA      | $2397152.77   | 0.01%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016 3.65% 01/07/26                         | UNITED AIR 2016-1 B PTT REGD 3.65000000                                                          | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    891236 | PA      | $890963.64    | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  5.75% 10/12/10                         | UNITED MEXICAN STATES REGD MTN SER GMTN 5.75000000                                               | CUSIP: 91086QAZ1<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |    588000 | PA      | $493038.00    | 0.00%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  4.75% 03/08/44                         | UNITED MEXICAN STATES REGD MTN 4.75000000                                                        | CUSIP: 91086QBB3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |    450000 | PA      | $370800.00    | 0.00%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.6% 01/23/46                         | UNITED MEXICAN STATES REGD 4.60000000                                                            | CUSIP: 91086QBF4<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   4219000 | PA      | $3311915.00   | 0.01%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  4.35% 01/15/47                         | UNITED MEXICAN STATES REGD 4.35000000                                                            | CUSIP: 91087BAB6<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |     42000 | PA      | $31626.00     | 0.00%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.6% 02/10/48                         | UNITED MEXICAN STATES REGD 4.60000000                                                            | CUSIP: 91087BAD2<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1482000 | PA      | $1144845.00   | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 2.659% 05/24/31                         | UNITED MEXICAN STATES REGD 2.65900000                                                            | CUSIP: 91087BAM2<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   2579000 | PA      | $2295310.00   | 0.01%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 3.771% 05/24/61                         | UNITED MEXICAN STATES REGD 3.77100000                                                            | CUSIP: 91087BAN0<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1753000 | PA      | $1078971.50   | 0.00%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 3.5% 02/12/34                         | UNITED MEXICAN STATES REGD 3.50000000                                                            | CUSIP: 91087BAR1<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   3202000 | PA      | $2768129.00   | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN S 4.4% 02/12/52                         | UNITED MEXICAN STATES REGD 4.40000000                                                            | CUSIP: 91087BAS9<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1340000 | PA      | $976190.00    | 0.00%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 6.338% 05/04/53                         | UNITED MEXICAN STATES REGD 6.33800000                                                            | CUSIP: 91087BAX8<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |    356000 | PA      | $339090.00    | 0.00%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STA 6% 05/07/36                         | UNITED MEXICAN STATES REGD 6.00000000                                                            | CUSIP: 91087BAZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   4736000 | PA      | $4797568.00   | 0.02%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STA 6% 05/13/30                         | UNITED MEXICAN STATES REGD 6.00000000                                                            | CUSIP: 91087BBB5<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   2185000 | PA      | $2289880.00   | 0.01%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 6.875% 05/13/37                         | UNITED MEXICAN STATES REGD 6.87500000                                                            | CUSIP: 91087BBC3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |  16034000 | PA      | $17108278.00  | 0.07%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 7.375% 05/13/55                         | UNITED MEXICAN STATES REGD 7.37500000                                                            | CUSIP: 91087BBD1<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   1674000 | PA      | $1802898.00   | 0.01%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN  5.85% 07/02/32                         | UNITED MEXICAN STATES REGD 5.85000000                                                            | CUSIP: 91087BBE9<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   4785000 | PA      | $4916156.85   | 0.02%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 6.625% 01/29/38                         | UNITED MEXICAN STATES REGD 6.62500000                                                            | CUSIP: 91087BBF6<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   2996000 | PA      | $3126326.00   | 0.01%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 5.375% 03/22/33                         | UNITED MEXICAN STATES REGD 5.37500000                                                            | CUSIP: 91087BBK5<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   4585000 | PA      | $4543735.00   | 0.02%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN 5.625% 09/22/35                         | UNITED MEXICAN STATES REGD SER 10 5.62500000                                                     | CUSIP: 91087BBL3<br>LEI: N/A                  | Long             | DBT              | USGA              | MX        |   7780000 | PA      | $7671080.00   | 0.03%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL S 5.95% 05/14/55                         | UNITED PARCEL SERVICE REGD 5.95000000                                                            | CUSIP: 911312CK0<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $2095407.19   | 0.01%             | 2055-05-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| US BANCORP V/R 01/23/30                                | US BANCORP REGD V/R 5.38400000                                                                   | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2262974.78   | 0.01%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP V/R 05/15/31                                | US BANCORP REGD V/R 5.08300000                                                                   | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   3925000 | PA      | $4045861.03   | 0.02%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| VENDE 1996-2 1 6.75% 06/15/26                          | VENDEE MORTGAGE TRUST 1996-2 SER 1996-2 CL 1Z 6.75000000                                         | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1814 | PA      | $1817.63      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENDE 1997-1 2Z 7.5% 02/15/27                          | VENDEE MORTGAGE TRUST 1997-1 SER 1997-1 CL 2Z 7.50000000                                         | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8945 | PA      | $9057.97      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENDE 1998-1 2E 7% 03/15/28                            | VENDEE MORTGAGE TRUST 1998-1 SER 1998-1 CL 2E 7.00000000                                         | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12034 | PA      | $12171.78     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 3.625% 04/15/28                                | UNITED STATES TREASURY INFLATION INDEXED BONDS 3.62500000                                        | CUSIP: 912810FD5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2099695 | PA      | $2202673.36   | 0.01%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.75% 01/15/28                                 | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000                                        | CUSIP: 912810PV4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    932532 | PA      | $939290.95    | 0.00%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TIPS 2.5% 01/15/29                                  | UNITED STATES TREASURY INFLATION INDEXED BONDS 2.50000000                                        | CUSIP: 912810PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    626339 | PA      | $646425.59    | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.25% 05/15/39                            | UNITED STATES TREASURY BOND 4.25000000                                                           | CUSIP: 912810QB7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9000000 | PA      | $8816484.42   | 0.04%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.375% 11/15/39                           | UNITED STATES TREASURY BOND 4.37500000                                                           | CUSIP: 912810QD3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14000000 | PA      | $13811328.16  | 0.05%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.875% 08/15/40                           | UNITED STATES TREASURY BOND 3.87500000                                                           | CUSIP: 912810QK7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  25825000 | PA      | $23917379.82  | 0.10%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.375% 05/15/41                           | UNITED STATES TREASURY BOND 4.37500000                                                           | CUSIP: 912810QQ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1500000 | PA      | $1461562.50   | 0.01%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.75% 08/15/42                            | UNITED STATES TREASURY BOND 2.75000000                                                           | CUSIP: 912810QX9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19600000 | PA      | $15129515.58  | 0.06%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.75% 11/15/42                            | UNITED STATES TREASURY BOND 2.75000000                                                           | CUSIP: 912810QY7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13300000 | PA      | $10220218.75  | 0.04%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.125% 02/15/43                           | UNITED STATES TREASURY BOND 3.12500000                                                           | CUSIP: 912810QZ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20360000 | PA      | $16466945.26  | 0.07%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/43                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810RB6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 107560000 | PA      | $83497651.30  | 0.33%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 08/15/43                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810RC4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  65303000 | PA      | $56369753.35  | 0.22%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.75% 11/15/43                            | UNITED STATES TREASURY BOND 3.75000000                                                           | CUSIP: 912810RD2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10943000 | PA      | $9590086.16   | 0.04%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 02/15/44                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810RE0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10150000 | PA      | $8713537.08   | 0.03%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 05/15/44                           | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810RG5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9980000 | PA      | $8236618.75   | 0.03%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 11/15/44                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 102415000 | PA      | $79203600.91  | 0.32%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.5% 02/15/45                             | UNITED STATES TREASURY BOND 2.50000000                                                           | CUSIP: 912810RK6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  79890000 | PA      | $56578347.25  | 0.23%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 11/15/45                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RP5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1340000 | PA      | $1023896.09   | 0.00%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/46                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810RT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39102100 | PA      | $25732542.23  | 0.10%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/47                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810RV2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    780000 | PA      | $587224.22    | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/48                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5685000 | PA      | $4230439.42   | 0.02%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 08/15/48                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SD1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7860000 | PA      | $5819777.36   | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 11/15/48                           | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810SE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14918000 | PA      | $11803284.80  | 0.05%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/49                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SF6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  21465000 | PA      | $15811990.91  | 0.06%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/49                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810SH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  81880000 | PA      | $58739304.49  | 0.23%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/49                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37090000 | PA      | $23260935.64  | 0.09%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 11/15/49                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  26885000 | PA      | $17268361.59  | 0.07%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 02/15/50                               | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810SL3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  75410000 | PA      | $44203221.47  | 0.18%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 08/15/50                           | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810SP4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  78825000 | PA      | $38756651.56  | 0.15%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 08/15/40                           | UNITED STATES TREASURY BOND 1.12500000                                                           | CUSIP: 912810SQ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 143225000 | PA      | $89952014.39  | 0.36%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 05/15/40                           | UNITED STATES TREASURY BOND 1.12500000                                                           | CUSIP: 912810SR0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1975000 | PA      | $1253122.08   | 0.00%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.625% 11/15/50                           | UNITED STATES TREASURY BOND 1.62500000                                                           | CUSIP: 912810SS8<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 171730000 | PA      | $90158250.00  | 0.36%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 11/15/40                           | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  63075000 | PA      | $40939617.19  | 0.16%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 02/15/51                           | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810SU3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  74045000 | PA      | $41378428.15  | 0.16%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 05/15/51                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SX7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  72825000 | PA      | $45893973.45  | 0.18%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 05/15/41                            | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SY5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39825000 | PA      | $29291598.53  | 0.12%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 8/15/51                                | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810SZ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36950000 | PA      | $21166865.14  | 0.08%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.75% 08/15/41                            | UNITED STATES TREASURY BOND 1.75000000                                                           | CUSIP: 912810TA6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 127300000 | PA      | $85892691.09  | 0.34%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2% 11/15/41                               | UNITED STATES TREASURY BOND 2.00000000                                                           | CUSIP: 912810TC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  42434000 | PA      | $29615948.47  | 0.12%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 02/15/42                           | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810TF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 115910000 | PA      | $85320626.57  | 0.34%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/52                           | UNITED STATES TREASURY BOND 2.87500000                                                           | CUSIP: 912810TG3<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 108006000 | PA      | $75469192.50  | 0.30%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.25% 05/15/42                            | UNITED STATES TREASURY BOND 3.25000000                                                           | CUSIP: 912810TH1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  71786000 | PA      | $59868402.70  | 0.24%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 08/15/52                               | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810TJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  72619000 | PA      | $52010522.25  | 0.21%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 08/15/42                           | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810TK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 148622000 | PA      | $125585590.00 | 0.50%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4% 11/15/42                               | UNITED STATES TREASURY BOND 4.00000000                                                           | CUSIP: 912810TM0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  11296000 | PA      | $10353490.00  | 0.04%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 02/15/53                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810TN8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  62975600 | PA      | $50985636.47  | 0.20%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.875% 02/15/43                           | UNITED STATES TREASURY BOND 3.87500000                                                           | CUSIP: 912810TQ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27584000 | PA      | $24814825.14  | 0.10%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.625% 05/15/53                           | UNITED STATES TREASURY BOND 3.62500000                                                           | CUSIP: 912810TR9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19106000 | PA      | $15455709.10  | 0.06%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.875% 05/15/43                           | UNITED STATES TREASURY BOND 3.87500000                                                           | CUSIP: 912810TS7<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 113910000 | PA      | $102185279.01 | 0.41%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.125% 08/15/53                           | UNITED STATES TREASURY BOND 4.12500000                                                           | CUSIP: 912810TT5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8982000 | PA      | $7951175.20   | 0.03%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.375% 08/15/43                           | UNITED STATES TREASURY BOND 4.37500000                                                           | CUSIP: 912810TU2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18600000 | PA      | $17766632.77  | 0.07%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.75% 11/15/53                            | UNITED STATES TREASURY BOND 4.75000000                                                           | CUSIP: 912810TV0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  71138000 | PA      | $69834729.79  | 0.28%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.75% 11/15/43                            | UNITED STATES TREASURY BOND 4.75000000                                                           | CUSIP: 912810TW8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  56711000 | PA      | $56717645.97  | 0.23%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WI TREASURY SE 4.250% 02/15/54                         | UNITED STATES TREASURY BOND 4.25000000                                                           | CUSIP: 912810TX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 132586000 | PA      | $119866030.63 | 0.48%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.5% 02/15/44                             | UNITED STATES TREASURY BOND 4.50000000                                                           | CUSIP: 912810TZ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  17022000 | PA      | $16467455.24  | 0.07%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 05/15/54                           | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UA4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5497000 | PA      | $5294083.41   | 0.02%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 05/15/44                           | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UB2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  95361000 | PA      | $93625132.28  | 0.37%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.25% 08/15/54                            | UNITED STATES TREASURY BOND 4.25000000                                                           | CUSIP: 912810UC0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19804000 | PA      | $17905600.84  | 0.07%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.125% 08/15/44                           | UNITED STATES TREASURY BOND 4.12500000                                                           | CUSIP: 912810UD8<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 102250000 | PA      | $93842334.24  | 0.37%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.5% 11/15/54                             | UNITED STATES TREASURY BOND 4.50000000                                                           | CUSIP: 912810UE6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  23817000 | PA      | $22464268.71  | 0.09%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 11/15/44                           | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UF3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  58460000 | PA      | $57286233.10  | 0.23%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 02/15/55                           | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UG1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  12458000 | PA      | $12000071.20  | 0.05%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.75% 02/15/45                            | UNITED STATES TREASURY BOND 4.75000000                                                           | CUSIP: 912810UJ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24358000 | PA      | $24234307.15  | 0.10%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.75% 05/15/55                            | UNITED STATES TREASURY BOND 4.75000000                                                           | CUSIP: 912810UK2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39350000 | PA      | $38667523.44  | 0.15%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 5% 05/15/45                               | UNITED STATES TREASURY BOND 5.00000000                                                           | CUSIP: 912810UL0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36722000 | PA      | $37697428.12  | 0.15%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.75% 08/15/55                            | UNITED STATES TREASURY BOND 4.75000000                                                           | CUSIP: 912810UM8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  58717000 | PA      | $57726150.63  | 0.23%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.875% 08/15/45                           | UNITED STATES TREASURY BOND 4.87500000                                                           | CUSIP: 912810UN6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  35993000 | PA      | $36341682.19  | 0.14%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 11/15/45                           | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UQ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  61449000 | PA      | $60047194.69  | 0.24%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 02/15/27                            | UNITED STATES TREASURY NOTE 2.25000000                                                           | CUSIP: 912828V98<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1530000 | PA      | $1508842.98   | 0.01%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.75% 12/31/26                            | UNITED STATES TREASURY NOTE 1.75000000                                                           | CUSIP: 912828YX2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  44760000 | PA      | $43991730.41  | 0.18%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 01/31/27                             | UNITED STATES TREASURY NOTE 1.50000000                                                           | CUSIP: 912828Z78<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    822000 | PA      | $804436.17    | 0.00%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 02/15/30                             | UNITED STATES TREASURY NOTE 1.50000000                                                           | CUSIP: 912828Z94<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1855000 | PA      | $1703846.48   | 0.01%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.625% 08/15/30                           | UNITED STATES TREASURY NOTE 0.62500000                                                           | CUSIP: 91282CAE1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2700000 | PA      | $2349421.88   | 0.01%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.875% 11/15/30                           | UNITED STATES TREASURY NOTE 0.87500000                                                           | CUSIP: 91282CAV3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20235000 | PA      | $17689026.03  | 0.07%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.75% 01/31/28                            | UNITED STATES TREASURY NOTE 0.75000000                                                           | CUSIP: 91282CBJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  73860000 | PA      | $69835206.85  | 0.28%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.625% 05/15/31                           | UNITED STATES TREASURY NOTE 1.62500000                                                           | CUSIP: 91282CCB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4225000 | PA      | $3785170.91   | 0.02%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 06/30/28                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CCH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  60461500 | PA      | $57223503.11  | 0.23%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1% 07/31/28                               | UNITED STATES TREASURY NOTE 1.00000000                                                           | CUSIP: 91282CCR0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  21615000 | PA      | $20280949.22  | 0.08%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 08/15/31                            | UNITED STATES TREASURY NOTE 1.25000000                                                           | CUSIP: 91282CCS8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  15190000 | PA      | $13233694.18  | 0.05%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.375% 11/15/31                           | UNITED STATES TREASURY NOTE 1.37500000                                                           | CUSIP: 91282CDJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  77368600 | PA      | $67392281.89  | 0.27%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.75% 01/31/29                            | UNITED STATES TREASURY NOTE 1.75000000                                                           | CUSIP: 91282CDW8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  58475000 | PA      | $55405062.50  | 0.22%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.875% 02/15/32                           | UNITED STATES TREASURY NOTE 1.87500000                                                           | CUSIP: 91282CDY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  84900000 | PA      | $75716871.31  | 0.30%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.875% 02/28/29                           | UNITED STATES TREASURY NOTE 1.87500000                                                           | CUSIP: 91282CEB3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  33900000 | PA      | $32197054.52  | 0.13%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.375% 03/31/29                           | UNITED STATES TREASURY NOTE 2.37500000                                                           | CUSIP: 91282CEE7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  46810000 | PA      | $45098509.38  | 0.18%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 04/30/29                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 91282CEM9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36460000 | PA      | $35653892.01  | 0.14%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 05/15/32                           | UNITED STATES TREASURY NOTE 2.87500000                                                           | CUSIP: 91282CEP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  98795000 | PA      | $93152878.80  | 0.37%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.75% 05/31/29                            | UNITED STATES TREASURY NOTE 2.75000000                                                           | CUSIP: 91282CES6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  58030000 | PA      | $56474977.06  | 0.22%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.25% 06/30/29                            | UNITED STATES TREASURY NOTE 3.25000000                                                           | CUSIP: 91282CEV9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  40000000 | PA      | $39543750.00  | 0.16%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.125% 08/31/29                           | UNITED STATES TREASURY NOTE 3.12500000                                                           | CUSIP: 91282CFJ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19000000 | PA      | $18679375.00  | 0.07%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 12/31/29                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CGB1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  26730000 | PA      | $26956578.45  | 0.11%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.5% 02/15/33                             | UNITED STATES TREASURY NOTE 3.50000000                                                           | CUSIP: 91282CGM7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  67125000 | PA      | $65234487.47  | 0.26%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 02/28/30                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CGQ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  47524000 | PA      | $48129188.68  | 0.19%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 03/31/30                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CGS4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7400000 | PA      | $7386125.00   | 0.03%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 03/31/28                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CGT2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  40000000 | PA      | $40106250.00  | 0.16%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.375% 05/15/33                           | UNITED STATES TREASURY NOTE 3.37500000                                                           | CUSIP: 91282CHC8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  78380000 | PA      | $75351960.35  | 0.30%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 07/31/28                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CHQ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  11130000 | PA      | $11296080.52  | 0.04%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 08/31/30                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CHW4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  94908000 | PA      | $96576304.21  | 0.38%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.875% 10/31/30                           | UNITED STATES TREASURY NOTE 4.87500000                                                           | CUSIP: 91282CJG7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3090000 | PA      | $3245948.44   | 0.01%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.5% 11/15/33                             | UNITED STATES TREASURY NOTE 4.50000000                                                           | CUSIP: 91282CJJ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 151464000 | PA      | $156392496.18 | 0.62%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.375% 11/30/30                           | UNITED STATES TREASURY NOTE 4.37500000                                                           | CUSIP: 91282CJM4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37750000 | PA      | $38836787.02  | 0.15%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 01/31/31                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CJX0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  13325000 | PA      | $13478549.84  | 0.05%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 02/15/34                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CJZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27986000 | PA      | $27898543.75  | 0.11%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 03/31/31                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CKF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  29075000 | PA      | $29569047.92  | 0.12%             | 2031-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.625% 04/30/29                           | UNITED STATES TREASURY NOTE 4.62500000                                                           | CUSIP: 91282CKP5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  88363000 | PA      | $91217539.32  | 0.36%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.5% 05/31/29                             | UNITED STATES TREASURY NOTE 4.50000000                                                           | CUSIP: 91282CKT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24742000 | PA      | $25453332.50  | 0.10%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.625% 06/15/27                           | UNITED STATES TREASURY NOTE 4.62500000                                                           | CUSIP: 91282CKV2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36225000 | PA      | $36803750.89  | 0.15%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.25% 06/30/29                            | UNITED STATES TREASURY NOTE 4.25000000                                                           | CUSIP: 91282CKX8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  23088000 | PA      | $23575914.32  | 0.09%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 07/31/29                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CLC3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  26980000 | PA      | $27328843.04  | 0.11%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 08/15/34                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CLF6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  50829000 | PA      | $50046710.18  | 0.20%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 08/31/29                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CLK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27753000 | PA      | $27748663.59  | 0.11%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 10/31/31                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CLU3<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 149411000 | PA      | $151710527.92 | 0.60%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.25% 11/15/34                            | UNITED STATES TREASURY NOTE 4.25000000                                                           | CUSIP: 91282CLW9<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 146110000 | PA      | $147645296.12 | 0.59%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.5% 12/31/31                             | UNITED STATES TREASURY NOTE 4.50000000                                                           | CUSIP: 91282CMC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    975000 | PA      | $1008972.66   | 0.00%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.375% 12/31/29                           | UNITED STATES TREASURY NOTE 4.37500000                                                           | CUSIP: 91282CMD0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27598000 | PA      | $28335384.06  | 0.11%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.25% 01/15/28                            | UNITED STATES TREASURY NOTE 4.25000000                                                           | CUSIP: 91282CMF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 215875000 | PA      | $219054096.14 | 0.87%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.25% 01/31/30                            | UNITED STATES TREASURY NOTE 4.25000000                                                           | CUSIP: 91282CMG3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  85673000 | PA      | $87577216.07  | 0.35%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.375% 01/31/32                           | UNITED STATES TREASURY NOTE 4.37500000                                                           | CUSIP: 91282CMK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 126455000 | PA      | $129972029.69 | 0.52%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 02/28/27                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CMP3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  52600000 | PA      | $52953406.25  | 0.21%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 02/29/32                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CMR9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  48624000 | PA      | $49309674.25  | 0.20%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 03/31/30                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CMU2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18256000 | PA      | $18488478.84  | 0.07%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.75% 04/15/28                            | UNITED STATES TREASURY NOTE 3.75000000                                                           | CUSIP: 91282CMW8<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 102675000 | PA      | $103208428.45 | 0.41%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 04/30/30                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CMZ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  56705000 | PA      | $57148007.81  | 0.23%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.25% 05/15/35                            | UNITED STATES TREASURY NOTE 4.25000000                                                           | CUSIP: 91282CNC1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  16555000 | PA      | $16692096.09  | 0.07%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4.125% 05/31/32                           | UNITED STATES TREASURY NOTE 4.12500000                                                           | CUSIP: 91282CNF4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  24245000 | PA      | $24563215.63  | 0.10%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 05/31/30                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CNG2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  32041000 | PA      | $32449022.27  | 0.13%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 06/30/32                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CNJ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 227725000 | PA      | $229032640.22 | 0.91%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 06/30/30                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CNK3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  37991000 | PA      | $38277416.43  | 0.15%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 07/15/28                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CNM9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  47110000 | PA      | $47507490.63  | 0.19%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 07/31/30                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CNN7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  29734000 | PA      | $29953520.47  | 0.12%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 08/15/28                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CNU1<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 152925000 | PA      | $153313285.75 | 0.61%             | 2028-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 08/31/32                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CNW7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  35755000 | PA      | $35661422.37  | 0.14%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 08/31/30                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CNX5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  35823000 | PA      | $35695660.34  | 0.14%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 09/30/30                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CPA3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  71304000 | PA      | $71028253.88  | 0.28%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.5% 10/15/28                             | UNITED STATES TREASURY NOTE 3.50000000                                                           | CUSIP: 91282CPC9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  90756000 | PA      | $90663826.39  | 0.36%             | 2028-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 10/31/30                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CPD7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  66775000 | PA      | $66493292.97  | 0.26%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 11/15/35                               | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CPJ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  49624000 | PA      | $48910655.00  | 0.19%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.5% 11/15/28                             | UNITED STATES TREASURY NOTE 3.50000000                                                           | CUSIP: 91282CPK1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  29502000 | PA      | $29469732.19  | 0.12%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.375% 11/30/27                           | UNITED STATES TREASURY NOTE 3.37500000                                                           | CUSIP: 91282CPL9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  19086000 | PA      | $19049468.25  | 0.08%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.5% 11/30/30                             | UNITED STATES TREASURY NOTE 3.50000000                                                           | CUSIP: 91282CPN5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  23410000 | PA      | $23174071.21  | 0.09%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.5% 12/15/28                             | UNITED STATES TREASURY NOTE 3.50000000                                                           | CUSIP: 91282CPP0<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 134495000 | PA      | $134337388.00 | 0.53%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.875% 12/31/32                           | UNITED STATES TREASURY NOTE 3.87500000                                                           | CUSIP: 91282CPQ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14957000 | PA      | $14891563.13  | 0.06%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.625% 12/31/30                           | UNITED STATES TREASURY NOTE 3.62500000                                                           | CUSIP: 91282CPR6<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 118503000 | PA      | $117938259.73 | 0.47%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.375% 12/31/27                           | UNITED STATES TREASURY NOTE 3.37500000                                                           | CUSIP: 91282CPS4<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 101209000 | PA      | $101011326.68 | 0.40%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/31                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128334S6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  46270000 | PA      | $37122022.15  | 0.15%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/32                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128334T4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  46250000 | PA      | $36258282.28  | 0.14%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128334Z0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1824000 | PA      | $1235182.89   | 0.00%             | 2035-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128335A4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    175000 | PA      | $115450.39    | 0.00%             | 2035-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/36                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128335B2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  25000000 | PA      | $16087384.75  | 0.06%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/30                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128337N4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  32075000 | PA      | $26616069.79  | 0.11%             | 2030-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/31                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128337P9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  21720000 | PA      | $17633056.63  | 0.07%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/31                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128337Q7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14830000 | PA      | $11764549.72  | 0.05%             | 2031-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/34                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 9128337W4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2487000 | PA      | $1704913.51   | 0.01%             | 2034-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/27                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833PE4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  44314000 | PA      | $41857643.96  | 0.17%             | 2027-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/27                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833QB9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  29607000 | PA      | $27725553.31  | 0.11%             | 2027-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/35                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833X88<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1920000 | PA      | $1282967.16   | 0.01%             | 2035-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/30                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833XU9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  50000000 | PA      | $42396722.50  | 0.17%             | 2030-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/31                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833XZ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  26310000 | PA      | $21582832.31  | 0.09%             | 2031-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/36                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912833Y20<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    121000 | PA      | $76746.83     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/40                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834JB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  57443000 | PA      | $28445485.81  | 0.11%             | 2040-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/40                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834JH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20090000 | PA      | $9800831.16   | 0.04%             | 2040-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/41                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834JP4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  89419967 | PA      | $42988651.82  | 0.17%             | 2041-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/41                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834KH0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10000000 | PA      | $4741867.50   | 0.02%             | 2041-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY S ZCP 08/15/41                             | UNITED STATES TREASURY STRIP__  COUPON 0.00000000                                                | CUSIP: 912834KP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1425000 | PA      | $665533.40    | 0.00%             | 2041-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/43                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834MM7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  43405000 | PA      | $18248980.74  | 0.07%             | 2043-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/43                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834MZ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  53100000 | PA      | $21649602.78  | 0.09%             | 2043-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/44                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834NF1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18735000 | PA      | $7524255.15   | 0.03%             | 2044-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 11/15/44                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834PB8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4045000 | PA      | $1557473.25   | 0.01%             | 2044-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/45                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834PH5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4035000 | PA      | $1535790.00   | 0.01%             | 2045-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/45                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834PM4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7000000 | PA      | $2586471.93   | 0.01%             | 2045-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 02/15/46                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20000000 | PA      | $7198691.60   | 0.03%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/46                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834QP6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5975000 | PA      | $2096981.34   | 0.01%             | 2046-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/48                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834TV0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3095000 | PA      | $982381.81    | 0.00%             | 2048-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 05/15/49                              | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                                               | CUSIP: 912834UR7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10000000 | PA      | $3049065.90   | 0.01%             | 2049-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP 4.5% 06/01/42                                 | RTX CORP REGD 4.50000000                                                                         | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1823000 | PA      | $1647922.14   | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP 4.15% 05/15/45                                | RTX CORP REGD 4.15000000                                                                         | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1683000 | PA      | $1404645.67   | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX CORP 3.75% 11/01/46                                | RTX CORP REGD 3.75000000                                                                         | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $875639.12    | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GRO 3.5% 08/15/39                         | UNITEDHEALTH GROUP INC REGD 3.50000000                                                           | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1394712.38   | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GR 3.25% 05/15/51                         | UNITEDHEALTH GROUP INC REGD 3.25000000                                                           | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $941533.88    | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GR 4.75% 05/15/52                         | UNITEDHEALTH GROUP INC REGD 4.75000000                                                           | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7015000 | PA      | $6049874.83   | 0.02%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH G 5.875% 02/15/53                         | UNITEDHEALTH GROUP INC REGD 5.87500000                                                           | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1507475.40   | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GRO 4.5% 04/15/33                         | UNITEDHEALTH GROUP INC REGD 4.50000000                                                           | CUSIP: 91324PEV0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1506320.61   | 0.01%             | 2033-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GR 5.05% 04/15/53                         | UNITEDHEALTH GROUP INC REGD 5.05000000                                                           | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7745000 | PA      | $6985802.03   | 0.03%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GR 5.15% 07/15/34                         | UNITEDHEALTH GROUP INC REGD 5.15000000                                                           | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   8245000 | PA      | $8444936.39   | 0.03%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH G 5.625% 07/15/54                         | UNITEDHEALTH GROUP INC REGD 5.62500000                                                           | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7788000 | PA      | $7638606.69   | 0.03%             | 2054-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNIV OF PITTSB 3.555% 09/15/19                         | UNIV OF PITTSBURGH PA OF THE C REGD B/E 3.55500000                                               | CUSIP: 91335VKQ8<br>LEI: 5493002C83QSGL8ETT42 | Long             | DBT              | MUN               | US        |   2045000 | PA      | $1278912.73   | 0.01%             | 2119-09-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFO 3.706% 05/15/20                         | UNIV OF CALIFORNIA CA RGTS MED REGD B/E 3.70600000                                               | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3270000 | PA      | $2061737.94   | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF  2.761% 04/01/45                         | UNIVERSITY OF CHICAGO REGD SER 20B 2.76100000                                                    | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1244963.21   | 0.00%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF  4.063% 04/01/52                         | UNIVERSITY OF MIAMI REGD SER 2022 4.06300000                                                     | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1025261.94   | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| UNIV OF MICHIG 4.454% 04/01/22                         | UNIV OF MICHIGAN MI REGD B/E 4.45400000                                                          | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7800000 | PA      | $6068240.88   | 0.02%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN  3.226% 10/01/20                         | UNIV SOUTHERN CALIFORNIA REGD SER A 3.22600000                                                   | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $789485.15    | 0.00%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| UNIV OF VIRGIN 4.179% 09/01/17                         | UNIV OF VIRGINIA VA UNIV REVEN REGD B/E 4.17900000                                               | CUSIP: 915217WX7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1540000 | PA      | $1143078.71   | 0.00%             | 2117-09-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| UNIV OF VIRGIN 2.584% 11/01/51                         | UNIV OF VIRGINIA VA UNIV REVEN REGD B/E 2.58400000                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3150000 | PA      | $1945415.12   | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019- 7.46% 07/18/27                           | VM DEBT 2019-1 TR  REGD 144A 7.46000000                                                          | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14993823 | PA      | $14281616.21  | 0.06%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS  6.875% 11/21/36                         | VALE OVERSEAS LIMITED REGD 6.87500000                                                            | CUSIP: 91911TAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   5167000 | PA      | $5816050.07   | 0.02%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS L 3.75% 07/08/30                         | VALE OVERSEAS LIMITED REGD 3.75000000                                                            | CUSIP: 91911TAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   5000000 | PA      | $4813828.25   | 0.02%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS  6.125% 06/12/33                         | VALE OVERSEAS LIMITED REGD 6.12500000                                                            | CUSIP: 91911TAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   4225000 | PA      | $4522651.29   | 0.02%             | 2033-06-12      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LI 6.4% 06/28/54                         | VALE OVERSEAS LIMITED REGD 6.40000000                                                            | CUSIP: 91911TAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   4607000 | PA      | $4701443.50   | 0.02%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY  6.625% 06/15/37                         | VALERO ENERGY CORP REGD 6.62500000                                                               | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5505652.95   | 0.02%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY C 4.35% 06/01/28                         | VALERO ENERGY CORP REGD 4.35000000                                                               | CUSIP: 91913YAV2<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   3416000 | PA      | $3434746.22   | 0.01%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL1 A V/R 01/25/28                          | VCAT 2025-NPL1 LLC SER 2025-NPL1 CL A1 V/R REGD 144A P/P 5.87700000                              | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2523562 | PA      | $2532476.74   | 0.01%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA 5% 05/18/27                             | VAR ENERGI ASA REGD 144A P/P 5.00000000                                                          | CUSIP: 92212WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |  11460000 | PA      | $11552356.03  | 0.05%             | 2027-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA 7.5% 01/15/28                           | VAR ENERGI ASA REGD 144A P/P 7.50000000                                                          | CUSIP: 92212WAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   2200000 | PA      | $2329735.61   | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA 8% 11/15/32                             | VAR ENERGI ASA REGD 144A P/P 8.00000000                                                          | CUSIP: 92212WAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   4000000 | PA      | $4577980.76   | 0.02%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA 5.875% 05/22/30                         | VAR ENERGI ASA REGD 144A P/P 5.87500000                                                          | CUSIP: 92212WAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |   6000000 | PA      | $6245472.00   | 0.02%             | 2030-05-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL3 A V/R 02/25/28                          | VCAT 2025-NPL3 LLC SER 2025-NPL3 CL A1 V/R REGD 144A P/P 5.88900000                              | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    540560 | PA      | $541814.60    | 0.00%             | 2055-02-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| VENDE 1996-1 1 6.75% 02/15/26                          | VENDEE MORTGAGE TRUST 1996-1 SER 1996-1 CL 1Z 6.75000000                                         | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9931 | PA      | $9913.00      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY  4.125% 01/15/26                         | VENTAS REALTY LP REGD 4.12500000                                                                 | CUSIP: 92277GAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | PA      | $125985.98    | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY L 3.25% 10/15/26                         | VENTAS REALTY LP REGD 3.25000000                                                                 | CUSIP: 92277GAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    323000 | PA      | $321207.37    | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY L 3.85% 04/01/27                         | VENTAS REALTY LP REGD 3.85000000                                                                 | CUSIP: 92277GAL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    677000 | PA      | $675233.88    | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VENTR 2018-32A A V/R 07/18/31                          | VENTURE 32 CLO LTD SER 2018-32A CL A1 V/R REGD 144A P/P 5.24605000                               | CUSIP: 92325QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2096907 | PA      | $2097926.59   | 0.01%             | 2031-07-18      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL 3.875% 08/15/29                         | VENTURE GLOBAL CALCASIEU REGD 144A P/P 3.87500000                                                | CUSIP: 92328MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2812323.60   | 0.01%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL  6.25% 01/15/30                         | VENTURE GLOBAL CALCASIEU REGD 144A P/P 6.25000000                                                | CUSIP: 92328MAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4049660.56   | 0.02%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 4.4% 11/01/34                         | VERIZON COMMUNICATIONS REGD SER 20YR 4.40000000                                                  | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2412053.23   | 0.01%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.272% 01/15/36                         | VERIZON COMMUNICATIONS REGD SER WI 4.27200000                                                    | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2311000 | PA      | $2165074.75   | 0.01%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.812% 03/15/39                         | VERIZON COMMUNICATIONS REGD SER WI 4.81200000                                                    | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   7941000 | PA      | $7536151.06   | 0.03%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.329% 09/21/28                         | VERIZON COMMUNICATIONS REGD SER WI 4.32900000                                                    | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6990000 | PA      | $7047484.85   | 0.03%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.016% 12/03/29                         | VERIZON COMMUNICATIONS REGD SER WI 4.01600000                                                    | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   9802000 | PA      | $9727288.96   | 0.04%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 3.7% 03/22/61                         | VERIZON COMMUNICATIONS REGD 3.70000000                                                           | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1012163.19   | 0.00%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNI 2.55% 03/21/31                         | VERIZON COMMUNICATIONS REGD 2.55000000                                                           | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5433000 | PA      | $4961380.07   | 0.02%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNIC 3.4% 03/22/41                         | VERIZON COMMUNICATIONS REGD 3.40000000                                                           | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1174524.44   | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 2.355% 03/15/32                         | VERIZON COMMUNICATIONS REGD 2.35500000                                                           | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  26930000 | PA      | $23732051.46  | 0.09%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 5.401% 07/02/37                         | VERIZON COMMUNICATIONS REGD 144A P/P 5.40100000                                                  | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    489000 | PA      | $494236.75    | 0.00%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 5.875% 11/30/55                         | VERIZON COMMUNICATIONS REGD 5.87500000                                                           | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2462000 | PA      | $2432459.32   | 0.01%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTIC 5.75% 04/01/33                         | VERISK ANALYTICS INC REGD 5.75000000                                                             | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2411717.24   | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VZMT 2023-1 A V/R 01/20/26                             | VERIZON MASTER TRUST SER 2023-1 CL A V/R REGD 4.49000000                                         | CUSIP: 92348KBG7<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |   2695000 | PA      | $2695563.52   | 0.01%             | 2029-01-22      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| VZMT 2024-8 A1 4.62% 11/22/27                          | VERIZON MASTER TRUST SER 2024-8 CL A1A REGD 4.62000000                                           | CUSIP: 92348KDM2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-CBDO         | CORP              | US        |  11200000 | PA      | $11364000.48  | 0.05%             | 2030-11-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VZMT 2025-9 B 4.24% 10/21/30                           | VERIZON MASTER TRUST SERIES 2025-9 SER 2025-9 CL B REGD 4.24000000                               | CUSIP: 92348KEX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6562000 | PA      | $6573568.15   | 0.03%             | 2030-10-21      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-3 A1 V/R 05/25/70                           | VERUS SECURITIZATION TRUST 2025-3 SER 2025-3 CL A1 V/R REGD 144A P/P 5.62300000                  | CUSIP: 924928AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11314192 | PA      | $11430037.61  | 0.05%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-11 A1 V/R 11/25/70                          | VERUS SECURITIZATION TRUST 2025-11 SER 2025-11 CL A1 V/R REGD 144A P/P 4.91400000                | CUSIP: 924935AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17749272 | PA      | $17765961.98  | 0.07%             | 2070-11-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBA 5.85% 09/01/43                         | PARAMOUNT GLOBAL REGD 5.85000000                                                                 | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1292611.25   | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 2.3% 06/22/27                              | VIATRIS INC REGD SER WI 2.30000000                                                               | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   3525000 | PA      | $3424055.91   | 0.01%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 3.85% 06/22/40                             | VIATRIS INC REGD SER WI 3.85000000                                                               | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   3625000 | PA      | $2782707.72   | 0.01%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC 4% 06/22/50                                | VIATRIS INC REGD SER WI 4.00000000                                                               | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   4880000 | PA      | $3249899.73   | 0.01%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES 4.75% 02/15/28                         | VICI PROPERTIES LP REGD 4.75000000                                                               | CUSIP: 925650AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5048832.05   | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES 4.75% 04/01/28                         | VICI PROPERTIES LP REGD 4.75000000                                                               | CUSIP: 925650AJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10035000 | PA      | $10140625.90  | 0.04%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & 4.65% 08/15/43                         | VIRGINIA ELEC & POWER CO REGD SER D 4.65000000                                                   | CUSIP: 927804FP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1580239.82   | 0.01%             | 2043-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & 4.45% 02/15/44                         | VIRGINIA ELEC & POWER CO REGD 4.45000000                                                         | CUSIP: 927804FR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | PA      | $108899.66    | 0.00%             | 2044-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC &  3.5% 03/15/27                         | VIRGINIA ELEC & POWER CO REGD SER A 3.50000000                                                   | CUSIP: 927804FX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1732000 | PA      | $1723648.11   | 0.01%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & 5.65% 03/15/55                         | VIRGINIA ELEC & POWER CO REGD 5.65000000                                                         | CUSIP: 927804GU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5600000 | PA      | $5482919.51   | 0.02%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATION 4.3% 07/15/29                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 4.30000000                                                | CUSIP: 92840VAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10328000 | PA      | $10255985.23  | 0.04%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS  6% 04/15/34                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 6.00000000                                                | CUSIP: 92840VAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6314000 | PA      | $6644430.57   | 0.03%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIO 5.05% 12/30/26                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 5.05000000                                                | CUSIP: 92840VAT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3646000 | PA      | $3672010.56   | 0.01%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATION 5.7% 12/30/34                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 5.70000000                                                | CUSIP: 92840VAU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4555000 | PA      | $4701497.91   | 0.02%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATION 4.6% 10/15/30                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 4.60000000                                                | CUSIP: 92840VAV4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7662000 | PA      | $7658895.36   | 0.03%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIO 5.25% 10/15/35                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 5.25000000                                                | CUSIP: 92840VAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4570000 | PA      | $4555333.86   | 0.02%             | 2035-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATION 4.3% 10/15/28                         | VISTRA OPERATIONS CO LLC REGD 144A P/P 4.30000000                                                | CUSIP: 92840VAX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3752000 | PA      | $3754889.04   | 0.01%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC 1.4% 08/15/26                               | VMWARE LLC REGD 1.40000000                                                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   8282000 | PA      | $8159629.56   | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC 1.8% 08/15/28                               | VMWARE LLC REGD 1.80000000                                                                       | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1928000 | PA      | $1823175.47   | 0.01%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP  6.15% 02/27/37                         | VODAFONE GROUP PLC REGD 6.15000000                                                               | CUSIP: 92857WAQ3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1631000 | PA      | $1772035.65   | 0.01%             | 2037-02-27      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP 5.625% 02/10/53                         | VODAFONE GROUP PLC REGD 5.62500000                                                               | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $454762.69    | 0.00%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROU 4.35% 06/08/27                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 4.35000000                                                | CUSIP: 928668BS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12500000 | PA      | $12518318.13  | 0.05%             | 2027-06-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP 6.2% 11/16/28                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 6.20000000                                                | CUSIP: 928668CB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    727000 | PA      | $761542.61    | 0.00%             | 2028-11-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROU 5.65% 03/25/32                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 5.65000000                                                | CUSIP: 928668CR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7945000 | PA      | $8242325.81   | 0.03%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP 5.8% 03/27/35                         | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 5.80000000                                                | CUSIP: 928668CS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5178552.80   | 0.02%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| VWALT 2024-A A 5.21% 10/20/26                          | VOLKSWAGEN AUTO LEASE TRUST 2024-A SER 2024-A CL A3 REGD 5.21000000                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8362000 | PA      | $8406427.31   | 0.03%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| VWALT 2025-B A 4.01% 01/22/29                          | VOLKSWAGEN AUTO LEASE TRUST 2025-B SER 2025-B CL A3 REGD 4.01000000                              | CUSIP: 92868BAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13089000 | PA      | $13140236.89  | 0.05%             | 2029-01-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NPL4 A V/R 03/27/51                          | VOLT XCV LLC SER 2021-NPL4 CL A1 V/R REGD 144A P/P 6.23960000                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    318834 | PA      | $318838.96    | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| VOLT 2021-NP11 A V/R 07/25/24                          | VOLT CII LLC SER 2021-NP11 CL A1 V/R REGD 144A P/P 5.86780000                                    | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    824694 | PA      | $824615.49    | 0.00%             | 2051-08-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP 2.4% 04/01/28                             | VONTIER CORP REGD SER WI 2.40000000                                                              | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |  10822000 | PA      | $10371895.70  | 0.04%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS 4.7% 03/01/48                         | VULCAN MATERIALS CO REGD SER WI 4.70000000                                                       | CUSIP: 929160AY5<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   2054000 | PA      | $1800106.70   | 0.01%             | 2048-03-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VOYA 2019-3A AR V/R 10/17/32                           | VOYA CLO 2019-3 LTD SER 2019-3A CL AR V/R REGD 144A P/P 5.22324000                               | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15495678 | PA      | $15510027.18  | 0.06%             | 2032-10-17      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S4 2A1 V/R 06/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S4 SER 2003-S4 CL 2A10 V/R REGD 6.88542200   | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2695 | PA      | $2661.59      | 0.00%             | 2033-06-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR7 A7 V/R 08/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR7 SER 2003-AR7 CL A7 V/R REGD 5.64399000   | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18325 | PA      | $17930.77     | 0.00%             | 2033-08-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S1 A5 5.5% 04/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S1 TRUST SER 2003-S1 CL A5 REGD 5.50000000   | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16954 | PA      | $17233.62     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 1A V/R 09/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 1A6 V/R REGD 5.45049700  | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116905 | PA      | $115064.40    | 0.00%             | 2033-09-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 2A V/R 09/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 2A V/R REGD 5.69649800   | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9604 | PA      | $9388.18      | 0.00%             | 2033-09-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S9 A 5.25% 10/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S9 TRUST SER 2003-S9 CL A8 REGD 5.25000000   | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87784 | PA      | $87258.78     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-S9 P ZCP 10/25/33                            | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-S9 SER 2003-S9 CL P ZCP REGD 0.00000000      | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1012 | PA      | $806.46       | 0.00%             | 2033-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR11 A V/R 10/25/33                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR11 SER 2003-AR11 CL A6 V/R REGD 5.82665900 | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58725 | PA      | $55386.85     | 0.00%             | 2033-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR3 A1 V/R 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR3 SER 2004-AR3 CL A1 V/R REGD 5.36184700   | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    590950 | PA      | $564771.50    | 0.00%             | 2034-06-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR3 A2 V/R 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR3 SER 2004-AR3 CL A2 V/R REGD 5.36184700   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33299 | PA      | $31824.19     | 0.00%             | 2034-06-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-RS2 A4 5% 11/25/33                           | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-RS2 SER 2004-RS2 CL A4 REGD 5.00000000       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12368 | PA      | $12217.02     | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-S2 2A 5.5% 06/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-S2 TRUST SER 2004-S2 CL 2A4 REGD 5.50000000  | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53978 | PA      | $53678.60     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-CB2 3A 6% 08/25/34                           | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-CB2 TRUST SER 2004-CB2 CL 3A REGD 6.00000000 | CUSIP: 92922FTY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187901 | PA      | $192996.42    | 0.00%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-CB3 2 6.5% 10/25/34                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-CB3 TRUST SER 2004-CB3 CL 2A REGD 6.50000000 | CUSIP: 92922FXM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    584163 | PA      | $605298.72    | 0.00%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-6 2A 5.5% 08/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-6 CL 2A4 REGD 5.50000000     | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14602 | PA      | $13041.07     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 4.25% 10/01/26                            | WP CAREY INC REGD 4.25000000                                                                     | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   3404000 | PA      | $3407973.86   | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 2.4% 02/01/31                             | WP CAREY INC REGD 2.40000000                                                                     | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1622278.49   | 0.01%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 2.45% 02/01/32                            | WP CAREY INC REGD 2.45000000                                                                     | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1199199.82   | 0.00%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC 4.65% 07/15/30                            | WP CAREY INC REGD 4.65000000                                                                     | CUSIP: 92936UAN9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5034847.00   | 0.02%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WFRBS 2013-C11 D V/R 03/15/45                          | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 SER 2013-C11 CL D V/R REGD 144A P/P 4.06741700          | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $263847.39    | 0.00%             | 2045-03-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WBCMT 2006-C24 X V/R 03/15/45                          | WACHOVIA BANK COMMERCIAL MORTGAGE TR SER 2006-C24 CL XC V/R REGD 144A P/P 0.00000000             | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7911 | PA      | $0.08         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR8 1A V/R 08/25/46                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR8 SER 2006-AR8 CL 1A2 V/R REGD 4.47539800  | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21130 | PA      | $19899.72     | 0.00%             | 2046-08-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR10 2 V/R 09/25/36                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR10 SER 2006-AR10 CL 2P V/R REGD 4.14972500 | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3856 | PA      | $3432.87      | 0.00%             | 2036-09-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-1 1A 5.5% 03/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-1 CL 1A1 REGD 5.50000000     | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28308 | PA      | $28043.73     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-1 CP V/R 03/25/35                           | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WM SER 2005-1 CL CP V/R REGD 0.00000000     | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2408 | PA      | $1650.87      | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-2 1A4 V/R 04/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES W SER 2005-2 CL 1A4 V/R REGD 1.20379000     | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    268102 | PA      | $14055.53     | 0.00%             | 2035-04-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-2 2A3 V/R 04/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES W SER 2005-2 CL 2A3 V/R REGD 1.15379000     | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60849 | PA      | $3216.74      | 0.00%             | 2035-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-4 CB 5.5% 06/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2005-4 CL CB7 REGD 5.50000000     | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85364 | PA      | $79134.86     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WMALT 2005-4 CX 5.5% 06/25/35                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT  SER 2005-4 CL CX REGD 5.50000000     | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93643 | PA      | $13838.03     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMMS 2003-MS7 P ZCP 03/25/33                          | WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUGH  SER 2003-MS7 CL P ZCP REGD 0.00000000               | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        19 | PA      | $15.71        | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR14 A V/R 01/25/35                          | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR14 SER 2004-AR14 CL A1 V/R REGD 4.96563500 | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    680059 | PA      | $661518.46    | 0.00%             | 2035-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| WMALT 2006-1 3 5.75% 02/25/36                          | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SER 2006-1 CL 3A2 REGD 5.75000000     | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7324 | PA      | $6932.40      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WELF 2024-1A A1 V/R 07/18/37                           | WELLFLEET CLO 2024-1 LTD SER 2024-1A CL A1 V/R REGD 144A P/P 5.47444000                          | CUSIP: 94951AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  25950000 | PA      | $26002730.40  | 0.10%             | 2037-07-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 4.625% 05/15/42                         | ELEVANCE HEALTH INC REGD 4.62500000                                                              | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    400000 | PA      | $359907.77    | 0.00%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH 4.65% 01/15/43                         | ELEVANCE HEALTH INC REGD 4.65000000                                                              | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    391000 | PA      | $350380.57    | 0.00%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH 4.65% 08/15/44                         | ELEVANCE HEALTH INC REGD 4.65000000                                                              | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    395000 | PA      | $348131.89    | 0.00%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO 4.1% 06/03/26                         | WELLS FARGO & COMPANY REGD MTN 4.10000000                                                        | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3580000 | PA      | $3580331.19   | 0.01%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| WFALT 2007-PA3 5.75% 07/25/37                          | WELLS FARGO ALTERNATIVE LOAN 2007-PA3 TRUST SER 2007-PA3 CL 1A2 REGD 5.75000000                  | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8983 | PA      | $7923.12      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WFMBS 2007-7 A7 6% 06/25/37                            | WELLS FARGO MORTGAGE BACKED SECURITIES 2007-7 TRUST SER 2007-7 CL A7 REGD 6.00000000             | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3968 | PA      | $3625.55      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WFALT 2003-1 APO ZCP 09/25/33                          | WELLS FARGO ALTERNATIVE LOAN 2003-1 TRUST SER 2003-1 CL APO ZCP REGD 0.00000000                  | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       919 | PA      | $719.05       | 0.00%             | 2033-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WFCM 2016-C34 3.096% 04/15/26                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 SER 2016-C34 CL A4 REGD 3.09600000                | CUSIP: 95000DBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2211000 | PA      | $2199696.26   | 0.01%             | 2049-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| WFCM 2016-NXS 2.642% 11/15/49                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 SER 2016-NXS6 CL A3 REGD 2.64200000              | CUSIP: 95000KBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15424616 | PA      | $15393613.58  | 0.06%             | 2049-11-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 02/11/31                         | WELLS FARGO & COMPANY REGD V/R MTN 2.57200000                                                    | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  12110000 | PA      | $11310552.90  | 0.05%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/30/41                         | WELLS FARGO & COMPANY REGD V/R 3.06800000                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14200000 | PA      | $11013387.94  | 0.04%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 06/02/28                         | WELLS FARGO & COMPANY REGD V/R MTN 2.39300000                                                    | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2875000 | PA      | $2809145.14   | 0.01%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 07/25/33                         | WELLS FARGO & COMPANY REGD V/R MTN 4.89700000                                                    | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2466000 | PA      | $2504358.24   | 0.01%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/24/34                         | WELLS FARGO & COMPANY REGD V/R 5.38900000                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2983000 | PA      | $3103609.07   | 0.01%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 07/25/29                         | WELLS FARGO & COMPANY REGD V/R MTN 5.57400000                                                    | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  40471000 | PA      | $41922972.40  | 0.17%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 07/25/34                         | WELLS FARGO & COMPANY REGD V/R MTN 5.55700000                                                    | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6141000 | PA      | $6438306.69   | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 10/23/29                         | WELLS FARGO & COMPANY REGD V/R 6.30300000                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6445000 | PA      | $6809742.01   | 0.03%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 10/23/34                         | WELLS FARGO & COMPANY REGD V/R 6.49100000                                                        | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  10585000 | PA      | $11717002.45  | 0.05%             | 2034-10-23      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 01/23/30                         | WELLS FARGO & COMPANY REGD V/R MTN 5.19800000                                                    | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2660000 | PA      | $2739400.71   | 0.01%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 01/23/35                         | WELLS FARGO & COMPANY REGD V/R 5.49900000                                                        | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7030000 | PA      | $7334892.37   | 0.03%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/22/28                         | WELLS FARGO & COMPANY REGD V/R MTN 5.70700000                                                    | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  12770000 | PA      | $13034321.51  | 0.05%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 12/03/35                         | WELLS FARGO & COMPANY REGD V/R 5.21100000                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14125000 | PA      | $14429125.09  | 0.06%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 01/24/31                         | WELLS FARGO & COMPANY REGD V/R 5.24400000                                                        | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  18673000 | PA      | $19336263.65  | 0.08%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/23/36                         | WELLS FARGO & COMPANY REGD V/R 5.60500000                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6649000 | PA      | $6968895.16   | 0.03%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| WFCM 2017-C42 3.589% 12/15/27                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C42 SER 2017-C42 CL A4 REGD 3.58900000                | CUSIP: 95001GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4942510 | PA      | $4876622.88   | 0.02%             | 2050-12-15      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| WFCM 2017-C38  3.19% 07/15/50                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 SER 2017-C38 CL A4 REGD 3.19000000                | CUSIP: 95001MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12098290 | PA      | $11951389.41  | 0.05%             | 2050-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| WFCM 2019-C50 3.729% 05/15/52                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50 SER 2019-C50 CL A5 REGD 3.72900000                | CUSIP: 95001XBB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8550000 | PA      | $8346723.75   | 0.03%             | 2052-05-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| WFCM 2018-C47 4.442% 09/15/28                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47 SER 2018-C47 CL A4 REGD 4.44200000                | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8850000 | PA      | $8900176.85   | 0.04%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| WFCM 2020-C58  1.81% 09/15/30                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C58 SER 2020-C58 CL A3 REGD 1.81000000                | CUSIP: 95002UAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22174665 | PA      | $20146760.41  | 0.08%             | 2053-07-15      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| WFCM 2020-C57 1.864% 03/15/30                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 SER 2020-C57 CL A3 REGD 1.86400000                | CUSIP: 95002XBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19500000 | PA      | $17711692.02  | 0.07%             | 2053-08-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| WFCM 2021-C60 2.342% 07/15/31                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 SER 2021-C60 CL A4 REGD 2.34200000                | CUSIP: 95003DBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1574183 | PA      | $1403753.61   | 0.01%             | 2054-08-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| WFCM 2021-SAVE A V/R 02/15/23                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST SER 2021-SAVE CL A V/R REGD 144A P/P 5.11548000            | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1268640 | PA      | $1267919.94   | 0.01%             | 2040-02-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| WFCM 2021-C61 2.658% 07/15/31                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 SER 2021-C61 CL A4 REGD 2.65800000                | CUSIP: 95003QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8025000 | PA      | $7215016.69   | 0.03%             | 2054-11-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| WFCM 2024-5C1 5.928% 07/15/57                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-5C1 SER 2024-5C1 CL A3 REGD 5.92800000                | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21800000 | PA      | $22823573.22  | 0.09%             | 2057-07-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| WFCM 2025-C65 5.292% 09/15/35                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-C65 SER 2025-C65 CL A5 REGD 5.29200000                | CUSIP: 95004WAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5091195 | PA      | $5232818.30   | 0.02%             | 2058-10-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| W CONTRA COSTA  6.25% 08/01/30                         | W CONTRA COSTA CA UNIF SCH DIS REGD N/C B/E 6.25000000                                           | CUSIP: 952347YH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    215000 | PA      | $234215.50    | 0.00%             | 2030-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS  4.125% 03/01/42                         | EVERGY KANSAS CENTRAL REGD 4.12500000                                                            | CUSIP: 95709TAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4175000 | PA      | $3515090.57   | 0.01%             | 2042-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WEFUN 2025-1 A 4.75% 04/17/28                          | WESTERN FUNDING AUTO LOAN TRUST 2025-1 SER 2025-1 CL A REGD 144A P/P 4.75000000                  | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10084000.00  | 0.04%             | 2035-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WEFUN 2025-1 C 5.34% 01/16/29                          | WESTERN FUNDING AUTO LOAN TRUST 2025-1 SER 2025-1 CL C REGD 144A P/P 5.34000000                  | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9310000 | PA      | $9428051.73   | 0.04%             | 2035-11-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTRE 5.45% 04/01/44                         | WESTERN MIDSTREAM OPERAT REGD 5.45000000                                                         | CUSIP: 958254AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3470000 | PA      | $3161370.95   | 0.01%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREA 5.3% 03/01/48                         | WESTERN MIDSTREAM OPERAT REGD 5.30000000                                                         | CUSIP: 958254AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2672927.82   | 0.01%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTRE 5.25% 02/01/50                         | WESTERN MIDSTREAM OPERAT REGD 5.25000000                                                         | CUSIP: 958667AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $890292.16    | 0.00%             | 2050-02-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTRE 6.15% 04/01/33                         | WESTERN MIDSTREAM OPERAT REGD 6.15000000                                                         | CUSIP: 958667AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5971000 | PA      | $6322481.54   | 0.03%             | 2033-04-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTRE 5.45% 11/15/34                         | WESTERN MIDSTREAM OPERAT REGD 5.45000000                                                         | CUSIP: 958667AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9806000 | PA      | $9876287.54   | 0.04%             | 2034-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREA 4.8% 03/01/31                         | WESTERN MIDSTREAM OPERAT REGD 4.80000000                                                         | CUSIP: 958667AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7633000 | PA      | $7629786.05   | 0.03%             | 2031-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN 4.9% 05/01/30                         | WESTERN-SOUTHERN GLOBAL REGD 144A P/P 4.90000000                                                 | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7163773.54   | 0.03%             | 2030-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN 4.5% 07/16/28                         | WESTERN-SOUTHERN GLOBAL REGD 144A P/P 4.50000000                                                 | CUSIP: 95954A2B8<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7052240.02   | 0.03%             | 2028-07-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WLAKE 2023-2A  7.01% 11/15/28                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-2 SER 2023-2A CL D REGD 144A P/P 7.01000000           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7312000 | PA      | $7485401.89   | 0.03%             | 2028-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| WESTR 2024-1A  6.56% 11/20/27                          | WESTGATE RESORTS 2024-1 LLC SER 2024-1A CL B REGD 144A P/P 6.56000000                            | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4069969 | PA      | $4137777.44   | 0.02%             | 2038-01-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AI 3.45% 11/15/26                         | WESTINGHOUSE AIR BRAKE REGD 3.45000000                                                           | CUSIP: 960386AL4<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4974487.35   | 0.02%             | 2026-11-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WLAKE 2023-3A  6.02% 09/15/28                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 SER 2023-3A CL C REGD 144A P/P 6.02000000           | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7800000 | PA      | $7882856.28   | 0.03%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WLAKE 2025-2A  4.51% 04/15/27                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2 SER 2025-2A CL A3 REGD 144A P/P 4.51000000          | CUSIP: 96041KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3898000 | PA      | $3918185.79   | 0.02%             | 2029-05-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| WLAKE 2022-2A  5.48% 09/15/27                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL D REGD 144A P/P 5.48000000           | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2484661 | PA      | $2492102.07   | 0.01%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| WLAKE 2023-1A  6.79% 02/15/26                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-1 SER 2023-1A CL D REGD 144A P/P 6.79000000           | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3345000 | PA      | $3421260.65   | 0.01%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| WLAKE 2025-3A  4.31% 04/17/28                          | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-3 SER 2025-3A CL A2 REGD 144A P/P 4.31000000          | CUSIP: 96043QAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16785000 | PA      | $16804244.00  | 0.07%             | 2028-04-17      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC 8.2% 01/15/30                         | WESTROCK MWV LLC REGD 8.20000000                                                                 | CUSIP: 961548AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    537000 | PA      | $611059.01    | 0.00%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER C 7.375% 03/15/32                         | WEYERHAEUSER CO REGD 7.37500000                                                                  | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    142000 | PA      | $161715.05    | 0.00%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WFLF 2023-1A A 5.8% 04/18/38                           | WHEELS FLEET LEASE FUNDING 1 LLC SER 2023-1A CL A REGD 144A P/P 5.80000000                       | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |   4425494 | PA      | $4453724.70   | 0.02%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WFLF 2025-2A A 4.41% 03/18/29                          | WHEELS FLEET LEASE FUNDING 1 LLC SER 2025-2A CL A1 REGD 144A P/P 4.41000000                      | CUSIP: 96328GCK1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |  14100000 | PA      | $14211913.11  | 0.06%             | 2040-05-18      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 5.75% 06/24/44                         | WILLIAMS COMPANIES INC REGD 5.75000000                                                           | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2484068.10   | 0.01%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 2.6% 03/15/31                         | WILLIAMS COMPANIES INC REGD 2.60000000                                                           | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2309691.67   | 0.01%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 5.65% 03/15/33                         | WILLIAMS COMPANIES INC REGD 5.65000000                                                           | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   3350000 | PA      | $3523150.65   | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 5.6% 03/15/35                         | WILLIAMS COMPANIES INC REGD 5.60000000                                                           | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2090362.05   | 0.01%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES 6% 03/15/55                         | WILLIAMS COMPANIES INC REGD 6.00000000                                                           | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    535000 | PA      | $543826.72    | 0.00%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 5.1% 09/15/45                         | WILLIAMS COMPANIES INC REGD 5.10000000                                                           | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4139082.31   | 0.02%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPAN 4.85% 03/01/48                         | WILLIAMS COMPANIES INC REGD 4.85000000                                                           | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2627795.19   | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 6.3% 04/15/40                         | WILLIAMS COMPANIES INC REGD 6.30000000                                                           | CUSIP: 96950FAF1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    333000 | PA      | $358716.02    | 0.00%             | 2040-04-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 5.4% 03/04/44                         | WILLIAMS COMPANIES INC REGD 5.40000000                                                           | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2636263.80   | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANI 4.9% 01/15/45                         | WILLIAMS COMPANIES INC REGD 4.90000000                                                           | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2107570.61   | 0.01%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AM 5.05% 09/15/48                         | WILLIS NORTH AMERICA INC REGD 5.05000000                                                         | CUSIP: 970648AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6732203.55   | 0.03%             | 2048-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WINDFALL MININ 5.854% 05/13/32                         | WINDFALL MINING GROUP REGD 144A P/P 5.85400000                                                   | CUSIP: 973244AA4<br>LEI: 984500E4L49391BFF948 | Long             | DBT              | CORP              | CA        |   3807000 | PA      | $3976064.87   | 0.02%             | 2032-05-13      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE 5.1% 09/12/34                         | WOODSIDE FINANCE LTD REGD 5.10000000                                                             | CUSIP: 980236AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   7000000 | PA      | $6915994.61   | 0.03%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC 3.5% 04/01/27                              | WORKDAY INC REGD 3.50000000                                                                      | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   3141000 | PA      | $3122020.10   | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC 3.35% 12/01/26                         | XCEL ENERGY INC REGD 3.35000000                                                                  | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   5105000 | PA      | $5073071.39   | 0.02%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| XL GROUP LTD 5.25% 12/15/43                            | XL GROUP LTD REGD 5.25000000                                                                     | CUSIP: 98420EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2700000 | PA      | $2552364.11   | 0.01%             | 2043-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN 2.496% 07/01/50                         | YALE-NEW HAVEN HLTH SRVC REGD SER 2020 2.49600000                                                | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $893778.45    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JONAH 2022-1 A2 7.80% 11/10/37                         | JONAH 2022-1 A2  REGD 144A 7.80000000                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   5180129 | PA      | $5258348.65   | 0.02%             | 2037-11-10      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| YGRENE ENERGY 12.5% 01/25/2026                         | YGRENE ENERGY FUND INC  REGD 12.50000000                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |    476611 | PA      | $392251.22    | 0.00%             | 2027-01-25      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| P4 SFR 2019-STL A 7.5 10/11/26                         | P4 SFR 2019-STL A 7.5 10/11/26 7.25000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   4391235 | PA      | $4345126.71   | 0.02%             | 2026-10-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HPA 2022-SFR1 MEZ V/R 04/15/26                         | HPA 2022-SFR1 MEZZ PC FRN 15   VARIABLE REGD 3.95000000                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   1790823 | PA      | $1778466.80   | 0.01%             | 2026-04-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | IRS R03.80PSOFR 12/16/49 JPMCL FIXED                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1056021.41  | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | IRS RSOFRP03.71 12/16/54 JPMCL FLOAT                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $1213039.89   | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** Bridge Builder Trust

**Signature:** Aaron Masek

**Name of Signer:** Aaron Masek

**Title:** Principal Financial Officer