# EDGAR Filing Document

**Accession Number:** 0000906185
**File Stem:** 0001741773-23-000819
**Filing Date:** 2023-3
**Character Count:** 199206
**Document Hash:** 5392cda9d33f2ec597dd2a8c59012c3c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000819.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000819

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07736
- **FILM NUMBER:** 23691691

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

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

## Series and Classes Contracts Data

### Janus Henderson Flexible Bond Portfolio (Series ID: S000010404)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000028733 | Service Shares       |  |
| C000028734 | Institutional Shares | JAFLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Flexible Bond Portfolio

- **b. EDGAR series identifier (if any):** S000010404

- **c. LEI of Series:** TNJWXCR7UXM7MUKVI363

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $600271854.00

**Total Liabilities:** $48206227.00

**Net Assets:** $552065627.00

**Cash Not Reported:** $961981.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -398.15563 | **1-Year:** -23524.1852 | **5-Year:** -133746.14179 | **10-Year:** -107346.78243 | **30-Year:** -36460.50146

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

- **3-Month:** -296.83844 | **1-Year:** -3067.31041 | **5-Year:** -3231.18324 | **10-Year:** -533.76992 | **30-Year:** -1.22258

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028734 | -0.50%               | 3.37%                | -1.51%               |
| Class ID C000028733 | -0.56%               | 3.33%                | -1.46%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1026781.00             | $-3063643.00                               |
| Month 2  | $-9266751.00             | $24844589.00                               |
| Month 3  | $-6956227.00             | $-2016453.00                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate Unhedged in USD

- **Index Identifier:** LEHM.MC.LEHM000001UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | Royal Bank of Canada                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |   3898765 | PA      | $3898765.00   | 0.71%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Janus Capital Group Inc              | Janus Henderson Cash Liquidity Fund                                | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        |  62103948 | NS      | $62116369.00  | 11.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund | Janus Henderson Cash Collateral Fund                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | PF                | US        |  15117312 | NS      | $15117312.00  | 2.74%             |  |  |  | No            |                  2 | On Loan: No      |
| AGREE LP                             | Agree LP                                                           | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $990380.00    | 0.18%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                  | American Express Co                                                | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1123000 | PA      | $1079439.00   | 0.20%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                    | Ares Capital Corp                                                  | CUSIP: 04010LBC6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1264000 | PA      | $927586.00    | 0.17%             | 2031-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                    | Ares Capital Corp                                                  | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1106000 | PA      | $937360.00    | 0.17%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                | Athene Global Funding                                              | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2486000 | PA      | $1899191.00   | 0.34%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                | Athene Global Funding                                              | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1299000 | PA      | $1072651.00   | 0.19%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    549000 | PA      | $531982.00    | 0.10%             | 2099-12-31      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | BANK OF AMERICA CORP                                               | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1613000 | PA      | $1549062.00   | 0.28%             | 2099-12-31      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1292000 | PA      | $1195608.00   | 0.22%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1809000 | PA      | $1729988.00   | 0.31%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                               | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    481000 | PA      | $496619.00    | 0.09%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                    | Brown & Brown Inc                                                  | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    404000 | PA      | $350253.00    | 0.06%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                      | CMS Energy Corp                                                    | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1351000 | PA      | $1168560.00   | 0.21%             | 2050-06-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC               | Cadence Design Systems Inc                                         | CUSIP: 127387AL2<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   3327000 | PA      | $3299919.00   | 0.60%             | 2024-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3107000 | PA      | $2913941.00   | 0.53%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1023000 | PA      | $838603.00    | 0.15%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $995979.00    | 0.18%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    668000 | PA      | $650902.00    | 0.12%             | 2099-12-31      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    152000 | PA      | $143374.00    | 0.03%             | 2099-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                      | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    877000 | PA      | $789914.00    | 0.14%             | 2099-12-31      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                         | Comcast Corp                                                       | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    184000 | PA      | $151749.00    | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                     | CoStar Group Inc                                                   | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1018000 | PA      | $831390.00    | 0.15%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                     | Duke Energy Corp                                                   | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    899000 | PA      | $865039.00    | 0.16%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EQT CORP                             | EQT Corp                                                           | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2447000 | PA      | $2248879.00   | 0.41%             | 2026-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                             | EQT CORP                                                           | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    403000 | PA      | $400835.00    | 0.07%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer LP                                                 | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    779000 | PA      | $772713.00    | 0.14%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer LP                                                 | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    779000 | PA      | $762142.00    | 0.14%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                   | Energy Transfer Operating LP                                       | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    172000 | PA      | $166321.00    | 0.03%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II              | GLP Capital LP / GLP Financing II Inc                              | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94634.00     | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                    | GXO Logistics Inc                                                  | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $886143.00    | 0.16%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.65 11/15/27 144A                                            | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $1098707.00   | 0.20%             | 2027-11-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.857 03/15/30 144A                                           | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1297000 | PA      | $1327300.00   | 0.24%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.905 11/22/32 144A                                           | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1867000 | PA      | $1934582.00   | 0.35%             | 2032-11-22      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    226000 | PA      | $218799.00    | 0.04%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    929000 | PA      | $790856.00    | 0.14%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                           | Hasbro Inc                                                         | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   4008000 | PA      | $3561847.00   | 0.65%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION             | Hess Midstream Operations LP                                       | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | PA      | $536324.00    | 0.10%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                         | Illumina Inc                                                       | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1679000 | PA      | $1699913.00   | 0.31%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1723000 | PA      | $1419676.00   | 0.26%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    975000 | PA      | $917343.00    | 0.17%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    642000 | PA      | $626626.00    | 0.11%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    548000 | PA      | $501382.00    | 0.09%             | 2099-12-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    579000 | PA      | $510244.00    | 0.09%             | 2099-12-31      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC               | Marvell Technology Inc                                             | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    956000 | PA      | $844351.00    | 0.15%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC               | Marvell Technology Inc                                             | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1296000 | PA      | $1235239.00   | 0.22%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC             | Microchip Technology Inc                                           | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1555448.00   | 0.28%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1856000 | PA      | $1724716.00   | 0.31%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2482000 | PA      | $1799776.00   | 0.33%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $2058850.00   | 0.37%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                     | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    808000 | PA      | $708805.00    | 0.13%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR             | ORCINC 4.7 02/08/27 *                                              | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    140000 | PA      | $126239.00    | 0.02%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR             | ORCINC 7.75 09/16/27                                               | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    840000 | PA      | $837282.00    | 0.15%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                 | PPC 3.5 03/01/32 144A                                              | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1362000 | PA      | $1065765.00   | 0.19%             | 2032-03-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Quicken Loans LLC                                                  | CUSIP: 74841CAA9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |    852000 | PA      | $675157.00    | 0.12%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Quicken Loans LLC                                                  | CUSIP: 74841CAB7<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |    783000 | PA      | $597645.00    | 0.11%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                | CUSIP: 77313LAB9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |    731000 | PA      | $545955.00    | 0.10%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1753000 | PA      | $1003279.00   | 0.18%             | 2099-12-31      | Variable      | 4.10%                 | No            |                  2 | On Loan: —       |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    324000 | PA      | $213846.00    | 0.04%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   2508000 | PA      | $1645370.00   | 0.30%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                  | Southern California Edison Co                                      | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1205295.00   | 0.22%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP              | Sun Communities Operating LP                                       | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   1501000 | PA      | $1184770.00   | 0.21%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                    | TSMC Arizona Corp                                                  | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    876000 | PA      | $842111.00    | 0.15%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                  | Total System Services Inc                                          | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2881000 | PA      | $2803170.00   | 0.51%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                          | Trimble Inc                                                        | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   2018000 | PA      | $1994842.00   | 0.36%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                          | Trimble Inc                                                        | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |    838000 | PA      | $803492.00    | 0.15%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                           | US Bancorp                                                         | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1503000 | PA      | $1426014.00   | 0.26%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12511000 | PA      | $8561727.00   | 1.55%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10115000 | PA      | $7222347.00   | 1.31%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6069000 | PA      | $4633776.00   | 0.84%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24179000 | PA      | $19921229.00  | 3.61%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18376000 | PA      | $17991252.00  | 3.26%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8600600 | PA      | $7343434.00   | 1.33%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2897300 | PA      | $2599761.00   | 0.47%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3166000 | PA      | $2835178.00   | 0.51%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13758600 | PA      | $13810195.00  | 2.50%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19395000 | PA      | $19339694.00  | 3.50%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14998800 | PA      | $15053874.00  | 2.73%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29151300 | PA      | $29766206.00  | 5.39%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1775000 | PA      | $1785678.00   | 0.32%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10736000 | PA      | $10663867.00  | 1.93%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22708200 | PA      | $22584015.00  | 4.09%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC               | UnitedHealth Group Inc                                             | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    527000 | PA      | $538716.00    | 0.10%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust          | CUSIP: 00774MAR6<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   1382000 | PA      | $1283551.00   | 0.23%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                     | BMO V3.088 01/10/37                                                | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3379000 | PA      | $2554875.00   | 0.46%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                     | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $703602.00    | 0.13%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                     | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    672000 | PA      | $530587.00    | 0.10%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: —       |
| CSL FINANCE PLC                      | CSLAU 3.85 04/27/27 144A                                           | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    341000 | PA      | $326210.00    | 0.06%             | 2027-04-27      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST               | Commonwealth Bank of Australia                                     | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   1454000 | PA      | $1198508.00   | 0.22%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG               | Credit Suisse Group AG                                             | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1542000 | PA      | $1578803.00   | 0.29%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc             | CUSIP: 46590XAB2<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   1754000 | PA      | $1668966.00   | 0.30%             | 2030-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc             | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |    649000 | PA      | $525690.00    | 0.10%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP               | MUFG V4.788 07/18/25                                               | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    852000 | PA      | $843508.00    | 0.15%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                 | Westpac Banking Corp                                               | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1504000 | PA      | $1117858.00   | 0.20%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| PERSHING SQUARE HOLDINGS             | Pershing Square Holdings Ltd                                       | CUSIP: BR6668783<br>LEI: U7LC4KOKCTZ0YWGI2G56 | Long             | DBT              | CORP              | GG        |   1600000 | PA      | $1203584.00   | 0.22%             | 2031-10-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2562198 | PA      | $2279493.00   | 0.41%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232300 | PA      | $1128164.00   | 0.20%             | 2037-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429564 | PA      | $363327.00    | 0.07%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778775 | PA      | $682866.00    | 0.12%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9818891 | PA      | $8913108.00   | 1.61%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3329408 | PA      | $3204735.00   | 0.58%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9361554 | PA      | $9221908.00   | 1.67%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                         | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4321962 | PA      | $4333502.00   | 0.79%             | 2052-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S       | Barclays Commercial Mortgage Securities LLC 2015-SRCH              | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1447000 | PA      | $1346843.00   | 0.24%             | 2035-08-10      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                               | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484244 | PA      | $1465923.00   | 0.27%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                               | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444550 | PA      | $436373.00    | 0.08%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11                   | BX Commercial Mortgage Trust 2019-OC11                             | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309000 | PA      | $254064.00    | 0.05%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11                   | BX Commercial Mortgage Trust 2019-OC11                             | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614000 | PA      | $507291.00    | 0.09%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R03                       | CUSIP: 20753MAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66005 | PA      | $65819.00     | 0.01%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R07                       | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23623 | PA      | $23559.00     | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5481176 | PA      | $4734355.00   | 0.86%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3957668 | PA      | $3629265.00   | 0.66%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4413896 | PA      | $4172244.00   | 0.76%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                         | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4303442 | PA      | $4170212.00   | 0.76%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2015-C02 1M2                   | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105390 | PA      | $105694.00    | 0.02%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170497 | PA      | $161445.00    | 0.03%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52936 | PA      | $50125.00     | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109906 | PA      | $104071.00    | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187036 | PA      | $174675.00    | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243905 | PA      | $234785.00    | 0.04%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98825 | PA      | $92080.00     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y16T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44167 | PA      | $43243.00     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11508 | PA      | $11499.00     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9268 | PA      | $8282.00      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6574 | PA      | $6150.00      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190159 | PA      | $177822.00    | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5891 | PA      | $5512.00      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6027 | PA      | $5638.00      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22657 | PA      | $22161.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99710 | PA      | $104510.00    | 0.02%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196158 | PA      | $177639.00    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307981 | PA      | $278325.00    | 0.05%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    885064 | PA      | $838519.00    | 0.15%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71375 | PA      | $70595.00     | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323547 | PA      | $302557.00    | 0.06%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADJS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267255 | PA      | $257625.00    | 0.05%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30548 | PA      | $29120.00     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65555 | PA      | $63196.00     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1022518 | PA      | $952675.00    | 0.17%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac                                                        | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113286 | PA      | $104270.00    | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    706232 | PA      | $690347.00    | 0.12%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    956764 | PA      | $879548.00    | 0.16%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576245 | PA      | $553877.00    | 0.10%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1079169 | PA      | $1056594.00   | 0.19%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358148 | PA      | $336166.00    | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3358148 | PA      | $3085043.00   | 0.56%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104253 | PA      | $99164.00     | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357673 | PA      | $340946.00    | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2288448 | PA      | $2330198.00   | 0.42%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33895 | PA      | $33153.00     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789192 | PA      | $677403.00    | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Gold Pool                                              | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68101 | PA      | $63777.00     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191969 | PA      | $172296.00    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57446 | PA      | $51007.00     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75216 | PA      | $66784.00     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77876 | PA      | $67180.00     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27746 | PA      | $23927.00     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146767 | PA      | $126518.00    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183165 | PA      | $156824.00    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297884 | PA      | $255352.00    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430364 | PA      | $367883.00    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207838 | PA      | $184038.00    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157026 | PA      | $139499.00    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67878 | PA      | $57973.00     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77029 | PA      | $70396.00     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267025 | PA      | $237126.00    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15685 | PA      | $15111.00     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224264 | PA      | $205084.00    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215408 | PA      | $196986.00    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67484 | PA      | $61665.00     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314266 | PA      | $294844.00    | 0.05%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771991 | PA      | $744187.00    | 0.14%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519629 | PA      | $526850.00    | 0.10%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     19739 | PA      | $19700.00     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    652119 | PA      | $650811.00    | 0.12%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1004940 | PA      | $1002924.00   | 0.18%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104062 | PA      | $98091.00     | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227164 | PA      | $214131.00    | 0.04%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148088 | PA      | $136301.00    | 0.03%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    200901 | PA      | $196506.00    | 0.04%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34483 | PA      | $33729.00     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    176043 | PA      | $172192.00    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    119697 | PA      | $117078.00    | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3552437 | PA      | $3424492.00   | 0.62%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1511558 | PA      | $1459844.00   | 0.26%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364901 | PA      | $347836.00    | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                   | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143564 | PA      | $127471.00    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                  | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947459 | PA      | $854773.00    | 0.15%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                  | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934885 | PA      | $829960.00    | 0.15%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104691 | PA      | $104443.00    | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334427 | PA      | $338363.00    | 0.06%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160225 | PA      | $159846.00    | 0.03%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45801 | PA      | $45334.00     | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80759 | PA      | $79877.00     | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563712 | PA      | $527208.00    | 0.10%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146097 | PA      | $132305.00    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1614481 | PA      | $1502418.00   | 0.27%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5364 | PA      | $4777.00      | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128100 | PA      | $1004814.00   | 0.18%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156435 | PA      | $144644.00    | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125718 | PA      | $117361.00    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891140 | PA      | $863657.00    | 0.16%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169181 | PA      | $150217.00    | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80171 | PA      | $80107.00     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266574 | PA      | $257762.00    | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159107 | PA      | $137205.00    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109494 | PA      | $105072.00    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158066 | PA      | $156454.00    | 0.03%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5429166 | PA      | $4916627.00   | 0.89%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54009 | PA      | $51483.00     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45179 | PA      | $40789.00     | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96260 | PA      | $90740.00     | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146106 | PA      | $134479.00    | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24452 | PA      | $23049.00     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23162 | PA      | $21834.00     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164054 | PA      | $140032.00    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463448 | PA      | $425899.00    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55740 | PA      | $47705.00     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161451 | PA      | $137898.00    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780422 | PA      | $690812.00    | 0.12%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116955 | PA      | $106885.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657454 | PA      | $583606.00    | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577466 | PA      | $510983.00    | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322031 | PA      | $294263.00    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569708 | PA      | $520983.00    | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139166 | PA      | $118962.00    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18640 | PA      | $17942.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36468 | PA      | $35134.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63585 | PA      | $61258.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82619 | PA      | $79595.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93618 | PA      | $85546.00     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195326 | PA      | $178621.00    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308349 | PA      | $281930.00    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28950 | PA      | $27890.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33096 | PA      | $31885.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100871 | PA      | $97180.00     | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327107 | PA      | $306886.00    | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418860 | PA      | $403768.00    | 0.07%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87641 | PA      | $82223.00     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146188 | PA      | $145894.00    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139820 | PA      | $131176.00    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327027 | PA      | $326371.00    | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813304 | PA      | $811672.00    | 0.15%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240961 | PA      | $235921.00    | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22685 | PA      | $22188.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31103 | PA      | $30422.00     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91497 | PA      | $83195.00     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710022 | PA      | $607159.00    | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1926249 | PA      | $1646590.00   | 0.30%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016007 | PA      | $934322.00    | 0.17%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656337 | PA      | $1525377.00   | 0.28%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239799 | PA      | $220839.00    | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1605992 | PA      | $1548127.00   | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84688 | PA      | $78112.00     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153029 | PA      | $140882.00    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413261 | PA      | $379522.00    | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2057802 | PA      | $2071599.00   | 0.38%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2841844 | PA      | $2893677.00   | 0.52%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586724 | PA      | $573522.00    | 0.10%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500731 | PA      | $484432.00    | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428729 | PA      | $388255.00    | 0.07%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86439 | PA      | $80056.00     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97563 | PA      | $90359.00     | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62969 | PA      | $60324.00     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2201009 | PA      | $2035417.00   | 0.37%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185935 | PA      | $1128038.00   | 0.20%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559175 | PA      | $533023.00    | 0.10%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2904258 | PA      | $2762473.00   | 0.50%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575307 | PA      | $563273.00    | 0.10%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213375 | PA      | $203395.00    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030775 | PA      | $989145.00    | 0.18%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960033 | PA      | $821621.00    | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4660939 | PA      | $3984248.00   | 0.72%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2001136 | PA      | $1709197.00   | 0.31%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134336 | PA      | $1086688.00   | 0.20%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421818 | PA      | $400378.00    | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388222 | PA      | $357888.00    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938743 | PA      | $866136.00    | 0.16%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1799022 | PA      | $1663424.00   | 0.30%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703949 | PA      | $671025.00    | 0.12%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2108529 | PA      | $1937042.00   | 0.35%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27303 | PA      | $26026.00     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56020 | PA      | $53285.00     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706699 | PA      | $691915.00    | 0.12%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413403 | PA      | $393221.00    | 0.07%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1657420 | PA      | $1471530.00   | 0.27%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741735 | PA      | $755264.00    | 0.14%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66724 | PA      | $69838.00     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19711 | PA      | $17853.00     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20874 | PA      | $18907.00     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111021 | PA      | $102823.00    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338499 | PA      | $322668.00    | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236457 | PA      | $225594.00    | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291293 | PA      | $277670.00    | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43620 | PA      | $41490.00     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                    | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43562 | PA      | $42609.00     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A | CUSIP: 35564KH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196123 | PA      | $195438.00    | 0.04%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2  | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18653 | PA      | $18641.00     | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264576 | PA      | $265054.00    | 0.05%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162335 | PA      | $159316.00    | 0.03%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201487 | PA      | $192999.00    | 0.04%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297887 | PA      | $285338.00    | 0.05%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1396295 | PA      | $1247368.00   | 0.23%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3807079 | PA      | $3399961.00   | 0.62%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15233 | PA      | $14634.00     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124193 | PA      | $119313.00    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32778 | PA      | $31490.00     | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39779 | PA      | $38235.00     | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40686 | PA      | $39107.00     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115688 | PA      | $111199.00    | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51536 | PA      | $50580.00     | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                 | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179992 | PA      | $176655.00    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1042435 | PA      | $1010805.00   | 0.18%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                  | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1240108 | PA      | $1216944.00   | 0.22%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $284337.00    | 0.05%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $315314.00    | 0.06%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                   | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $350164.00    | 0.06%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B           | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $761004.00    | 0.14%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan        | New Residential Mortgage Loan Trust 2018-2                         | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    211618 | PA      | $199907.00    | 0.04%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora       | Chase Mortgage Finance Corp 2021-CL1 M1                            | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    536233 | PA      | $485667.00    | 0.09%             | 2050-02-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2022-2 A1                    | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1410086 | PA      | $1317631.00   | 0.24%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                      | VMC Finance LLC 2021-HT1 A                                         | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    701122 | PA      | $676767.00    | 0.12%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                | Aimco 2020-11A AR                                                  | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $321225.00    | 0.06%             | 2034-10-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                         | ARES CLO Ltd 2021-60A A                                            | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    278000 | PA      | $270410.00    | 0.05%             | 2034-07-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                       | Babson CLO Ltd 2018-3A A1                                          | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    524001 | PA      | $519869.00    | 0.09%             | 2029-07-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                       | Babson CLO Ltd 2019-3A A1R                                         | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   1208000 | PA      | $1190810.00   | 0.22%             | 2031-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                       | Babson CLO Ltd 2020-4A A                                           | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    385415 | PA      | $379283.00    | 0.07%             | 2032-01-20      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2019-11RA A1                                   | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1312000 | PA      | $1277284.00   | 0.23%             | 2035-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2019-11RA B                                    | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500944 | PA      | $476249.00    | 0.09%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2021-4A A                                         | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1057088 | PA      | $1040505.00   | 0.19%             | 2033-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2021-7A B                                         | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    383807 | PA      | $366477.00    | 0.07%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                    | Cedar Funding Ltd 2019-11A A1R                                     | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    777000 | PA      | $761954.00    | 0.14%             | 2032-05-29      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund              | Dryden Senior Loan Fund 2020-83A A                                 | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    374404 | PA      | $368305.00    | 0.07%             | 2032-01-18      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                  | Elmwood CLO VIII Ltd 2019-2A AR                                    | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    419000 | PA      | $409088.00    | 0.07%             | 2034-04-20      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd       | Highbridge Loan Management Ltd 2021-16A B                          | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380629 | PA      | $361793.00    | 0.07%             | 2035-01-23      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership                  | LCM LP 24A AR                                                      | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    374930 | PA      | $368842.00    | 0.07%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd             | Madison Park Funding Ltd 2019-35A A1R                              | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1031936.00   | 0.19%             | 2032-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd            | Regatta XXIII Funding Ltd 2021-4A B                                | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    393948 | PA      | $375382.00    | 0.07%             | 2035-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                  | Sound Point CLO Ltd 2019-1A AR                                     | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1208000 | PA      | $1182253.00   | 0.21%             | 2032-01-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2022-A A                                            | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425160 | PA      | $417243.00    | 0.08%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                       | ACM Auto Trust 2022-1A A                                           | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174250 | PA      | $173395.00    | 0.03%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2021-A A                                            | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156556 | PA      | $154748.00    | 0.03%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                           | Affirm Asset Securitization Trust 2020-Z2 A                        | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80494 | PA      | $78496.00     | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                           | Affirm Asset Securitization Trust 2021-B A                         | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801000 | PA      | $759372.00    | 0.14%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-5                              | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87786 | PA      | $84197.00     | 0.01%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-6                              | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75857 | PA      | $71882.00     | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2020-2                              | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213029 | PA      | $192145.00    | 0.04%             | 2065-01-26      | Variable      | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2020-3                              | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185303 | PA      | $167498.00    | 0.03%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                   | Aqua Finance Trust 2021-A A                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367934 | PA      | $330414.00    | 0.06%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec       | Arivo Acceptance Auto Loan Receivables 2022-1A A                   | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363210 | PA      | $352525.00    | 0.06%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund       | Atalaya Equipment Leasing Fund I LP 2021-1A A2                     | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484964 | PA      | $470743.00    | 0.09%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S       | Barclays Commercial Mortgage Securities LLC 2017-DELC              | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443000 | PA      | $434940.00    | 0.08%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                            | BPR Trust 2022-OANA A                                              | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2104000 | PA      | $2071832.00   | 0.38%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VINO A                           | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268000 | PA      | $258125.00    | 0.05%             | 2038-05-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AV                           | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964000 | PA      | $918280.00    | 0.17%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AJV                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848000 | PA      | $806326.00    | 0.15%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT B                           | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043000 | PA      | $986512.00    | 0.18%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT D                           | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1096000 | PA      | $1025708.00   | 0.19%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2022-FOX2 A2                          | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1226000 | PA      | $1128943.00   | 0.20%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bank                                 | BANK 2018-BN12 A4                                                  | CUSIP: 06541KBA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260123 | PA      | $247960.00    | 0.04%             | 2061-05-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-4 A11                                | CUSIP: 07336GAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040805 | PA      | $932440.00    | 0.17%             | 2051-10-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-5 AF                                 | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1070409 | PA      | $961343.00    | 0.17%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-2 A1                                 | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163644 | PA      | $1805718.00   | 0.33%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2020-VKNG A                           | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188443 | PA      | $183984.00    | 0.03%             | 2037-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A A1                                 | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1143968 | PA      | $986789.00    | 0.18%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A B1                                 | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419709 | PA      | $344506.00    | 0.06%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A1                                 | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1244285 | PA      | $1206110.00   | 0.22%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A2                                 | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025359 | PA      | $2866042.00   | 0.52%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                            | CIM Trust 2021-NR1 A1                                              | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    616145 | PA      | $580154.00    | 0.10%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                     | COLT Funding LLC 2020-3                                            | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64420 | PA      | $59656.00     | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4                  | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1687000 | PA      | $1667622.00   | 0.30%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C                | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831000 | PA      | $812910.00    | 0.15%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826467 | PA      | $802532.00    | 0.14%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I,        | CP EF Asset Securitization I LLC 2002-1A A                         | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534244 | PA      | $525524.00    | 0.10%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2021-P4 A2                          | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351306 | PA      | $346790.00    | 0.06%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 A                                     | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740876 | PA      | $1695306.00   | 0.31%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 B                                     | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774597 | PA      | $749923.00    | 0.14%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 C                                     | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    777546 | PA      | $752068.00    | 0.14%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                     | COLT Funding LLC 2020-2                                            | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17665 | PA      | $17185.00     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R02                       | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     17293 | PA      | $17259.00     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2018-R07                       | CUSIP: 20753QAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     37056 | PA      | $36946.00     | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R03 1M1                   | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1423477 | PA      | $1415498.00   | 0.26%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R04 1M1                   | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    628113 | PA      | $626600.00    | 0.11%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R03 1M2                   | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    711000 | PA      | $660233.00    | 0.12%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R02 2M2                   | CUSIP: 20754BAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    804000 | PA      | $757699.00    | 0.14%             | 2042-01-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R02 2M2                   | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1922000 | PA      | $1788708.00   | 0.32%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R01 1B1                   | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2186000 | PA      | $2051782.00   | 0.37%             | 2041-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R06 1M1                   | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    422334 | PA      | $426188.00    | 0.08%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R08 1M1                   | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    337895 | PA      | $338858.00    | 0.06%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                 | Conn Funding II LP 2021-A A                                        | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       702 | PA      | $701.00       | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond        | Consumer Loan Underlying Bond Credit Trust 2019-P2 C               | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253758 | PA      | $252203.00    | 0.05%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding       | Diamond Infrastructure Funding LLC 2021-1A A                       | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1183000 | PA      | $968980.00    | 0.18%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL       | Domino's Pizza Master Issuer LLC                                   | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1049280 | PA      | $989764.00    | 0.18%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2021-1A D                      | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $540486.00    | 0.10%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2019-1                         | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $539894.00    | 0.10%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH B                             | CUSIP: 30227FAE0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    400239 | PA      | $383427.00    | 0.07%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                      | FREED ABS Trust 2019-2 C                                           | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206167 | PA      | $205949.00    | 0.04%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2014-C04                       | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     39129 | PA      | $40236.00     | 0.01%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    196662 | PA      | $203966.00    | 0.04%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust              | Flagstar Mortgage Trust 2021-13IN A2                               | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3478952 | PA      | $2903436.00   | 0.53%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2  | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    476000 | PA      | $438476.00    | 0.08%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2  | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    442000 | PA      | $437096.00    | 0.08%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A | CUSIP: 35564KTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    672744 | PA      | $666568.00    | 0.12%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    880526 | PA      | $888537.00    | 0.16%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2  | CUSIP: 35565RAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      4086 | PA      | $4086.00      | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2  | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    884554 | PA      | $873798.00    | 0.16%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2  | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    792561 | PA      | $786298.00    | 0.14%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                    | FREED ABS Trust 2022-3FP A                                         | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389575 | PA      | $388094.00    | 0.07%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                 | GCAT 2022-INV1 A1                                                  | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2744044 | PA      | $2260113.00   | 0.41%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust         | GS Mortgage Securities Trust 2018-GS10                             | CUSIP: 36250SAE9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-O            | CORP              | US        |    371605 | PA      | $350093.00    | 0.06%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust         | GS Mortgage Securities Trust 2018-GS9                              | CUSIP: 36255NAT2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-O            | CORP              | US        |    618450 | PA      | $581774.00    | 0.10%             | 2051-03-10      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2020-PLS1 A                 | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212403 | PA      | $193579.00    | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A           | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1213000 | PA      | $1115285.00   | 0.20%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-2 B                            | CUSIP: 48128U2M0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    472404 | PA      | $451406.00    | 0.08%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2021-1A A                               | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398436 | PA      | $386675.00    | 0.07%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2022-1A A                               | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    963723 | PA      | $947862.00    | 0.17%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                            | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927941 | PA      | $891432.00    | 0.16%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2022-1A A                                     | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371918 | PA      | $364855.00    | 0.07%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR A                           | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1851916 | PA      | $1793221.00   | 0.33%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR C                           | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1034085 | PA      | $982860.00    | 0.18%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2022-BMR2 A1                         | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1237000 | PA      | $1206361.00   | 0.22%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC A                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1691503 | PA      | $1640880.00   | 0.30%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC C                           | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    954704 | PA      | $909934.00    | 0.17%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN C                                              | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333000 | PA      | $315784.00    | 0.06%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN D                                              | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338000 | PA      | $319967.00    | 0.06%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN E                                              | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1499000 | PA      | $1391385.00   | 0.25%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN F                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    943000 | PA      | $868427.00    | 0.16%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2               | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1881449 | PA      | $1542873.00   | 0.28%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11              | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946577 | PA      | $854610.00    | 0.15%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11              | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730530 | PA      | $658739.00    | 0.12%             | 2051-08-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3               | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    854667 | PA      | $682569.00    | 0.12%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card        | Mercury Financial Credit Card Master Trust 2021-1A A               | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985000 | PA      | $942952.00    | 0.17%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust       | Morgan Stanley Capital I Trust 2015-UBS8                           | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447000 | PA      | $425033.00    | 0.08%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust       | Morgan Stanley Capital I Trust 2018-H4                             | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883008 | PA      | $836360.00    | 0.15%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust       | Morgan Stanley Capital I Trust  2016-UB11                          | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594000 | PA      | $537581.00    | 0.10%             | 2049-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust       | Morgan Stanley Capital I Trust 2018-H3                             | CUSIP: 61767YAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590372 | PA      | $556174.00    | 0.10%             | 2051-07-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2021-FHT1 A                 | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692358 | PA      | $601101.00    | 0.11%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A1                              | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2179587 | PA      | $1819407.00   | 0.33%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A18                             | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    924561 | PA      | $731738.00    | 0.13%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2021-INV3 A3                              | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008522 | PA      | $806285.00    | 0.15%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne       | Oak Street Investment Grade Net Lease Fund 2020-1A A1              | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743952 | PA      | $661405.00    | 0.12%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-1 A1                                 | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111798 | PA      | $927874.00    | 0.17%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-RPL2 A1                 | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1172506 | PA      | $1027154.00   | 0.19%             | 2051-10-25      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2020-4 A1                    | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510269 | PA      | $478736.00    | 0.09%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-10 A1                   | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080718 | PA      | $971769.00    | 0.18%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-9 A1                    | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2035067 | PA      | $1843333.00   | 0.33%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2022-1 A                            | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539640 | PA      | $514580.00    | 0.09%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2021-1 A                            | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667107 | PA      | $656980.00    | 0.12%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru       | Provident Funding Mortgage Trust 2021-INV1 A1                      | CUSIP: 74387VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    899966 | PA      | $718438.00    | 0.13%             | 2051-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management          | Woodward Capital Management 2021-3 A21                             | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710695 | PA      | $636865.00    | 0.12%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                 | SMRT 2022-MINI A                                                   | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    696000 | PA      | $671884.00    | 0.12%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                          | SREIT Trust 2021-MFP A                                             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151000 | PA      | $145207.00    | 0.03%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl       | Santander Drive Auto Receivables Trust 2020-3 D                    | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1414000 | PA      | $1355754.00   | 0.25%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl       | Santander Drive Auto Receivables Trust 2021-1 D                    | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2418000 | PA      | $2283735.00   | 0.41%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2021-1A B                  | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239763 | PA      | $231551.00    | 0.04%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2022-A B                   | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    846382 | PA      | $819518.00    | 0.15%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust               | Sequoia Mortgage Trust 2013-5                                      | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |    102210 | PA      | $88219.00     | 0.02%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS       | Spruce Hill Mortgage Loan Trust 2020-SH1 A1                        | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9430 | PA      | $9276.00      | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS       | Spruce Hill Mortgage Loan Trust 2020-SH1 A2                        | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39661 | PA      | $38917.00     | 0.01%             | 2050-01-28      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK33                                  | CUSIP: 872659AA5<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $543196.00    | 0.10%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK34                                  | CUSIP: 872659AC1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $447055.00    | 0.08%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK35                                  | CUSIP: 872659AE7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    631000 | PA      | $602952.00    | 0.11%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B A3                                   | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561000 | PA      | $528268.00    | 0.10%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B B                                    | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288000 | PA      | $266096.00    | 0.05%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                | Theorem Funding Trust 2021-1A A                                    | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    533837 | PA      | $524004.00    | 0.10%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T       | Tricolor Auto Securitization Trust 2022-1A A                       | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122996 | PA      | $121906.00    | 0.02%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust       | 208 Park Avenue Mortgage Trust 2017-280P                           | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629029 | PA      | $613650.00    | 0.11%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC        | United Wholesale Mortgage LLC 2021-INV1 A9                         | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882321 | PA      | $794477.00    | 0.14%             | 2051-08-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| UNIFY Auto Receivables Trust         | UNIFY Auto Receivables Trust 2021-1A A4                            | CUSIP: 90775QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $582543.00    | 0.11%             | 2026-07-15      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-5 A                              | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258134 | PA      | $248490.00    | 0.04%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-2 A                              | CUSIP: 91679TAA3<br>LEI: 549300WNB47JRNENIC75 | Long             | ABS-O            | CORP              | US        |   1486225 | PA      | $1446705.00   | 0.26%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-1 A                              | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1048960 | PA      | $1006962.00   | 0.18%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-4 A                              | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363724 | PA      | $351996.00    | 0.06%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC       | VCAT Asset Securitization LLC 2021-NPL1 A1                         | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151787 | PA      | $143093.00    | 0.03%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC        | United Wholesale Mortgage LLC 2021-INV4 A3                         | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    659904 | PA      | $532353.00    | 0.10%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC             | Vantage Data Centers LLC 2020-1A A2                                | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982000 | PA      | $864438.00    | 0.16%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC             | Vantage Data Centers LLC 2020-2A A2                                | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    634000 | PA      | $518941.00    | 0.09%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                           | VASA Trust 2021-VASA A                                             | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605000 | PA      | $559859.00    | 0.10%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag       | Wells Fargo Commercial Mortgage Trust 2021-SAVE A                  | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435421 | PA      | $406819.00    | 0.07%             | 2040-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts                     | Westgate Resorts 2022-1A A                                         | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366223 | PA      | $349148.00    | 0.06%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable       | Westlake Automobile Receivable Trust 2020-1A D                     | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    637000 | PA      | $622282.00    | 0.11%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        99 | NC      | $-17375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       378 | NC      | $44297.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10YR NOTE (CBT)Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       112 | NC      | $-118125.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -43 | NC      | $64164.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar23                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        50 | NC      | $-171819.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** JANUS ASPEN SERIES

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

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