# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001410368-26-020697
**Filing Date:** 2026-2
**Character Count:** 690185
**Document Hash:** 972dc183bd52e6da2f42da14f2446933
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020697.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020697

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 26698858

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000011100)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030635 | Class A      |  |
| C000030636 | Class B      |  |
| C000030638 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** PIMCO Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000011100

- **c. LEI of Series:** TY07AK2IOS83GROMUB16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6421009534.39

**Total Liabilities:** $2882532809.01

**Net Assets:** $3538476725.38

**Delayed Delivery Securities:** $2201598551.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -9066.11000000 | **1-Year:** -163709.34000000 | **5-Year:** -232143.20000000 | **10-Year:** -120890.84000000 | **30-Year:** -41526.72000000

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

- **3-Month:** -2054.87000000 | **1-Year:** -32156.88000000 | **5-Year:** -90692.24000000 | **10-Year:** -52121.42000000 | **30-Year:** -52009.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030635 | 1.00%                | 0.69%                | -0.10%               |
| Class ID C000030636 | 1.02%                | 0.61%                | -0.10%               |
| Class ID C000030638 | 1.11%                | 0.60%                | -0.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4184765.44              | $11002345.87                               |
| Month 2  | $-2261360.20             | $9835947.85                                |
| Month 3  | $1605759.25              | $-18254974.82                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AIB GROUP PLC                                                                    | AIB Group PLC                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    6700000 | PA      | $7115165.17    | 0.20%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                                                          | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2623049.29    | 0.07%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6790565 | PA      | $6797586.33    | 0.19%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1297091.55    | 0.04%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERG                                                         | Abu Dhabi National Energy Co PJSC                                                | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    7000000 | PA      | $6991131.00    | 0.20%             | 2031-10-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                                                         | Abu Dhabi Developmental Holding Co PJSC                                          | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    5300000 | PA      | $5272345.66    | 0.15%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                   | Accredited Mortgage Loan Trust 2004-2                                            | CUSIP: 004375AW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1744169 | PA      | $1717118.75    | 0.05%             | 2034-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                             | ACE Securities Corp Home Equity Loan Trust Series 2006-FM1                       | CUSIP: 00441VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7477637 | PA      | $2499671.54    | 0.07%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                             | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1                       | CUSIP: 00442PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     998403 | PA      | $978434.44     | 0.03%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                   | Adjustable Rate Mortgage Trust 2005-8                                            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101481 | PA      | $70953.14      | 0.00%             | 2035-11-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    3900000 | PA      | $3921657.52    | 0.11%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7450000 | PA      | $7348739.67    | 0.21%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4900000 | PA      | $4992640.43    | 0.14%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                                                          | Air Canada 2017-1 Class AA Pass Through Trust                                    | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     834080 | PA      | $797103.22     | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                   | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5025010.00    | 0.14%             | 2026-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                           | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3971838.01    | 0.11%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  311000000 | PA      | $275028477.34  | 7.77%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63100000 | PA      | $55762160.31   | 1.58%             | 2056-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31300000 | PA      | $28836347.58   | 0.81%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63900000 | PA      | $60569383.75   | 1.71%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100035.16     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50000000 | PA      | $48807108.50   | 1.38%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42700000 | PA      | $41647911.28   | 1.18%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11140000 | PA      | $11108668.75   | 0.31%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24600000 | PA      | $24508710.88   | 0.69%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  164000000 | PA      | $166293144.76  | 4.70%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -164000000 | PA      | $-166293144.76 | -4.70%            | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  401100000 | PA      | $406332385.60  | 11.48%            | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81156000 | PA      | $83325094.56   | 2.35%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -49212000 | PA      | $-50527312.25  | -1.43%            | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81156000 | PA      | $83277542.01   | 2.35%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7426993.49    | 0.21%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 02005NCA6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1712444.90    | 0.05%             | 2033-07-31      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OC5                                                  | CUSIP: 02147HAF9<br>LEI: 549300WJBLP6N8ETXD40 | Long             | ABS-MBS          | CORP              | US        |    3542537 | PA      | $3179473.20    | 0.09%             | 2046-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAJ9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    1285871 | PA      | $1231578.14    | 0.03%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2007-14T2                                                 | CUSIP: 02150BAA7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    3787045 | PA      | $1933539.31    | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBP7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    2526887 | PA      | $1106741.30    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                      | Ameren Corp                                                                      | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7360588.15    | 0.21%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                                            | American Airlines 2014-1 Class A Pass Through Trust                              | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2063916 | PA      | $2055783.98    | 0.06%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                                                           | American Airlines 2015-2 Class AA Pass Through Trust                             | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     824872 | PA      | $816843.01     | 0.02%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                          | American Electric Power Co Inc                                                   | CUSIP: 025537AY7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1752184.99    | 0.05%             | 2029-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7736849.81    | 0.22%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                      | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6112656.59    | 0.17%             | 2027-08-13      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                            | American Homes 4 Rent LP                                                         | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    1900000 | PA      | $1903772.98    | 0.05%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                          | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8246159 | PA      | $7073971.92    | 0.20%             | 2046-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    1200000 | PA      | $1252715.22    | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                                      | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7049202.00    | 0.20%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2022-CRE6 Trust                                                            | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5801226 | PA      | $5790629.73    | 0.16%             | 2037-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                           | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3268719 | PA      | $2689699.78    | 0.08%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                                | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3555750.28    | 0.10%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                                | ABFC 2004-OPT5 Trust                                                             | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     761501 | PA      | $764022.27     | 0.02%             | 2034-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                                | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3773039 | PA      | $3627974.42    | 0.10%             | 2035-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                                 | Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2007-HE2          | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16119 | PA      | $11634.09      | 0.00%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | Athene Global Funding                                                            | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7894936.37    | 0.22%             | 2027-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $2015588.48    | 0.06%             | 2028-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3275761.22    | 0.09%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    6300000 | PA      | $6564421.33    | 0.19%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    7900000 | PA      | $8168844.90    | 0.23%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                                   | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2752469 | PA      | $2680985.81    | 0.08%             | 2047-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                                             | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    8300000 | PA      | $8709427.46    | 0.25%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                                   | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1842491 | PA      | $690916.95     | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7405583.48    | 0.21%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $1935774.83    | 0.05%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $7956199.73    | 0.22%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $2060185.24    | 0.06%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     303527 | PA      | $289748.81     | 0.01%             | 2036-02-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2006 J Trust                                             | CUSIP: 05951EAM9<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      37748 | PA      | $32645.50      | 0.00%             | 2047-01-20      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                              | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3565386 | PA      | $2835927.59    | 0.08%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3800000 | PA      | $4053534.86    | 0.11%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    7800000 | PA      | $7930444.70    | 0.22%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2200000 | PA      | $2291297.78    | 0.06%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                           | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295453 | PA      | $321653.52     | 0.01%             | 2046-11-25      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2005-D Trust                                             | CUSIP: 06051GDM8<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     133150 | PA      | $125047.50     | 0.00%             | 2035-05-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5674135.05    | 0.16%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1900917.62    | 0.05%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6153647.16    | 0.17%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $10117912.67   | 0.29%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    8950000 | PA      | $9142353.76    | 0.26%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7130694.86    | 0.20%             | 2026-08-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                                           | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    5900000 | PA      | $5958734.80    | 0.17%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2033165.26    | 0.06%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3955583.42    | 0.11%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8304484.11    | 0.23%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $7376966.09    | 0.21%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                                                         | Bayview MSR Opportunity Master Fund Trust 2021-INV5                              | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9945079 | PA      | $8684460.41    | 0.25%             | 2051-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities Trust 2001-3                                | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        239 | PA      | $239.33        | 0.00%             | 2032-10-27      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341978 | PA      | $734746.23     | 0.02%             | 2036-11-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1201096 | PA      | $600281.27     | 0.02%             | 2036-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962845 | PA      | $452744.20     | 0.01%             | 2036-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2005-4                                                  | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190411 | PA      | $182505.09     | 0.01%             | 2035-05-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313155 | PA      | $166451.25     | 0.00%             | 2035-09-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2005-FR1                            | CUSIP: 073879G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698467 | PA      | $689798.29     | 0.02%             | 2035-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                      | Bear Stearns ARM Trust 2005-10                                                   | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349330 | PA      | $348626.31     | 0.01%             | 2035-10-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                            | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237216 | PA      | $165206.72     | 0.00%             | 2036-01-26      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                            | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249517 | PA      | $195905.32     | 0.01%             | 2046-12-26      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | Beignet Investor LLC                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   40200000 | PA      | $42471103.82   | 1.20%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $12797280.60   | 0.36%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12646000 | PA      | $12134538.85   | 0.34%             | 2055-01-15      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $12107118.40   | 0.34%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B35 Mortgage Trust                                                | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10778721.80   | 0.30%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4272245.92    | 0.12%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                             | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7249929.20    | 0.20%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    9200000 | PA      | $9517035.40    | 0.27%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11985884.28   | 0.34%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2667642.43    | 0.08%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $318434.50     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | Boston Properties LP                                                             | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              |  | US        |    1811000 | PA      | $1498055.38    | 0.04%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                            | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7800000 | PA      | $7873295.74    | 0.22%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                                           | British Airways 2018-1 Class A Pass Through Trust                                | CUSIP: 11043HAA6<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     910656 | PA      | $882703.39     | 0.02%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                                           | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    5500000 | PA      | $5496615.74    | 0.16%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2367405.82    | 0.07%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295122.21     | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873925 | PA      | $389161.35     | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | Cigna Group/The                                                                  | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5839827.50    | 0.17%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON INTL 23                                                             | CK Hutchison International 23 Ltd                                                | CUSIP: 12570FAA9<br>LEI: 2549003AJI1YI8883K46 | Long             | DBT              | CORP              | KY        |    2700000 | PA      | $2741651.50    | 0.08%             | 2028-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    1900000 | PA      | $1445331.68    | 0.04%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2016-787S Mortgage Trust                                                    | CUSIP: 12635WAA5<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5964474.60    | 0.17%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC Series 2014-7R                                                              | CUSIP: 12648WAW2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    6062125 | PA      | $5603424.32    | 0.16%             | 2036-10-27      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345817 | PA      | $358847.29     | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                  | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3808183.78    | 0.11%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAG8<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |     368095 | PA      | $385428.85     | 0.01%             | 2046-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-1CB                                                  | CUSIP: 12667F2Y0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    5758097 | PA      | $4525159.70    | 0.13%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     331553 | PA      | $18673.69      | 0.00%             | 2035-05-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-2                                     | CUSIP: 12667HAA9<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    1126622 | PA      | $1105345.15    | 0.03%             | 2047-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDC4<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     278183 | PA      | $268091.25     | 0.01%             | 2036-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BJZ7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    1233426 | PA      | $822203.83     | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-4                                     | CUSIP: 12668WAC1<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |        377 | PA      | $0.00          | 0.00%             | 2032-10-25      | Variable      | 4.36%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2006-OA5                                         | CUSIP: 126694M62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898683 | PA      | $847992.53     | 0.02%             | 2046-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292668 | PA      | $284443.88     | 0.01%             | 2035-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173408 | PA      | $168360.41     | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-6                                     | CUSIP: 12669LAD2<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    1401861 | PA      | $1493770.09    | 0.04%             | 2037-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                     | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    6300000 | PA      | $6409136.10    | 0.18%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                                                          | Canada Government Bonds                                                          | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   10000000 | PA      | $7120323.49    | 0.20%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Canada Government Bonds                                                          | Canada Government Bonds                                                          | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5105000 | PA      | $3691161.78    | 0.10%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                             | Cantor Fitzgerald LP                                                             | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3505457.67    | 0.10%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                                                              | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |    8200000 | PA      | $8202632.20    | 0.23%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   10775000 | PA      | $10901876.70   | 0.31%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                                 | Carlyle US CLO 2020-2 Ltd                                                        | CUSIP: 14315GAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4150000 | PA      | $4153046.10    | 0.12%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                     | Centene Corp                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2286458.45    | 0.06%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                     | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5277773.96    | 0.15%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13300000 | PA      | $9460142.24    | 0.27%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65052 | PA      | $61583.94      | 0.00%             | 2035-12-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384533 | PA      | $365478.95     | 0.01%             | 2037-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2006-A1                                      | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645255 | PA      | $547558.41     | 0.02%             | 2036-09-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6148394 | PA      | $5544814.49    | 0.16%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9087034.41    | 0.26%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                                               | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3               | CUSIP: 16678RBU0<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |       5736 | PA      | $5612.02       | 0.00%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                             | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   12500000 | PA      | $11105000.00   | 0.31%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                                           | Choice Hotels International Inc                                                  | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2431924.98    | 0.07%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2006-HYB5                                        | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     976682 | PA      | $866788.17     | 0.02%             | 2036-09-20      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8007259.13    | 0.23%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2005-11                                            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322626 | PA      | $330035.63     | 0.01%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     155048 | PA      | $158032.19     | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      24490 | PA      | $24475.47      | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4999901 | PA      | $2816203.87    | 0.08%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376713 | PA      | $334082.01     | 0.01%             | 2046-10-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities, Inc.                                               | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643447 | PA      | $564158.23     | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | Citibank NA                                                                      | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7497729.06    | 0.21%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                                                  | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2222786 | PA      | $2236091.40    | 0.06%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                              | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2992561 | PA      | $2366366.66    | 0.07%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3173568.90    | 0.09%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                              | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2738082.57    | 0.08%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2717646.14    | 0.08%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | Conagra Brands Inc                                                               | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5058182.35    | 0.14%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 23 SECURE FUND                                                         | Consumers 2023 Securitization Funding LLC                                        | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7937732.88    | 0.22%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8600000 | PA      | $7120161.11    | 0.20%             | 2056-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39200000 | PA      | $37024093.85   | 1.05%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9739062.50    | 0.28%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23100000 | PA      | $22483699.16   | 0.64%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31250000 | PA      | $31176138.44   | 0.88%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16990000 | PA      | $16929932.70   | 0.48%             | 2056-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41381000 | PA      | $42168208.97   | 1.19%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -31662000 | PA      | $-32264320.16  | -0.91%            | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41581000 | PA      | $42342776.81   | 1.20%             | 2056-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $3991605.48    | 0.11%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4100000 | PA      | $4321130.30    | 0.12%             | 2029-10-03      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAM9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2613755.01    | 0.07%             | 2028-09-11      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5800000 | PA      | $6105444.88    | 0.17%             | 2029-09-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16065 | PA      | $15578.20      | 0.00%             | 2032-03-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     752492 | PA      | $551247.04     | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   12500000 | PA      | $12319935.38   | 0.35%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAA0<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    1175702 | PA      | $1129710.24    | 0.03%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-1                                     | CUSIP: 23245CAA8<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    4418084 | PA      | $4091497.05    | 0.12%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-J8                                                   | CUSIP: 23245LAD2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    7331068 | PA      | $2710518.01    | 0.08%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                              | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12550000 | PA      | $11891152.61   | 0.34%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                                  | DC Office Trust 2019-MTC                                                         | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $907332.70     | 0.03%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                         | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119119 | PA      | $113160.54     | 0.00%             | 2044-07-19      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                    | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3074235.69    | 0.09%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                                       | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13200000 | PA      | $11855490.24   | 0.34%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                                           | Daimler Truck Finance North America LLC                                          | CUSIP: 233853AV2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3230701.09    | 0.09%             | 2027-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                                           | Daimler Truck Finance North America LLC                                          | CUSIP: 233853AX8<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8123399.44    | 0.23%             | 2027-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | Danske Bank A/S                                                                  | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   12000000 | PA      | $12026633.28   | 0.34%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703DBR1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4794796.66    | 0.14%             | 2029-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8600000 | PA      | $9170111.80    | 0.26%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4700000 | PA      | $4773762.83    | 0.13%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                                                             | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     589858 | PA      | $589689.15     | 0.02%             | 2030-10-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-394868.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-6629.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4938.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-7082.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-25016.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-27682.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-380639.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-13419.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1960.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $5890.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $12333.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $891.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $29945.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $81258.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $29172.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-113460.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $59523.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $26759.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $228975.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $29408.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $54642.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $33170.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $82904.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $34195.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $48576.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $61777.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $66075.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $31150.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $68859.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $43337.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $16246.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $47154.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $10394.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $58962.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $328218.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $16801.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $8616.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1449.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $64922.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $21791.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $10441.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-51993.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $14164.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2858.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $8501.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2558.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $189145.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $693961.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-15527.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |          1 | NC      | $8018.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-25130.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-15702.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-9668.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $-24904.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-32532.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $10879.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $388763.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-36695.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $34441.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-949.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-32689.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-25907.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-24765.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-9898.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-40539.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-31213.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3981.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IL        |          1 | NC      | $1123.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-47812.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1295.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $11554.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2364.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $14.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-11281.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $50440.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-145.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $58577.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-22241.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-23743.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-31718.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-46775.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $20740.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $67190.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-3938.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-238035.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $16314.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-224596.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $12378.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-304559.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | MX        |          1 | NC      | $10.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-34041.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-118044.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $413.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-2295237.38   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1464219.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-690679.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $17529.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $17126.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $29668.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6262.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-52813.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-467809.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-19502.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-31202.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $26466.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-96907.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-347726.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1623.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |          1 | NC      | $17587.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-17669.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-29209.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-7278.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-18516.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $1078.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6398.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $274.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-518732.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $67873.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $5399.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $53825.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD DKK                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-9657.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-11534.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $-30374.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4726.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-146349.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $26164.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $1.70          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $4830.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $6907.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $368.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-75353.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-317.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $609.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $6242.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8947.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $27463.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5349.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $7864.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $46005.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-24920.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TR        |          1 | NC      | $6453.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $5997.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $17997.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CN        |          1 | NC      | $22824.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MYR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $1449.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $1600.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-40592.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1740.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-61690.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $-38778.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $6714.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $1602.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $16484.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1948.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-9170.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $34699.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MYR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |          1 | NC      | $2433.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $4954.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $6948.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $22932.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $16840.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-87591.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $10936.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-8856.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $4642.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $57972.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MYR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MY        |          1 | NC      | $355.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-9975.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-11929.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-80472.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $12173.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-8630.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $2109.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $3968.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $-10029.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-36716.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $3581.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-883.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-446.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $1502.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $6936.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $15671.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-804.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $9556.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-19921.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $10917.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $4139.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1946.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $15258.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $3910.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $665.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $10008.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5424.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ZA        |          1 | NC      | $10928.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2948.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-903.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $8728.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-279.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-7842.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $1.84          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3532.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $1155.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3575.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-7131.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |          1 | NC      | $7107.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IL        |          1 | NC      | $3176.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2888.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $-4115.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $4092.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $3027.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $1410.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $-24.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $8.35          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $535.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-402.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $588.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $57.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-99.38        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $1436.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2742.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PL        |          1 | NC      | $254.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |          1 | NC      | $4392.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2435.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $7689.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-534.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $2071.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                          | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    1345055 | PA      | $1344659.30    | 0.04%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2307480.63    | 0.07%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR Properties                                                                   | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    2500000 | PA      | $2421934.18    | 0.07%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                                         | Eagle Funding Luxco Sarl                                                         | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    8600000 | PA      | $8759874.00    | 0.25%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    5519000 | PA      | $5617043.93    | 0.16%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6480850.64    | 0.18%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2700000 | PA      | $2739037.76    | 0.08%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3860975.26    | 0.11%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                             | Enel Finance International NV                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7800000 | PA      | $7998940.09    | 0.23%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                         | Equinix Europe 2 Financing Corp LLC                                              | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    4700000 | PA      | $4714164.67    | 0.13%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                 | Essent Group Ltd                                                                 | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |    2900000 | PA      | $3026979.31    | 0.09%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                                | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5954582.63    | 0.17%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                         | F&G Annuities & Life Inc                                                         | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4271299.48    | 0.12%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    3500000 | PA      | $3110146.13    | 0.09%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7459810.72    | 0.21%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6812 | PA      | $7007.75       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288H7A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $354.93        | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288JQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.06         | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JM6N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2557 | PA      | $2622.91       | 0.00%             | 2035-02-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JM7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8195 | PA      | $8471.31       | 0.00%             | 2035-02-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMW45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2063 | PA      | $2124.30       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMY68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1793 | PA      | $1839.05       | 0.00%             | 2034-11-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6124 | PA      | $6323.86       | 0.00%             | 2034-11-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JNAL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5251 | PA      | $5436.39       | 0.00%             | 2035-02-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128K2F61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9253 | PA      | $9685.27       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KDK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10385 | PA      | $10681.35      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KLJU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5373 | PA      | $5592.17       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KMNX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3699 | PA      | $3872.28       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KNKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1863 | PA      | $1943.75       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KQB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $282.09        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KQRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18838 | PA      | $19419.39      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1351 | PA      | $1388.34       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L16J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1737 | PA      | $1792.99       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L1WN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2175 | PA      | $2268.94       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L3H58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21713 | PA      | $22504.63      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L4R55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3605 | PA      | $3762.49       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L8VF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6305 | PA      | $6466.90       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L9WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6221 | PA      | $6490.53       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10917 | PA      | $11392.24      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LANZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29740 | PA      | $30939.18      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $801.48        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3238 | PA      | $3377.73       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LDQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5313 | PA      | $5510.57       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12831 | PA      | $12958.65      | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7438 | PA      | $7785.63       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $392.42        | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M44E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2984 | PA      | $3123.60       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M46E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2300 | PA      | $2405.74       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52797 | PA      | $55263.57      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $169.62        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4K69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $152.47        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4T94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1059 | PA      | $1108.63       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35920 | PA      | $37599.28      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8403 | PA      | $8796.19       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M53F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22068 | PA      | $23100.12      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M54E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10752 | PA      | $11235.17      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M55D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5415 | PA      | $5653.19       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M55N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9625 | PA      | $10065.79      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17797 | PA      | $18629.32      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38071 | PA      | $39851.28      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5GF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2513 | PA      | $2630.48       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13800 | PA      | $14444.96      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14815 | PA      | $15494.30      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5PM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9866 | PA      | $10326.11      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21446 | PA      | $22390.22      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $411.20        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1946 | PA      | $2036.78       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M66H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14215 | PA      | $14845.33      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8476 | PA      | $8851.85       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7618 | PA      | $7971.79       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6E87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37214 | PA      | $38817.67      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6GG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14268 | PA      | $14895.69      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3808 | PA      | $3986.14       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26067 | PA      | $27197.97      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12687 | PA      | $13237.49      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352098 | PA      | $367946.08     | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16345 | PA      | $17054.27      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49197 | PA      | $51316.85      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6WG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1797584 | PA      | $1875600.47    | 0.05%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75730 | PA      | $79201.63      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11483 | PA      | $11981.07      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7C95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71277 | PA      | $74457.56      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7CQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141719 | PA      | $148215.16     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7KW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17729 | PA      | $18519.73      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205967 | PA      | $215595.48     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18399 | PA      | $19191.78      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $664.66        | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8Y24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20646 | PA      | $21478.85      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9J78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     622019 | PA      | $649014.49     | 0.02%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9ZZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20394 | PA      | $20517.87      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37622 | PA      | $39243.15      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NCBF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4098 | PA      | $4191.82       | 0.00%             | 2035-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NCBW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4675 | PA      | $4786.71       | 0.00%             | 2035-02-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31231 | PA      | $32109.57      | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7N33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8141 | PA      | $8133.83       | 0.00%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54028 | PA      | $53965.92      | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7PY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2874 | PA      | $2867.81       | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98588 | PA      | $102700.99     | 0.00%             | 2035-06-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42887 | PA      | $44687.21      | 0.00%             | 2035-08-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27157 | PA      | $27954.84      | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312928T46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88541 | PA      | $91672.21      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312928XM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15821 | PA      | $16458.98      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312929FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667345 | PA      | $696713.38     | 0.02%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312929LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2139 | PA      | $2214.14       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $267.83        | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4109 | PA      | $4119.61       | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3046 | PA      | $3177.78       | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312930QW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4450 | PA      | $4607.28       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312930TR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $572.22        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312931ST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31320 | PA      | $32429.09      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312935LP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8548 | PA      | $8884.99       | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312944HJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124193 | PA      | $122122.97     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295MNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8255 | PA      | $8307.32       | 0.00%             | 2029-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295MZJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3113 | PA      | $3175.58       | 0.00%             | 2031-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296LQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        375 | PA      | $384.45        | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296NVD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $1061.53       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296SRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $468.34        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297D6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7747 | PA      | $7862.64       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297USC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7255 | PA      | $7530.75       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297VKR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2197 | PA      | $2255.84       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297VZW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15474 | PA      | $15941.37      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121220 | PA      | $119839.04     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131YBXS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253611 | PA      | $249821.21     | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A7VK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1406 | PA      | $1401.08       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9TL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48875 | PA      | $48407.59      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9VC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3748 | PA      | $3705.38       | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9VH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156076 | PA      | $154252.41     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AD4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59330 | PA      | $58596.64      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226537 | PA      | $223860.49     | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADRY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108411 | PA      | $107159.92     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35429 | PA      | $34998.77      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     361981 | PA      | $357359.65     | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AEG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242721 | PA      | $239623.21     | 0.01%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3799 | PA      | $3793.27       | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4696285 | PA      | $4560557.14    | 0.13%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53172 | PA      | $52358.08      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D54A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21943 | PA      | $21482.21      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92596 | PA      | $90479.06      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2160738 | PA      | $2053844.24    | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6060231 | PA      | $6136724.02    | 0.17%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14070549 | PA      | $14477841.31   | 0.41%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2254885 | PA      | $2319668.40    | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28933 | PA      | $29374.78      | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2872697 | PA      | $2952243.54    | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1875718 | PA      | $1903511.87    | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16833518 | PA      | $17285127.40   | 0.49%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270535 | PA      | $269863.60     | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2965986 | PA      | $3045461.03    | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCAZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4718 | PA      | $4916.38       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31336R7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21963 | PA      | $22536.29      | 0.00%             | 2032-08-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293961 | PA      | $296811.57     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133C5ZJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     485617 | PA      | $485222.63     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684850 | PA      | $690036.99     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CEV25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8569186 | PA      | $8824650.62    | 0.25%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CHD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761063 | PA      | $782598.45     | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5554069 | PA      | $5554566.12    | 0.16%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6552 | PA      | $6750.84       | 0.00%             | 2034-10-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10614 | PA      | $10971.26      | 0.00%             | 2034-11-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20570 | PA      | $21419.13      | 0.00%             | 2035-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8249 | PA      | $8600.78       | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349ULF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12036 | PA      | $12491.32      | 0.00%             | 2035-02-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141176 | PA      | $145451.35     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386316 | PA      | $408570.13     | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507856 | PA      | $529144.77     | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063934 | PA      | $1057184.71    | 0.03%             | 2042-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20541476 | PA      | $1041613.07    | 0.03%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $342.36        | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371HNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $426.83        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28966 | PA      | $30259.10      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79945 | PA      | $82767.97      | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30308 | PA      | $31687.40      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5864 | PA      | $6130.57       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40342 | PA      | $42177.05      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4109 | PA      | $4319.72       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $139.66        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32578 | PA      | $34019.16      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1666 | PA      | $1756.31       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137AKPF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6671675 | PA      | $6326769.61    | 0.18%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3018174 | PA      | $2956390.04    | 0.08%             | 2043-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4542343 | PA      | $4556044.64    | 0.13%             | 2054-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31380YAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3743 | PA      | $3840.18       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31382D4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1140.42       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31382F2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.48          | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31384USH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19828 | PA      | $20000.24      | 0.00%             | 2028-10-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31384WFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61417 | PA      | $62147.11      | 0.00%             | 2031-02-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1696 | PA      | $1685.16       | 0.00%             | 2034-09-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6508 | PA      | $6591.18       | 0.00%             | 2036-12-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $803.45        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1501 | PA      | $1554.24       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385W2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1714 | PA      | $1774.32       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3137 | PA      | $3247.03       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3236 | PA      | $3350.07       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1414 | PA      | $1441.82       | 0.00%             | 2033-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31388FNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27783 | PA      | $27789.77      | 0.00%             | 2041-08-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6957 | PA      | $7045.27       | 0.00%             | 2031-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A2UF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27837 | PA      | $27993.24      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1080.80       | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $93.45         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $140.71        | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ADS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $82.62         | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AEPK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5479 | PA      | $5436.29       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AGKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $608.37        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AKXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $940.13        | 0.00%             | 2031-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ASRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140246 | PA      | $139563.76     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AWTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15299 | PA      | $15222.93      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866765 | PA      | $903093.82     | 0.03%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72605 | PA      | $75959.74      | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.81         | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EK2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.10          | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1972211 | PA      | $1941972.46    | 0.05%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M06E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84320 | PA      | $83799.92      | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MGQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32148 | PA      | $33009.75      | 0.00%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $462.32        | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X7XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36834 | PA      | $36349.26      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X9NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135127 | PA      | $132013.69     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XDR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82789 | PA      | $81998.69      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XZBR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12483 | PA      | $12370.80      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390STH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46876 | PA      | $46641.29      | 0.00%             | 2042-07-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391LV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27899 | PA      | $28585.72      | 0.00%             | 2032-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391XDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149722 | PA      | $150545.31     | 0.00%             | 2041-09-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 313920ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3112 | PA      | $3109.90       | 0.00%             | 2031-09-18      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31392CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1667 | PA      | $1672.76       | 0.00%             | 2032-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31392CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $196.79        | 0.00%             | 2032-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110001 | PA      | $112687.44     | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1056414 | PA      | $1028186.81    | 0.03%             | 2044-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 31395CEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1535.70       | 0.00%             | 2034-07-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220844 | PA      | $203693.87     | 0.01%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20098 | PA      | $19592.92      | 0.00%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31400QJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1071.04       | 0.00%             | 2033-03-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31401AME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10581 | PA      | $10752.46      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31401V5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2458 | PA      | $2521.56       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6213 | PA      | $6258.90       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $978.55        | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70179 | PA      | $72245.28      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402GP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7199 | PA      | $7181.00       | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402GW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $506.18        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13630 | PA      | $13725.50      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402JYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $411.81        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62409 | PA      | $64285.86      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78504 | PA      | $81880.04      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154858 | PA      | $160738.37     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17926 | PA      | $17945.12      | 0.00%             | 2044-10-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45308 | PA      | $45559.99      | 0.00%             | 2044-10-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36737 | PA      | $36768.12      | 0.00%             | 2042-08-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35135 | PA      | $35331.17      | 0.00%             | 2042-08-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $382.81        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4091 | PA      | $4155.52       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53491 | PA      | $54233.23      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2029 | PA      | $2114.24       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4625 | PA      | $4835.99       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1883 | PA      | $1937.15       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33253 | PA      | $35168.38      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403JR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $109.25        | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403NZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72801 | PA      | $73811.75      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403VKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $268.96        | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404BR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8711 | PA      | $8852.15       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404HTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $341.05        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404KFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25667 | PA      | $26047.88      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404LAU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166629 | PA      | $170046.78     | 0.00%             | 2034-05-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404NBP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3655 | PA      | $3782.92       | 0.00%             | 2035-02-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404R3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $482.15        | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404RSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $477.39        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405DH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2291 | PA      | $2324.95       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405JC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66286 | PA      | $68687.63      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405R7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152160 | PA      | $158955.18     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405RDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98420 | PA      | $101662.55     | 0.00%             | 2034-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405TTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1428 | PA      | $1471.85       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49649 | PA      | $50516.96      | 0.00%             | 2034-12-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3519 | PA      | $3611.75       | 0.00%             | 2034-10-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1528 | PA      | $1555.14       | 0.00%             | 2034-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406A2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10316 | PA      | $10567.33      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406ABY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24688 | PA      | $25780.20      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211326 | PA      | $215442.00     | 0.01%             | 2034-12-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1428 | PA      | $1454.35       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $434.67        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6671 | PA      | $6901.59       | 0.00%             | 2035-01-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3633 | PA      | $3722.84       | 0.00%             | 2034-12-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5365 | PA      | $5538.33       | 0.00%             | 2035-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10678 | PA      | $11027.26      | 0.00%             | 2035-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2088 | PA      | $2141.75       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9297 | PA      | $9654.76       | 0.00%             | 2034-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406GCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6661 | PA      | $6829.06       | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18954 | PA      | $19695.88      | 0.00%             | 2035-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406MYP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6962 | PA      | $7108.73       | 0.00%             | 2035-03-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406PD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42805 | PA      | $44418.17      | 0.00%             | 2035-05-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406PQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7482 | PA      | $7813.24       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406QVM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1314 | PA      | $1371.76       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69354 | PA      | $70345.04      | 0.00%             | 2035-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406TLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13966 | PA      | $14483.61      | 0.00%             | 2035-04-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406VHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8231 | PA      | $8549.63       | 0.00%             | 2035-05-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406XDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.58         | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406XZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $335.19        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407CC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13695 | PA      | $13795.05      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407CFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8398 | PA      | $8698.10       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407DTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1970 | PA      | $2039.68       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407DZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9368 | PA      | $9622.33       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1124 | PA      | $1175.27       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35681 | PA      | $36859.61      | 0.00%             | 2035-08-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407GUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3162 | PA      | $3206.16       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407HPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54631 | PA      | $57116.27      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4200 | PA      | $4429.04       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407JHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2674 | PA      | $2775.06       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469201 | PA      | $490348.36     | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407MZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $159.58        | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407MZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4324 | PA      | $4520.73       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46677 | PA      | $48801.11      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        707 | PA      | $726.93        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37478 | PA      | $38559.76      | 0.00%             | 2035-10-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240991 | PA      | $252422.84     | 0.01%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2019 | PA      | $2104.36       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YHH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46000 | PA      | $46765.42      | 0.00%             | 2035-11-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171683 | PA      | $178961.13     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4257 | PA      | $4337.13       | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408DLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100412 | PA      | $104817.35     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408DRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37285 | PA      | $38866.03      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408EXX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $266.43        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408GFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1676 | PA      | $1772.35       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408JB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5168 | PA      | $5337.73       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409HAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18064 | PA      | $19048.38      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409WA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        801 | PA      | $829.56        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140A4XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9433472 | PA      | $9689930.46    | 0.27%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FNHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16117 | PA      | $15960.16      | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HKL30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41788 | PA      | $41104.92      | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JGYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350695 | PA      | $344760.99     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JJMK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122124 | PA      | $119914.79     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3196310 | PA      | $3155125.55    | 0.09%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1797672 | PA      | $1593832.12    | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NLQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736760 | PA      | $741757.95     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1315749.81    | 0.04%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QA4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40552 | PA      | $41943.67      | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810184 | PA      | $849222.10     | 0.02%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187362 | PA      | $184705.71     | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QESP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144250 | PA      | $138468.89     | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240533 | PA      | $236526.35     | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4328478 | PA      | $4257554.14    | 0.12%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3687291 | PA      | $3703776.39    | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4750977 | PA      | $4778190.02    | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2664156 | PA      | $2711402.30    | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSYM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331509 | PA      | $337045.10     | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369587 | PA      | $375928.38     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1498030 | PA      | $1475656.76    | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49132 | PA      | $48526.52      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369165 | PA      | $354754.54     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1328741 | PA      | $1279726.82    | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83225 | PA      | $84614.53      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1972102 | PA      | $2001775.96    | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410CME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1028 | PA      | $1074.46       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410F2H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        236 | PA      | $246.33        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3379 | PA      | $3516.02       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $441.40        | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15332 | PA      | $16029.70      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103710 | PA      | $109682.08     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310478 | PA      | $323776.65     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112206 | PA      | $118676.52     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $855.65        | 0.00%             | 2034-04-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3805 | PA      | $3868.25       | 0.00%             | 2033-06-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12246 | PA      | $12759.67      | 0.00%             | 2035-02-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61334 | PA      | $63483.04      | 0.00%             | 2035-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3625 | PA      | $3717.55       | 0.00%             | 2035-01-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GPF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47611 | PA      | $49778.25      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207387 | PA      | $216824.65     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $361.42        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410K2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10038 | PA      | $10464.70      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19061 | PA      | $19554.94      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397943 | PA      | $415473.56     | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2164 | PA      | $2275.00       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58165 | PA      | $60726.94      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138444 | PA      | $144745.55     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39437 | PA      | $41150.67      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410LET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4058 | PA      | $4165.99       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410MQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2304 | PA      | $2392.88       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410QD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3107 | PA      | $3246.02       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410REW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $835.46        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410RH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $284.22        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $82.06         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6784 | PA      | $7054.97       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12431 | PA      | $12695.95      | 0.00%             | 2036-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410X6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17029 | PA      | $17793.61      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411AR80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $645.76        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411CKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23032 | PA      | $24024.41      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $300.17        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411ENM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1084.25       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411FE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26454 | PA      | $27897.91      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411UWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11240 | PA      | $11818.69      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411XMB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10496 | PA      | $10918.72      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411YCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10881 | PA      | $11162.78      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412LGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4515 | PA      | $4790.08       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9367 | PA      | $9448.12       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412PPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17179 | PA      | $17327.17      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5078 | PA      | $5226.09       | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14939 | PA      | $14510.59      | 0.00%             | 2035-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412RBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115655 | PA      | $120507.10     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6916 | PA      | $7314.64       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413D2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7071 | PA      | $7478.89       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413TJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2003 | PA      | $2092.60       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413Y7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9880 | PA      | $10449.50      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1802 | PA      | $1879.16       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414L2H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64681 | PA      | $67609.50      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2803 | PA      | $2923.53       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414SXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $986.45        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414UZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2581.33       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7014 | PA      | $7307.49       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415QB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3076 | PA      | $3211.64       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415VQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234396 | PA      | $247917.41     | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415VYQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13098 | PA      | $13422.11      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416B2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12303 | PA      | $12833.55      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16945 | PA      | $17922.77      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222438 | PA      | $232003.73     | 0.01%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26411 | PA      | $27195.36      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17696 | PA      | $18716.42      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416JPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24742 | PA      | $25383.98      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5877 | PA      | $6043.83       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6795 | PA      | $6847.14       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21856 | PA      | $21382.00      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417ACL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4751 | PA      | $4728.36       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417BEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18056 | PA      | $18097.28      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417FBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32237 | PA      | $33188.77      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417KN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34928 | PA      | $34180.99      | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417MXZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        801 | PA      | $817.94        | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417QNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4746 | PA      | $4880.04       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417VY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3006 | PA      | $3029.18       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4561 | PA      | $4547.09       | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13029 | PA      | $12990.43      | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9300 | PA      | $9292.92       | 0.00%             | 2030-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1843 | PA      | $1842.83       | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14282 | PA      | $14232.97      | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13570 | PA      | $13532.41      | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        413 | PA      | $412.14        | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20819 | PA      | $20771.84      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6105 | PA      | $6089.29       | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4626 | PA      | $4660.85       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61771 | PA      | $61040.54      | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22167 | PA      | $22188.34      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103441 | PA      | $102452.56     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172481 | PA      | $170810.41     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55438 | PA      | $54814.77      | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122655 | PA      | $121261.40     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11244 | PA      | $11115.33      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76722 | PA      | $75830.27      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DAZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56828 | PA      | $56468.16      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89044 | PA      | $87894.76      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163544 | PA      | $160711.79     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199895 | PA      | $196911.81     | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26603 | PA      | $26511.02      | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23006 | PA      | $22495.36      | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3086117 | PA      | $2953322.66    | 0.08%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45589392 | PA      | $45645465.76   | 1.29%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     857632 | PA      | $872347.69     | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61040 | PA      | $62058.87      | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418MYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110849 | PA      | $116415.76     | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418SSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9111 | PA      | $9354.93       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43308 | PA      | $44356.65      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7494 | PA      | $7547.29       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21742 | PA      | $22927.57      | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109244 | PA      | $115545.98     | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419EZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13232 | PA      | $13195.18      | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419FWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27054 | PA      | $26961.66      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4104500 | PA      | $1654688.12    | 0.05%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16185831 | PA      | $13612592.67   | 0.38%             | 2036-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2004-FFH3                                     | CUSIP: 32027NLS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1825726 | PA      | $1808362.22    | 0.05%             | 2034-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2004-FF8                                      | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1051488 | PA      | $1063402.09    | 0.03%             | 2034-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                        | First Horizon Mortgage Pass-Through Trust 2005-AR3                               | CUSIP: 32051GQL2<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |      46244 | PA      | $30507.13      | 0.00%             | 2035-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1294813.44    | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                                         | Flex Ltd                                                                         | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    8160000 | PA      | $8271905.83    | 0.23%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4454796.32    | 0.13%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GR2<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6910722.53    | 0.20%             | 2026-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                                     | Ford Credit Auto Lease Trust 2024-A                                              | CUSIP: 345290AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1405931.66    | 0.04%             | 2027-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4660946.34    | 0.13%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2585364.30    | 0.07%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $3329331.51    | 0.09%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6985942.47    | 0.20%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204349.00     | 0.01%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $920877.62     | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1632000 | PA      | $1606809.90    | 0.05%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                         | Fox Corp                                                                         | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4557574.89    | 0.13%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                           | Fresenius Medical Care US Finance III Inc                                        | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   12100000 | PA      | $11826399.04   | 0.33%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40345 | PA      | $40994.42      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90013 | PA      | $91655.59      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8579 | PA      | $8492.59       | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     526821 | PA      | $485239.61     | 0.01%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     319361 | PA      | $293661.50     | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172069 | PA      | $158913.10     | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145090 | PA      | $133032.62     | 0.00%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617AYBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16832 | PA      | $16876.33      | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617JV7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276301 | PA      | $279061.03     | 0.01%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1516307 | PA      | $1363168.09    | 0.04%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617NR7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252631 | PA      | $254353.38     | 0.01%             | 2050-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YAR59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45043 | PA      | $42953.28      | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YCQJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     589167 | PA      | $561831.03     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YD2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5111169 | PA      | $4865494.23    | 0.14%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YD3J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2139595 | PA      | $2030825.68    | 0.06%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YFGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6143019 | PA      | $6137945.60    | 0.17%             | 2052-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6886006 | PA      | $6272933.87    | 0.18%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5AY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11019277 | PA      | $10040366.03   | 0.28%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5GK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1976333 | PA      | $1800162.20    | 0.05%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7915938 | PA      | $7207435.77    | 0.20%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5RB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10198611 | PA      | $9285794.86    | 0.26%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5TK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99392 | PA      | $93930.33      | 0.00%             | 2055-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202KYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.08         | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202KZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $67.14         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A2XZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208259 | PA      | $214089.76     | 0.01%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10113 | PA      | $10399.39      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3150 | PA      | $3238.36       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CA30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        469 | PA      | $469.28        | 0.00%             | 2026-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CA55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        164 | PA      | $163.90        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $368.47        | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12933 | PA      | $13053.76      | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CDH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2245 | PA      | $2249.07       | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CEE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        997 | PA      | $998.38        | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331 | PA      | $331.63        | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        781 | PA      | $781.91        | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1214 | PA      | $1212.37       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        584 | PA      | $587.42        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CJ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        939 | PA      | $939.60        | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1107 | PA      | $1110.95       | 0.00%             | 2029-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1206 | PA      | $1210.77       | 0.00%             | 2029-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2167 | PA      | $2178.56       | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        722 | PA      | $722.17        | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1260 | PA      | $1264.88       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2581 | PA      | $2588.32       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        370 | PA      | $371.28        | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3978 | PA      | $3995.42       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1898 | PA      | $1906.09       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1236 | PA      | $1235.41       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        494 | PA      | $496.67        | 0.00%             | 2030-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1791 | PA      | $1797.86       | 0.00%             | 2030-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2015 | PA      | $2016.10       | 0.00%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        369 | PA      | $370.37        | 0.00%             | 2031-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2655 | PA      | $2708.06       | 0.00%             | 2031-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2890 | PA      | $2890.03       | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $80.82         | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $220.18        | 0.00%             | 2032-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1133 | PA      | $1132.09       | 0.00%             | 2032-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        796 | PA      | $807.53        | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10612 | PA      | $10776.96      | 0.00%             | 2033-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2003-2F                                                  | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         32 | PA      | $33.24         | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116501 | PA      | $119487.46     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A3DC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1194848 | PA      | $1193827.75    | 0.03%             | 2048-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AADC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1284756 | PA      | $1283686.64    | 0.04%             | 2048-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1697455 | PA      | $1729936.36    | 0.05%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust 2007-FM1                                                             | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2056188 | PA      | $1014061.40    | 0.03%             | 2036-12-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     957928 | PA      | $902650.36     | 0.03%             | 2036-01-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2005-AR6                                                 | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4466 | PA      | $4276.55       | 0.00%             | 2035-09-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241K4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16426 | PA      | $16897.50      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        529 | PA      | $543.71        | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124496 | PA      | $128068.56     | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15123 | PA      | $15553.30      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12486 | PA      | $12824.47      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5518 | PA      | $5636.43       | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7717 | PA      | $7929.89       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103621 | PA      | $108126.26     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LN77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47798 | PA      | $49170.20      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6058 | PA      | $6229.67       | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31048 | PA      | $31899.44      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust 2005-HE1                                                             | CUSIP: 36242DRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3195056 | PA      | $2929713.03    | 0.08%             | 2034-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13346000 | PA      | $12493189.27   | 0.35%             | 2049-10-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2016-GS4                                            | CUSIP: 36251XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137635 | PA      | $137392.37     | 0.00%             | 2049-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2017-GPTX                                      | CUSIP: 36257CAA5<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |    7552013 | PA      | $6623003.61    | 0.19%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RAB3<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   10397039 | PA      | $8688836.62    | 0.25%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust 2022-GR2                                     | CUSIP: 36267BAB3<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   11932178 | PA      | $10412221.05   | 0.29%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    9770666 | PA      | $8164886.35    | 0.23%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291AGX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1876 | PA      | $1875.44       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291GAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1580 | PA      | $1621.48       | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291KBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        349 | PA      | $348.37        | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36292DP48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        833 | PA      | $849.46        | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296QY37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     587694 | PA      | $604565.12     | 0.02%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296TBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $283.39        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37118 | PA      | $38183.82      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296XX41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5031 | PA      | $5164.55       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297BXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11269 | PA      | $11589.08      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297DK89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $321.27        | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180003 | PA      | $185093.21     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     723719 | PA      | $426343.09     | 0.01%             | 2036-04-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | Gartner Inc                                                                      | CUSIP: 366651AJ6<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7233334.49    | 0.20%             | 2031-03-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XFE1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5740000 | PA      | $5845799.68    | 0.17%             | 2028-04-04      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KS9<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5281395.50    | 0.15%             | 2028-05-16      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | Global Payments Inc                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6011410.92    | 0.17%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | Global Payments Inc                                                              | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1200562.14    | 0.03%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5938723.34    | 0.17%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $512306.85     | 0.01%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GVX9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7593364.35    | 0.21%             | 2027-10-28      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6465417.99    | 0.18%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5057099.95    | 0.14%             | 2027-05-21      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                                 | GoodLeap Sustainable Home Solutions Trust 2022-2                                 | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8714376 | PA      | $7757272.51    | 0.22%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                                             | Goodman US Finance Three LLC                                                     | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |   10800000 | PA      | $10688462.03   | 0.30%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17330 | PA      | $17296.16      | 0.00%             | 2062-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38375UYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2007961 | PA      | $2021423.52    | 0.06%             | 2067-01-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376R6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2982977 | PA      | $3023721.28    | 0.09%             | 2067-09-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1749717 | PA      | $1788082.05    | 0.05%             | 2066-09-20      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     568590 | PA      | $568931.22     | 0.02%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844126 | PA      | $845467.48     | 0.02%             | 2065-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RMG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4526703 | PA      | $4552389.82    | 0.13%             | 2065-12-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RQ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191319 | PA      | $191769.71     | 0.01%             | 2066-06-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1533644 | PA      | $1540763.49    | 0.04%             | 2066-09-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7573391 | PA      | $7608676.23    | 0.22%             | 2073-03-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4918506 | PA      | $4982551.33    | 0.14%             | 2072-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5228147 | PA      | $5269582.26    | 0.15%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6877602 | PA      | $6911795.86    | 0.20%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3857931 | PA      | $3822772.00    | 0.11%             | 2072-01-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7025260 | PA      | $7049989.31    | 0.20%             | 2073-01-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38383KKU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15587241 | PA      | $15722635.18   | 0.44%             | 2073-12-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                                | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10937 | PA      | $9858.13       | 0.00%             | 2045-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                                         | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    6700000 | PA      | $7000280.60    | 0.20%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3055774 | PA      | $3069556.55    | 0.09%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                                                           | HA Sustainable Infrastructure Capital Inc                                        | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4625587.53    | 0.13%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7223551.26    | 0.20%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5065992.31    | 0.14%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5900000 | PA      | $6237252.67    | 0.18%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6700000 | PA      | $6741674.00    | 0.19%             | 2027-08-14      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2400000 | PA      | $2459627.64    | 0.07%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    9300000 | PA      | $9328677.95    | 0.26%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC                                                               | Harbour Energy PLC                                                               | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3746650.38    | 0.11%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust 2005-2                                            | CUSIP: 41161PLR2<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     248319 | PA      | $242044.35     | 0.01%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust                                           | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1767280 | PA      | $1391317.54    | 0.04%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                                           | Home Equity Loan Trust                                                           | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3334398 | PA      | $3268066.61    | 0.09%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                                       | HSI Asset Securitization Corp Trust 2006-HE2                                     | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8002155 | PA      | $1842925.93    | 0.05%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                         | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    2400000 | PA      | $2218476.00    | 0.06%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                                         | Huntington Ingalls Industries Inc                                                | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   13800000 | PA      | $13069895.96   | 0.37%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12758922.09   | 0.36%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACB1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5919035.41    | 0.17%             | 2026-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2014374.90    | 0.06%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4616381.16    | 0.13%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                                          | Hyundai Auto Lease Securitization Trust 2024-A                                   | CUSIP: 448988AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     765008 | PA      | $766635.08     | 0.02%             | 2027-03-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                                                   | ICG US Clo 2021-3 Ltd                                                            | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2600000.00    | 0.07%             | 2034-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                                                   | IXIS Real Estate Capital Trust 2004-HE4                                          | CUSIP: 45071KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668490 | PA      | $685800.72     | 0.02%             | 2035-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                      | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    4400000 | PA      | $4661090.30    | 0.13%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                          | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   12800000 | PA      | $12547990.53   | 0.35%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                                                | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        165 | PA      | $161.22        | 0.00%             | 2032-01-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                                                | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        523 | PA      | $505.68        | 0.00%             | 2032-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust 2006-AR15                                       | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1703454 | PA      | $1700363.61    | 0.05%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust 2006-AR4                                        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2485117 | PA      | $2303197.77    | 0.07%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1100000 | PA      | $1099391.92    | 0.03%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    9200000 | PA      | $9337637.70    | 0.26%             | 2029-03-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                     | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    6800000 | PA      | $6800396.51    | 0.19%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                    | CUSIP: 45865VAA8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2806692.00    | 0.08%             | 2028-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                    | CUSIP: 45865VAC4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2001580.00    | 0.06%             | 2031-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                         | International Flavors & Fragrances Inc                                           | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    3437000 | PA      | $3101212.46    | 0.09%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 465973AC9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   10140268 | PA      | $8880005.36    | 0.25%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2023-CCDC                   | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $6108023.50    | 0.17%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247ZP1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     181951 | PA      | $79125.01      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                               | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     632870 | PA      | $532766.00     | 0.02%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    3651432 | PA      | $3088744.88    | 0.09%             | 2037-12-26      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3199430.62    | 0.09%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   13300000 | PA      | $13200247.21   | 0.37%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     500000 | PA      | $502034.54     | 0.01%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8141348.56    | 0.23%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7617915.45    | 0.22%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDZ6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2115159.38    | 0.06%             | 2028-01-23      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3421698.32    | 0.10%             | 2028-07-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3431009 | PA      | $3422061.95    | 0.10%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JPN BANK FOR INT'L COOP                                                          | Japan Bank for International Cooperation                                         | CUSIP: 471048BM9<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | NUSS              | JP        |   11200000 | PA      | $11056477.15   | 0.31%             | 2027-07-21      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                          | Jersey Central Power & Light Co                                                  | CUSIP: 476556DJ1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3593894.87    | 0.10%             | 2029-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA                                                          | JPMorgan Chase Bank NA                                                           | CUSIP: 48125LRV6<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7761626.80    | 0.22%             | 2026-12-08      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                                            | KKR Clo 16 Ltd                                                                   | CUSIP: 48251BBE9<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |    9900000 | PA      | $9904851.00    | 0.28%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                                            | KKR CLO 41 Ltd                                                                   | CUSIP: 48255PAA3<br>LEI: 254900UD92WBBLUHGZ35 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5999940.00    | 0.17%             | 2035-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| KREF 2022-Fl3 Ltd                                                                | KREF 2022-FL3 Ltd                                                                | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    6001455 | PA      | $6001658.84    | 0.17%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | Kilroy Realty LP                                                                 | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |   13100000 | PA      | $10747772.78   | 0.30%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |    1700000 | PA      | $1704117.40    | 0.05%             | 2026-10-23      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                                                 | Kuwait International Government Bond                                             | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    2000000 | PA      | $2002490.48    | 0.06%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                                                 | Kuwait International Government Bond                                             | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    2000000 | PA      | $1999158.68    | 0.06%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                                                 | Kuwait International Government Bond                                             | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1500000 | PA      | $1497928.52    | 0.04%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $8141377.14    | 0.23%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                            | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2563987 | PA      | $1759655.62    | 0.05%             | 2036-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                                  | Lehman XS Trust Series 2007-4N                                                   | CUSIP: 52524HAF7<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |    8132332 | PA      | $7136751.13    | 0.20%             | 2047-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3538576.16    | 0.10%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5900000 | PA      | $5979290.81    | 0.17%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2005-WL2                                          | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4599617 | PA      | $4561160.63    | 0.13%             | 2035-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2005-3                                            | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     358820 | PA      | $356507.40     | 0.01%             | 2045-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2006-4                                            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26514957 | PA      | $7647650.60    | 0.22%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                          | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    5900000 | PA      | $6103721.69    | 0.17%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                 | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146462 | PA      | $77983.59      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                      | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2613409 | PA      | $2614618.94    | 0.07%             | 2037-09-17      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                              | Mastr Asset Backed Securities Trust 2006-WMC3                                    | CUSIP: 55291KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4455325 | PA      | $1494719.07    | 0.04%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                              | Mastr Asset Backed Securities Trust 2006-WMC3                                    | CUSIP: 55291KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2884649 | PA      | $972698.50     | 0.03%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                                       | MMAF Equipment Finance LLC 2024-A                                                | CUSIP: 55318CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2279057 | PA      | $2285056.14    | 0.06%             | 2027-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                   | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12300000 | PA      | $11834339.22   | 0.33%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                         | Mars Inc                                                                         | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7562523.46    | 0.21%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2958136.85    | 0.08%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                                         | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3815273.87    | 0.11%             | 2026-07-10      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                                         | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8064369.53    | 0.23%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                                    | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605996 | PA      | $50820.76      | 0.00%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                                    | MASTR Alternative Loan Trust 2005-1                                              | CUSIP: 576434D92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1708953 | PA      | $1776626.77    | 0.05%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                                             | Mercedes-Benz Finance North America LLC                                          | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7433092.87    | 0.21%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust Series 2006-HE4                           | CUSIP: 59023EAE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |    8145793 | PA      | $1667108.29    | 0.05%             | 2037-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5                   | CUSIP: 59025RAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8088545 | PA      | $7094990.79    | 0.20%             | 2037-10-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                     | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2569002 | PA      | $2515462.41    | 0.07%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                         | Mill City Mortgage Loan Trust 2019-GS2                                           | CUSIP: 59981TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8400000 | PA      | $7623820.68    | 0.22%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   10500000 | PA      | $10305858.57   | 0.29%             | 2027-10-13      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    2400000 | PA      | $2184219.53    | 0.06%             | 2031-07-10      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                                           | Mondelez International Inc                                                       | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   10700000 | PA      | $8073157.99    | 0.23%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7953058.53    | 0.22%             | 2028-01-14      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7955617.25    | 0.22%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6793424.93    | 0.19%             | 2028-07-14      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $762521.52     | 0.02%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1                                 | CUSIP: 61744CXM3<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |     446763 | PA      | $441508.71     | 0.01%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5412385.55    | 0.15%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4797916.18    | 0.14%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8152397.34    | 0.23%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $5193552.19    | 0.15%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3490326.13    | 0.10%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-NC4                                  | CUSIP: 61748LAD4<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |     134483 | PA      | $119222.61     | 0.00%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-WMC2                                 | CUSIP: 61749KAA1<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |    2166199 | PA      | $1961101.27    | 0.06%             | 2036-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |      78448 | PA      | $71857.30      | 0.00%             | 2037-05-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                                     | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     937335 | PA      | $984321.16     | 0.03%             | 2037-03-26      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RAW6<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |      46745 | PA      | $46670.28      | 0.00%             | 2049-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $6647001.00    | 0.19%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1043150 | PA      | $1005759.07    | 0.03%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                 | NTT Finance Corp                                                                 | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $302531.27     | 0.01%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                 | NTT Finance Corp                                                                 | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $303990.03     | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                 | NTT Finance Corp                                                                 | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $509206.33     | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                 | NTT Finance Corp                                                                 | CUSIP: 62954WAT2<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     800000 | PA      | $812099.14     | 0.02%             | 2030-07-16      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                    | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $13975264.80   | 0.39%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                             | CUSIP: 636180BS9<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6463605.12    | 0.18%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3665621.05    | 0.10%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                                          | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7640924.63    | 0.22%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NatWest Markets PLC                                                              | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $10161427.30   | 0.29%             | 2028-03-21      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NatWest Markets PLC                                                              | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    5500000 | PA      | $5642862.72    | 0.16%             | 2030-03-21      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1762692 | PA      | $1800152.87    | 0.05%             | 2041-02-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1855466 | PA      | $1931556.38    | 0.05%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAA6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    4491569 | PA      | $4473479.81    | 0.13%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    3631481 | PA      | $3656841.55    | 0.10%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    4533620 | PA      | $4584076.51    | 0.13%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                         | New York Life Global Funding                                                     | CUSIP: 64953BBK3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7801295.42    | 0.22%             | 2026-01-16      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Empire State Development Corp                                                    | NEW YORK ST URBAN DEV CORP REVENUE                                               | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    8100000 | PA      | $8060271.12    | 0.23%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    5600000 | PA      | $5523137.31    | 0.16%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                              | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   14700000 | PA      | $13854760.58   | 0.39%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $13172769.45   | 0.37%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    9600000 | PA      | $8874339.74    | 0.25%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $475872.12     | 0.01%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    5100000 | PA      | $5101491.29    | 0.14%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    4700000 | PA      | $4850395.21    | 0.14%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2922909.04    | 0.08%             | 2027-07-02      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2              | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487020 | PA      | $232265.64     | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                                                        | NovaStar Mortgage Funding Trust Series 2007-2                                    | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1724438 | PA      | $1706340.64    | 0.05%             | 2037-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2023-NQM1 Trust                                                              | CUSIP: 670855AA3<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    4900303 | PA      | $4885014.82    | 0.14%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    3037338 | PA      | $2977937.66    | 0.08%             | 2057-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    8900000 | PA      | $8969700.26    | 0.25%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680CQ4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1957860.43    | 0.06%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                                                         | Ontario Teachers' Cadillac Fairview Properties Trust                             | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1700000 | PA      | $1696984.73    | 0.05%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                            | Province of Ontario Canada                                                       | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     945000 | PA      | $691322.36     | 0.02%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1038292.93    | 0.03%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $3488300.31    | 0.10%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $8902857.96    | 0.25%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust 2007-1                                            | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3540277 | PA      | $2311566.59    | 0.07%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5                      | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5745 | PA      | $6036.66       | 0.00%             | 2033-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4819112 | PA      | $4814805.30    | 0.14%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1574942.27    | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4978519.35    | 0.14%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   10900000 | PA      | $10900000.00   | 0.31%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5083167.20    | 0.14%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5881097.61    | 0.17%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5187426.75    | 0.15%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                                               | Pacific Life Global Funding II                                                   | CUSIP: 6944PL2U2<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5701241.10    | 0.16%             | 2028-07-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8014757.93    | 0.23%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2           | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1315540 | PA      | $1305678.48    | 0.04%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1769283 | PA      | $1753651.94    | 0.05%             | 2034-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Series 2005-WCW1                                       | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2643003 | PA      | $2608809.71    | 0.07%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1680000 | PA      | $555418.42     | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7920000 | PA      | $2618401.11    | 0.07%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   66510000 | PA      | $21341465.85   | 0.60%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3000000 | PA      | $3474870.00    | 0.10%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                                         | Piedmont Operating Partnership LP                                                | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |   12900000 | PA      | $11841475.15   | 0.33%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3053867.07    | 0.09%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1030412.51    | 0.03%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    3900000 | PA      | $3994244.28    | 0.11%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                            | PRPM 2023-NQM2 Trust                                                             | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3677881 | PA      | $3695347.85    | 0.10%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAM4<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7539729.45    | 0.21%             | 2028-08-09      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   12700000 | PA      | $9722432.70    | 0.27%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                     | RBSSP Resecuritization Trust 2011-4                                              | CUSIP: 74930PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1676159 | PA      | $1677445.52    | 0.05%             | 2036-06-27      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                                               | Ready Capital Mortgage Financing 2021-FL7 LLC                                    | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1070837 | PA      | $1070751.57    | 0.03%             | 2036-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                                                         | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |   13100000 | PA      | $12568191.09   | 0.36%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                               | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49047 | PA      | $45125.54      | 0.00%             | 2033-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                            | CUSIP: 760759BB5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3894350.43    | 0.11%             | 2029-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                         | RASC Series 2003-KS4 Trust                                                       | CUSIP: 76110WRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395438 | PA      | $389995.17     | 0.01%             | 2033-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                           | Residential Asset Securitization Trust 2006-A5CB                                 | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2862259 | PA      | $1038717.36    | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                               | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6207867.54    | 0.18%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Romark Credit Funding I, Ltd.                                                    | Romark Credit Funding III Ltd                                                    | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5718810.00    | 0.16%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                                   | Romark CLO - IV Ltd                                                              | CUSIP: 77588LAN1<br>LEI: 549300HD9K8XL8QM2Z46 | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6195852.20    | 0.18%             | 2034-07-10      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1312874.11    | 0.04%             | 2026-12-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    6900000 | PA      | $6971401.34    | 0.20%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                          | SG Commercial Mortgage Securities Trust 2020-COVE                                | CUSIP: 78397FAA1<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $6798338.04    | 0.19%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                  | SBA Tower Trust                                                                  | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              |  | US        |   13000000 | PA      | $12491659.70   | 0.35%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                                               | STWD 2022-FL3 Ltd                                                                | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4713515 | PA      | $4697937.55    | 0.13%             | 2038-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                 | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10100000 | PA      | $9222266.57    | 0.26%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                 | CUSIP: 79467BDH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1798361.60    | 0.05%             | 2034-01-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                                   | CITIGROUP REPO                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   18300000 | PA      | $18300000.00   | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    5675000 | PA      | $5742785.15    | 0.16%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    6000000 | PA      | $6077311.08    | 0.17%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBE8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    6000000 | PA      | $5342507.82    | 0.15%             | 2053-01-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    7800000 | PA      | $7951007.53    | 0.22%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                     | Saxon Asset Securities Trust 2007-3                                              | CUSIP: 80557BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1406037 | PA      | $1326382.69    | 0.04%             | 2047-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                                   | Securitized Asset Backed Receivables LLC Trust 2006-FR3                          | CUSIP: 813765AC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    5854876 | PA      | $3142101.63    | 0.09%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                                   | Securitized Asset Backed Receivables LLC Trust 2006-FR2                          | CUSIP: 81376VAC1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   12448749 | PA      | $7858444.76    | 0.22%             | 2036-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                           | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31132 | PA      | $31262.06      | 0.00%             | 2033-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                           | Sequoia Mortgage Trust 6                                                         | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28998 | PA      | $28746.02      | 0.00%             | 2027-04-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                                | United States Small Business Administration                                      | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     186949 | PA      | $191688.46     | 0.01%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | Societe Generale SA                                                              | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    5000000 | PA      | $5002740.15    | 0.14%             | 2027-01-12      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SYENSQO FINANCE AMERICA                                                          | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1966595.40    | 0.06%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                                 | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1947245 | PA      | $511667.24     | 0.01%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government International Bond                           | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3000000 | PA      | $3221520.00    | 0.09%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $340083.47     | 0.01%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     800000 | PA      | $607188.94     | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3082575.60    | 0.09%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6461202.20    | 0.18%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                       | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $12364406.88   | 0.35%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance                                     | Specialty Underwriting & Residential Finance Trust Series 2007-BC2               | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2227085 | PA      | $1649710.00    | 0.05%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                                                           | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1601855.84    | 0.05%             | 2028-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | Standard Chartered PLC                                                           | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5500000 | PA      | $5715517.72    | 0.16%             | 2029-01-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                      | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |   13300000 | PA      | $13217367.10   | 0.37%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                       | FIXED INC CLEARING CORP.REPO                                                     | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    5362682 | PA      | $5362681.92    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68390 | PA      | $67839.88      | 0.00%             | 2035-01-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2005-7                     | CUSIP: 863579PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     947095 | PA      | $872997.81     | 0.02%             | 2035-04-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                    | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32335 | PA      | $27922.00      | 0.00%             | 2035-08-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                           | Structured Asset Investment Loan Trust 2005-9                                    | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2444647 | PA      | $2412667.34    | 0.07%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25059 | PA      | $24367.89      | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10758 | PA      | $10741.02      | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67047 | PA      | $66423.08      | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2006-9                     | CUSIP: 86361PAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4952262 | PA      | $1952702.98    | 0.06%             | 2036-10-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                          | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2                    | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14818 | PA      | $14863.24      | 0.00%             | 2037-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    9800000 | PA      | $9255782.58    | 0.26%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2901244.19    | 0.08%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1800000 | PA      | $1819715.33    | 0.05%             | 2029-07-09      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDM9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5900000 | PA      | $6108578.04    | 0.17%             | 2029-07-09      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                                          | Sun Communities Operating LP                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |    3200000 | PA      | $2907929.47    | 0.08%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                        | Sunrun Demeter Issuer 2021-2 LLC                                                 | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10676036 | PA      | $9733170.12    | 0.28%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                                 | Symphony CLO XXXII Ltd                                                           | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    9900000 | PA      | $9893862.00    | 0.28%             | 2035-10-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6710355.72    | 0.19%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp                                    | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                   | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5900000 | PA      | $6017116.18    | 0.17%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority                                             | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                      | CUSIP: 88880LAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2250000 | PA      | $2229724.58    | 0.06%             | 2026-06-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89115KAE0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3600000 | PA      | $3608764.09    | 0.10%             | 2028-10-13      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1103704.32    | 0.03%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                        | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    4354489 | PA      | $4183722.89    | 0.12%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust                                             | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3990183.21    | 0.11%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                                | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12100000 | PA      | $11676498.79   | 0.33%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                                                             | 225 Liberty Street Trust 2016-225L                                               | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11600000 | PA      | $11366413.12   | 0.32%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4000000 | PA      | $4001511.68    | 0.11%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                          | UDR Inc                                                                          | CUSIP: 90265EAM2<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    1000000 | PA      | $991461.14     | 0.03%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10200000 | PA      | $10204345.40   | 0.29%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                                                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000809 | PA      | $11700518.20   | 0.33%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                                                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4459848 | PA      | $4001210.42    | 0.11%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                                                          | United Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4352747 | PA      | $4463096.19    | 0.13%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 A PTT                                                          | United Airlines 2016-1 Class A Pass Through Trust                                | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1675838 | PA      | $1633477.84    | 0.05%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                                                         | United Airlines 2016-2 Class AA Pass Through Trust                               | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3011069 | PA      | $2902784.61    | 0.08%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2400000 | PA      | $2431200.00    | 0.07%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9600000 | PA      | $9404250.05    | 0.27%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $15125953.13   | 0.43%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57100000 | PA      | $56330488.42   | 1.59%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12800000 | PA      | $12939000.06   | 0.37%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1167000 | PA      | $1137095.63    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39000000 | PA      | $30104648.34   | 0.85%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2151625.00    | 0.06%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1699320 | PA      | $1264061.27    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83700000 | PA      | $64975394.32   | 1.84%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7264296 | PA      | $6079890.02    | 0.17%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $10068812.50   | 0.28%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  112000000 | PA      | $88646250.56   | 2.51%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24748719 | PA      | $18036298.42   | 0.51%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3100000 | PA      | $2325242.17    | 0.07%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2610733 | PA      | $1967381.89    | 0.06%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7283250 | PA      | $5249067.48    | 0.15%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $2286249.98    | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $7366992.14    | 0.21%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $2582273.45    | 0.07%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3000000 | PA      | $2221289.07    | 0.06%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6500000 | PA      | $5142871.11    | 0.15%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $14732812.40   | 0.42%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2846470 | PA      | $2046899.31    | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29900000 | PA      | $21449746.02   | 0.61%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29239400 | PA      | $18337444.10   | 0.52%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16970000 | PA      | $10899910.59   | 0.31%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6400000 | PA      | $3751500.03    | 0.11%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11777241 | PA      | $6775633.42    | 0.19%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34100000 | PA      | $16766277.43   | 0.47%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $3517500.00    | 0.10%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27500000 | PA      | $15367773.30   | 0.43%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30012720 | PA      | $16201561.35   | 0.46%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19070400 | PA      | $12018076.64   | 0.34%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19300000 | PA      | $11056035.11   | 0.31%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1326562.51    | 0.04%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3976538 | PA      | $2101143.51    | 0.06%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10500000 | PA      | $8756835.99    | 0.25%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9232000 | PA      | $8461705.00    | 0.24%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4600218 | PA      | $3585488.80    | 0.10%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14400000 | PA      | $12954375.07   | 0.37%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8833000 | PA      | $8437240.17    | 0.24%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13048455 | PA      | $11719889.50   | 0.33%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17000000 | PA      | $16372460.98   | 0.46%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $883617.19     | 0.02%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11300000 | PA      | $10216789.01   | 0.29%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5100000 | PA      | $4810335.91    | 0.14%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2579450 | PA      | $2446847.70    | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27856000 | PA      | $28125855.00   | 0.79%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25290752 | PA      | $25187371.75   | 0.71%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     238000 | PA      | $239710.63     | 0.01%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1150000 | PA      | $1146990.23    | 0.03%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57960000 | PA      | $57753970.17   | 1.63%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53270000 | PA      | $53063994.79   | 1.50%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $2030299.46    | 0.06%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $474186.75     | 0.01%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $747265.57     | 0.02%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $137832.38     | 0.00%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21300000 | PA      | $9640498.64    | 0.27%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | REVERSE REPO DEUTSCHE                                                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        |  -77626380 | PA      | $-77626380.00  | -2.19%            |  |  |  | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                                                     | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10195007 | PA      | $8513625.72    | 0.24%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                            | Venture Global Plaquemines LNG LLC                                               | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2970441.99    | 0.08%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                                  | Venture XXVII CLO Ltd                                                            | CUSIP: 92331LBC3<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |     293932 | PA      | $293878.41     | 0.01%             | 2030-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3925675.23    | 0.11%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VHG2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3569438.81    | 0.10%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                                                  | Vibrant CLO XII Ltd                                                              | CUSIP: 92558WBE1<br>LEI: 5493000EYQWTOWOLAO60 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4997550.00    | 0.14%             | 2034-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMware LLC                                                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $13300531.16   | 0.38%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                           | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1563150.00    | 0.04%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                         | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5075368.15    | 0.14%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                         | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3610404.07    | 0.10%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust                    | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16647 | PA      | $15744.83      | 0.00%             | 2042-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2990453 | PA      | $2899598.13    | 0.08%             | 2045-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                    | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2562961 | PA      | $2254958.19    | 0.06%             | 2037-06-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC Energy Group Inc                                                             | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    4525000 | PA      | $4325111.34    | 0.12%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Castlelake LP                                                                    | Castlelake LP First Lien Term Loan                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5099330 | PA      | $4872715.37    | 0.14%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS                                                    | CREDIT OPPORTUNITIES PARTNERS                                                    | CUSIP: 000000000<br>LEI: 549300G9QPHCCGZE5W46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1527938.04    | 0.04%             | 2030-03-20      | Fixed         | 6.74%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                     | Wells Fargo Mortgage Backed Securities 2003-I Trust                              | CUSIP: 949802AA0<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      34766 | PA      | $34150.05      | 0.00%             | 2033-09-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4739053.90    | 0.13%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7350390.95    | 0.21%             | 2026-12-11      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5276307.38    | 0.15%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8183427.19    | 0.23%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                 | CUSIP: 95040QAC8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    1102000 | PA      | $1102040.06    | 0.03%             | 2026-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                   | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1052338.99    | 0.03%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                  | Weyerhaeuser Co                                                                  | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |    4000000 | PA      | $4008156.04    | 0.11%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                               | THL Credit Wind River 2017-3 Clo Ltd                                             | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11350000 | PA      | $11359545.35   | 0.32%             | 2035-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                                          | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    3100000 | PA      | $801486.39     | 0.02%             | 2018-01-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   63800000 | PA      | $3815538.73    | 0.11%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                                          | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1700000 | PA      | $439524.80     | 0.01%             | 2017-05-08      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Australia Government Bonds                                                       | Australia Government Bonds                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   14300000 | PA      | $8109826.46    | 0.23%             | 2035-06-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   14340000 | PA      | $867203.66     | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                                         | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   26885969 | PA      | $31880378.85   | 0.90%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | Lloyds Bank PLC                                                                  | CUSIP: 000000000<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $1647846.20    | 0.05%             | 2032-04-02      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                             | Volkswagen Bank GmbH                                                             | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |    2000000 | PA      | $2350823.99    | 0.07%             | 2026-07-31      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    4500000 | PA      | $5211298.95    | 0.15%             | 2027-07-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| IVORY COAST                                                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    4900000 | PA      | $5797727.45    | 0.16%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2931357.60    | 0.08%             | 2030-05-04      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.23          | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.23          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                         | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    5600000 | PA      | $3015402.44    | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.28          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.23          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                                                | Ares European CLO X DAC                                                          | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |    3839070 | PA      | $4507587.24    | 0.13%             | 2031-10-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                         | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    5700000 | PA      | $2945470.16    | 0.08%             | 2034-03-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Toro European CLO                                                                | Toro European CLO 7 DAC                                                          | CUSIP: 000000000<br>LEI: 635400B4VLIGNRNR9O61 | Long             | ABS-CBDO         | CORP              | IE        |   12071598 | PA      | $14151175.04   | 0.40%             | 2034-02-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                      | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    1760000 | PA      | $2121550.38    | 0.06%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                         | Queensland Treasury Corp                                                         | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    1400000 | PA      | $874327.31     | 0.02%             | 2035-08-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                                           | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   36500000 | PA      | $6442907.80    | 0.18%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                                       | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   17254000 | PA      | $20389069.62   | 0.58%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3050000 | PA      | $3729143.30    | 0.11%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                         | New South Wales Treasury Corp                                                    | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    1100000 | PA      | $689694.91     | 0.02%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                           | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $2126852.12    | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                                                      | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    5175351 | PA      | $6982381.92    | 0.20%             | 2053-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Arbour CLO                                                                       | Arbour CLO DAC                                                                   | CUSIP: 000000000<br>LEI: 549300YXBWG4ECHKDX72 | Long             | ABS-CBDO         | CORP              | IE        |    5500000 | PA      | $6466980.41    | 0.18%             | 2038-05-15      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4100000 | PA      | $4695273.42    | 0.13%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                                                | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  724000000 | PA      | $3361441.78    | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                                                      | Harvest CLO XXV DAC                                                              | CUSIP: 000000000<br>LEI: 6354001WPDJHCROVSI55 | Long             | ABS-CBDO         | CORP              | IE        |    9060000 | PA      | $10621268.58   | 0.30%             | 2034-10-21      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                   | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |   15200000 | PA      | $18110532.26   | 0.51%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Henley Funding Ltd.                                                              | Henley CLO VII DAC                                                               | CUSIP: 000000000<br>LEI: 635400SRJSVJPTMR4D89 | Long             | ABS-CBDO         | CORP              | IE        |    6079557 | PA      | $7150789.39    | 0.20%             | 2034-04-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1270000000 | PA      | $6510371.55    | 0.18%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                                               | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1670000000 | PA      | $9276368.11    | 0.26%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2600000 | PA      | $3198651.59    | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SEN                                                           | Thames Water Super Senior Issuer PLC                                             | CUSIP: 000000000<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      30066 | PA      | $46605.25      | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1394800000 | PA      | $7313528.37    | 0.21%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                                               | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  923600000 | PA      | $5457931.18    | 0.15%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                                          | Nationwide Building Society                                                      | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $674300.42     | 0.02%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  980000000 | PA      | $5600151.94    | 0.16%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2600000 | PA      | $3046940.57    | 0.09%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2600000 | PA      | $3047431.06    | 0.09%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1000000 | PA      | $1168627.06    | 0.03%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $712834.78     | 0.02%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  420000000 | PA      | $2600546.48    | 0.07%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI Financial Corp                                                                | CUSIP: 000000000<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5300000 | PA      | $6268298.10    | 0.18%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE MAR26                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -59 | NC      | $121648.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       4044 | NC      | $-1222385.90   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         65 | NC      | $-95563.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       3045 | NC      | $-354203.34    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        238 | NC      | $9325.32       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -752 | NC      | $386190.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE MAR26                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        256 | NC      | $257893.46     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT MAR26                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        360 | NC      | $48735.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT MAR26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        236 | NC      | $-241968.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND OPTION  FEB26P 127.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -22 | NC      | $-15512.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND OPTION  FEB26C 130.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -22 | NC      | $-1034.18      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -124 | NC      | $-15500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -79 | NC      | $-20984.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -203 | NC      | $-22203.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                          | 31750RTQ0 OTC ECAL FN 4.0 JAN26 97.375 CALL                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   -2500000 | NC      | $-0.25         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                                          | 31750RTH0 OTC ECAL FN 4.0 JAN26 97.375 CALL                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   -2500000 | NC      | $-0.25         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   17000000 | PA      | $871446.72     | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Stepstone Group Midco 2 GmbH/ The                                                | Stepstone Group Midco 2 GmbH/ The USD Term Loan B                                | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     849346 | PA      | $798385.24     | 0.02%             | 2031-12-19      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                           | Treasury Corp of Victoria                                                        | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    2700000 | PA      | $1473188.55    | 0.04%             | 2033-09-15      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4040000 | PA      | $233358.37     | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  357520000 | PA      | $22462988.51   | 0.63%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Qatar Government International Bonds                                             | Qatar Government International Bonds                                             | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1500000 | PA      | $1479861.93    | 0.04%             | 2048-04-23      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S0H9 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |  -11629000 | OU      | $-21315.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S0G1 PIMCO FXVAN PUT USD KRW 1413.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   11629000 | OU      | $71716.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S113 PIMCO FXVAN PUT USD KRW 1410.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   23812000 | OU      | $134228.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S121 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |  -23812000 | OU      | $-43647.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S170 PIMCO FXVAN PUT USD KRW 1375.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -6069000 | OU      | $-8806.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 31750S162 PIMCO FXVAN PUT USD KRW 1415.0000000                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    6069000 | OU      | $34805.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 31750S1B1 PIMCO FXVAN PUT USD KRW 1372.0000000                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    -382000 | OU      | $-561.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 31750S1A3 PIMCO FXVAN PUT USD KRW 1412.0000000                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |     382000 | OU      | $2134.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | 31750S188 PIMCO FXVAN PUT USD KRW 1412.0000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    3998000 | OU      | $22340.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | 31750S196 PIMCO FXVAN PUT USD KRW 1372.0000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -3998000 | OU      | $-5873.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UB7YA6 PIMCO SWAPTION 3.8475 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-799.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UB7ZA5 PIMCO SWAPTION 3.5475 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-0.03         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UB9JA9 PIMCO SWAPTION 3.551 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-3.23         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UB9IA0 PIMCO SWAPTION 3.831 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-3479.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-825.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-258.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UBA5A1 PIMCO SWAPTION 3.925 PUT USD 2026010                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | LU        |   -2200000 | NC      | $-726.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UBA6A0 PIMCO SWAPTION 3.625 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | LU        |   -2200000 | NC      | $-227.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UBBLA1 PIMCO SWAPTION 3.5775 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-294.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UBBKA2 PIMCO SWAPTION 3.8775 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-3435.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-1781.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-882.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UBCLA9 PIMCO SWAPTION 3.6475 CALL USD 20260                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-1502.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317UBCKA0 PIMCO SWAPTION 3.9275 PUT USD 202601                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-2216.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-7828.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-3157.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   14400000 | PA      | $4266596.01    | 0.12%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   95400000 | PA      | $5623245.33    | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   16900000 | PA      | $981004.64     | 0.03%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4700000 | OU      | $20915.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | COLOMBIA LA SP CBK                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    1700000 | OU      | $1673.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | COLOMBIA LA SP BRC                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |    2400000 | OU      | $2363.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | COLOMBIA LA SP JPM                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    3200000 | OU      | $3150.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | SOUTH AFRICA EM SP CBK                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3100000 | OU      | $21861.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   31300000 | OU      | $220735.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    3200000 | OU      | $-3456.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | COLOMBIA LA SP BPS                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    2400000 | OU      | $-2592.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | COLOMBIA LA SP JPM                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    1300000 | OU      | $-1404.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | COLOMBIA LA SP CBK                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     400000 | OU      | $-432.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     500000 | OU      | $6311.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1400000 | OU      | $-4345.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | COLOMBIA LA SP BPS                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |     500000 | OU      | $-1552.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3400000 | OU      | $41919.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4900000 | OU      | $71941.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   21100000 | OU      | $301455.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7000000 | OU      | $793597.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1200000 | OU      | $19544.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | AES CORPORATION SNR S* ICE                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3800000 | OU      | $466847.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     400000 | OU      | $6928.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    2100000 | OU      | $-6906.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | ORACLE CORPORATION SNR S* ICE                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3200000 | OU      | $-46435.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   14600000 | OU      | $230300.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | CDX IG45 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2500000 | OU      | $56662.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   13000000 | OU      | $198028.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    7344679 | OU      | $1471190.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | CDX ITRAXX XOV44 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |   16190000 | OU      | $3786659.84    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | CDX ITRAXX XOV44 5Y 35-100% SP CBK                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    9400000 | OU      | $2198554.82    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BOA                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |    7100000 | OU      | $1660610.55    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | CDX ITRAXX XOV44 5Y 35-100% SP MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    2000000 | OU      | $467777.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | CDX ITRAXX XOV44 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   16090000 | OU      | $3763270.96    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |     988320 | OU      | $5173.73       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   57000000 | OU      | $5943284.88    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 0.65000 04/12/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27000000 | OU      | $-609553.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS NZD 3.75000 06/15/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41800000 | OU      | $348411.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 1.00000 05/13/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23700000 | OU      | $-445176.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9200000 | OU      | $-175293.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   62900000 | OU      | $24893844.25   | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS NZD 4.25000 12/21/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2900000 | OU      | $42675.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22600000 | OU      | $-138051.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11800000 | OU      | $-91561.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $-44832.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   43550000 | OU      | $-1094518.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   63100000 | OU      | $7163994.28    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.66674 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23000000 | OU      | $-185848.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   58300000 | OU      | $-337595.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   63500000 | OU      | $-496139.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7626* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13400000 | OU      | $-98331.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11300000 | OU      | $-75294.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20800000 | OU      | $-88724.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7300000 | OU      | $-88174.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3200000 | OU      | $-37949.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8000000 | OU      | $-101001.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5400000 | OU      | $-66405.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21100000 | OU      | $-200797.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4430000 | OU      | $-119014.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.75000 12/18/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   60700000 | OU      | $-794101.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2810000 | OU      | $319892.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  190300000 | OU      | $-1265908.69   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.49576 06/14/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22200000 | OU      | $-152339.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23900000 | OU      | $-161349.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   27750000 | OU      | $-290372.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13400000 | OU      | $-489328.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $19439.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4300000 | OU      | $26708.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3300000 | OU      | $10570.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $6406.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3900000 | OU      | $-2454.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     580000 | OU      | $-6613.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $48368.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   45500000 | OU      | $340876.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25400000 | OU      | $3987346.45    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $-71446.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 7670000000 | OU      | $1083224.98    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5700000 | OU      | $-77882.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $-30747.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.35000 04/29/25-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $760.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7500000 | OU      | $-5665.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   13400000 | OU      | $-11317.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   71500000 | OU      | $-67476.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  129800000 | OU      | $-109017.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8600000 | OU      | $-4106.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   10300000 | OU      | $-3362.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   67167000 | OU      | $-710489.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3600000 | OU      | $-28071.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.4 07/10/25-01/02/29 CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   95500000 | OU      | $11595.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.75000 03/18/26-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   35600000 | OU      | $-743841.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 3.00000 03/18/26-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   26560000 | OU      | $1551560.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.0166 08/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  130500000 | OU      | $158634.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13 08/13/25-01/02/29 CME                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   31700000 | OU      | $40323.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.55100 09/17/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2500000 | OU      | $47915.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | LQD US TRS EQUITY SOFR-45 JPM                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |  134232000 | OU      | $-2004000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $47947.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4200000 | OU      | $25948.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7270000 | OU      | $36337.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-26

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer