# EDGAR Filing Document

**Accession Number:** 0000081264
**File Stem:** 0000869392-23-000711
**Filing Date:** 2023-3
**Character Count:** 884587
**Document Hash:** 2114cf1247915abf75a85c6bac98138e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000711.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0000869392-23-000711

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM INCOME FUND
- **CENTRAL INDEX KEY:** 0000081264
- **IRS NUMBER:** 046013712
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00653
- **FILM NUMBER:** 23774924

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM INCOME FUND INC/PRED/
- **DATE OF NAME CHANGE:** 19821109

## Series and Classes Contracts Data

### PUTNAM INCOME FUND (Series ID: S000006155)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000016962 | Class A Shares | PINCX           |
| C000016963 | Class B Shares | PNCBX           |
| C000016964 | Class C Shares | PUICX           |
| C000016965 | Class M Shares | PNCMX           |
| C000016966 | Class R Shares | PIFRX           |
| C000016967 | Class Y Shares | PNCYX           |
| C000118063 | Class R5       |  |
| C000118064 | Class R6       |  |

## Nport-Ex

------

---

| |
|:---|
| **Putnam Income Fund** |
| **The fund's portfolio** |
| **1/31/23 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (111.7%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (111.7%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (111.7%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (16.8%)** | **U.S. Government Guaranteed Mortgage Obligations (16.8%)** | **U.S. Government Guaranteed Mortgage Obligations (16.8%)** |
| Government National Mortgage Association (ICE LIBOR USD 12 Month + 1.49%), 3.469%, 12/20/68 | $1063840 | $1079625 |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.50%, with due dates from 3/15/31 to 10/15/31 | 85487 | 89499 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, with due dates from 12/20/48 to 4/20/49 | 316021 | 335574 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, with due dates from 1/20/49 to 5/20/49 | 1606807 | 1654612 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 6/15/40 to 3/20/50 | 5802907 | 5923136 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.70%, with due dates from 6/20/65 to 8/20/67 | 687581 | 688194 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.656%, 9/20/65 | 210789 | 208239 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.65%, 5/20/65 | 146496 | 145619 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.639%, 6/20/67 | 444104 | 443299 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.623%, 6/20/65 | 6163 | 6100 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.559%, 5/20/65 | 34946 | 34690 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.525%, 3/20/67 | 737865 | 735653 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.503%, 5/20/65 | 686482 | 680814 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 66000000 | 65534483 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 7/20/52 | 787961 | 790895 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, with due dates from 5/20/44 to 1/20/50 | 3349302 | 3376700 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.459%, 6/20/65 | 26279 | 26059 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.392%, 8/20/65 | 31713 | 31429 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.382%, 5/20/65 | 32492 | 32193 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.371%, 5/20/67 | 310278 | 310293 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.351%, 6/20/65 | 20146 | 19930 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 50000000 | 48589415 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, with due dates from 2/20/48 to 3/20/50 | 3795439 | 3724286 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 44000000 | 41638014 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 11/15/42 to 3/20/50 | 17438341 | 16648716 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 2/1/53 | 73000000 | 67063970 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 3/20/43 to 2/20/50 | 2734037 | 2516826 |
|  |  | **262328263** |
| **U.S. Government Agency Mortgage Obligations (94.9%)** | **U.S. Government Agency Mortgage Obligations (94.9%)** | **U.S. Government Agency Mortgage Obligations (94.9%)** |
| Federal Home Loan Mortgage Corporation Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 3/1/41 to 7/1/52 | 1150346 | 1161557 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, with due dates from 7/1/44 to 11/1/49 | 571427 | 584050 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, with due dates from 12/1/44 to 7/1/49 | 3122707 | 3109858 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 4/1/42 to 11/1/47 | 3078478 | 2954635 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 10/1/46 | 1336564 | 1243105 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, with due dates from 4/1/43 to 2/1/51 | 426226 | 380149 |
| Federal National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, with due dates from 2/1/36 to 5/1/41 | 1382349 | 1465301 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, with due dates from 1/1/33 to 2/1/35 | 214193 | 222362 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 7/1/52 to 9/1/52 | 4872791 | 4923832 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 7/1/52 to 7/1/52 | 1961531 | 1974418 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 3/1/40 to 8/1/49 | 2461714 | 2514187 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, with due dates from 7/1/44 to 11/1/49 | 2573316 | 2605470 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 1/1/57 | 3523813 | 3436411 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, with due dates from 8/1/44 to 11/1/49 | 3650871 | 3621396 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 9/1/57 | 6174399 | 5823222 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 5/1/56 to 6/1/56 | 2881751 | 2731356 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 5/1/42 to 5/1/52 | 10200693 | 9751455 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 6/1/31 | 245504 | 242222 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, with due dates from 9/1/42 to 3/1/47 | 9663476 | 8999969 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, with due dates from 12/1/47 to 5/1/51 | 4126539 | 3667252 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 3/1/53 | 77000000 | 78961098 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 2/1/53 | 77000000 | 79111486 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 3/1/53 | 53000000 | 53801239 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 2/1/53 | 127000000 | 129024126 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 3/1/53 | 228000000 | 228774836 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 2/1/53 | 521000000 | 523075873 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 130000000 | 128405472 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 23000000 | 22202188 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 8000000 | 7508125 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 2/1/53 | 88000000 | 77020583 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 2/1/53 | 108000000 | 90898923 |
|  |  | **1480196156** |
| **Total U.S. government and agency mortgage obligations (cost $1,729,586,587)** | **Total U.S. government and agency mortgage obligations (cost $1,729,586,587)** | **$1742524419** |

---

------

---

| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (34.1%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (34.1%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (34.1%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Agency collateralized mortgage obligations (9.2%)** | **Agency collateralized mortgage obligations (9.2%)** | **Agency collateralized mortgage obligations (9.2%)** |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 7.851%, 4/15/37 | $274352 | $345354 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 6.483%, 3/15/35 | 203276 | 225860 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5170, Class IC, IO, 4.50%, 8/25/50 | 3235335 | 685470 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4132, Class IP, IO, 4.50%, 11/15/42 | 919324 | 102597 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 | 328496 | 21512 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5184, Class IO, IO, 4.00%, 1/25/52 | 2780774 | 522480 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5168, Class CI, IO, 4.00%, 11/25/51 | 3457734 | 686986 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 3836276 | 686433 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 | 2993529 | 542083 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 | 2694432 | 405168 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 | 2080661 | 249033 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4176, Class DI, IO, 3.00%, 12/15/42 | 5158388 | 351930 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4171, Class NI, IO, 3.00%, 6/15/42 | 2113899 | 206872 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4201, Class JI, IO, 3.00%, 12/15/41 | 2579992 | 112585 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4738, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 12/15/47 | 11388176 | 1355373 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4461, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 4/15/45 | 10293450 | 1199873 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 8/15/56 | 15236353 | 1895555 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4596, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 6/15/46 | 11317102 | 847425 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4077, Class HS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 7/15/42 | 5810294 | 592627 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4839, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.591%, 6/15/42 | 8278875 | 402022 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4912, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 9/25/49 | 6639538 | 669850 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4994, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.094%, 2/25/49 | 30926290 | 2180613 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 | 4053 | 3286 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3391, PO, zero %, 4/15/37 | 41649 | 34582 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3210, PO, zero %, 5/15/36 | 2176 | 2113 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 | 8960 | 8171 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 12.865%, 7/25/36 | 125848 | 181509 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 8.045%, 3/25/36 | 122353 | 134999 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 6.152%, 12/25/35 | 172625 | 207962 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-33, Class AI, IO, 5.00%, 6/25/45 | 10562744 | 1737412 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest Strip Ser. 409, Class C24, IO, 4.50%, 4/25/42 | 4167479 | 777877 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 18-3, Class AI, IO, 4.50%, 12/25/47 | 8825497 | 1451706 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 17-87, Class IA, IO, 4.50%, 11/25/47 | 17503931 | 3143181 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 17-72, Class ID, IO, 4.50%, 9/25/47 | 14561954 | 2617220 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-3, Class BI, IO, 4.00%, 3/25/44 | 80713 | 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-62, Class EI, IO, 4.00%, 4/25/41 | 345745 | 6472 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 17-12, IO, 3.50%, 3/25/47 | 2533144 | 465393 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 | 1142322 | 177563 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-128, Class QI, IO, 3.50%, 6/25/42 | 2505344 | 158662 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-84, Class KI, IO, 3.00%, 12/25/51 | 3900598 | 625094 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 | 1275507 | 160321 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 2305404 | 293278 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-144, Class KI, IO, 3.00%, 11/25/42 | 2213040 | 165279 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 | 976898 | 37832 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 | 1444237 | 37729 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-67, Class IP, IO, 3.00%, 2/25/42 | 928914 | 19861 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 | 77880 | 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 | 258740 | 1461 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-12, Class NI, IO, 2.50%, 3/25/51 | 27127701 | 4135889 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 14-87, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.744%, 1/25/45 | 9878640 | 835436 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-44, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.694%, 6/25/48 | 18215506 | 2043598 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-29, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.694%, 5/25/48 | 9106685 | 1021679 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-1, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.644%, 2/25/48 | 5592841 | 620470 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-3, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 2/25/49 | 16452381 | 1383645 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-94, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 1/25/49 | 3554116 | 273446 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 17-33, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 5/25/39 | 3401882 | 299264 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 3/25/50 | 30620310 | 3382626 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-59, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 10/25/49 | 11101116 | 1186472 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 3/25/46 | 21047281 | 2281334 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 19-74, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.494%, 12/25/49 | 25047871 | 2854231 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-71, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.494%, 11/25/49 | 7633529 | 1259418 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-57, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.494%, 10/25/49 | 20437173 | 2525402 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 01-50, Class B1, IO, 0.395%, 10/25/41***<sup>(WAC)</sup>*** | 139790 | 699 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trust FRB Ser. 05-W4, Class 1A, IO, 0.063%, 8/25/45***<sup>(WAC)</sup>*** | 37575 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 03-34, PO, zero %, 4/25/43 | 67027 | 60994 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 | 42763 | 35818 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37 | 2365 | 1985 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 | 4018 | 3269 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 | 3448 | 3071 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 | 3625990 | 500822 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-180, IO, 5.00%, 12/20/44 | 7459213 | 1511684 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-76, IO, 5.00%, 5/20/44 | 1968291 | 392304 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 609554 | 125706 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 5469984 | 1121347 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 2557991 | 524695 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-83, IO, 4.50%, 6/20/49 | 9948514 | 1740592 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-13, Class BI, IO, 4.50%, 1/20/45 | 10823578 | 2106817 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 868329 | 151654 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-71, Class BI, IO, 4.50%, 5/20/29 | 1196798 | 39925 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-46, Class MI, IO, 4.00%, 4/20/50 | 18417358 | 3032487 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 | 5278312 | 856881 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 7116543 | 1304463 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 | 1976037 | 324430 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 1909939 | 325394 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 | 14154845 | 2460536 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H02, Class EI, IO, 3.876%, 1/20/68***<sup>(WAC)</sup>*** | 9606562 | 492336 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-158, Class PI, IO, 3.50%, 12/20/49 | 3952931 | 641284 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-151, Class NI, IO, 3.50%, 10/20/49 | 18097589 | 2609218 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-136, IO, 3.50%, 11/20/42 | 6319390 | 883791 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 8123867 | 1332833 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 | 1275573 | 59600 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 2424604 | 174571 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 | 3520655 | 210979 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-186, Class DI, IO, 3.00%, 12/20/50 | 4875200 | 688707 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-30, Class KI, IO, 3.00%, 2/16/29 | 1245101 | 54037 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-5, Class LI, IO, 3.00%, 1/16/29 | 1289350 | 56602 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-164, Class CI, IO, 3.00%, 11/16/28 | 2526701 | 115218 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H05, Class AI, IO, 2.829%, 2/20/68***<sup>(WAC)</sup>*** | 12698142 | 704350 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-151, Class MI, IO, 2.50%, 10/20/50 | 31366518 | 4165787 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 10-9, Class YD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.80%), 2.341%, 1/16/40 | 6908234 | 937126 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H08, Class NI, IO, 2.14%, 3/20/67***<sup>(WAC)</sup>*** | 8308262 | 289958 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H11, Class HI, IO, 2.089%, 1/20/66***<sup>(WAC)</sup>*** | 20324689 | 721047 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H10, Class MI, IO, 1.817%, 4/20/67***<sup>(WAC)</sup>*** | 11137524 | 357515 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-142, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 9/20/50 | 30165279 | 4151707 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-112, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 8/20/50 | 1661651 | 224838 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H23, Class BI, IO, 1.812%, 11/20/67***<sup>(WAC)</sup>*** | 12417773 | 653174 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H12, Class AI, IO, 1.785%, 5/20/65***<sup>(WAC)</sup>*** | 16998642 | 722442 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H12, Class GI, IO, 1.769%, 5/20/65***<sup>(WAC)</sup>*** | 20902024 | 982395 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H20, Class AI, IO, 1.757%, 8/20/65***<sup>(WAC)</sup>*** | 15990672 | 681203 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 2/20/49 | 16165539 | 1779118 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H10, Class CI, IO, 1.744%, 4/20/65***<sup>(WAC)</sup>*** | 17939737 | 846756 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 14-131, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 9/16/44 | 9496960 | 1468496 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-98, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.714%, 7/20/50 | 29060371 | 3564510 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 12-149, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.714%, 12/20/42 | 8990932 | 902960 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-123, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.664%, 10/20/49 | 15609283 | 985092 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 18-168, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.664%, 12/20/48 | 18787505 | 2055541 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 18-148, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 2/16/46 | 11517616 | 1181643 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H12, Class EI, IO, 1.63%, 4/20/65***<sup>(WAC)</sup>*** | 17017832 | 684117 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-32, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 3/20/50 | 15922134 | 1815220 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-11, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 1/20/50 | 33460093 | 3238937 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-83, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 7/20/49 | 11623089 | 1138714 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-83, Class SW, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 7/20/49 | 16453651 | 1707066 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-65, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 5/20/49 | 7455302 | 697741 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 18-155, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 11/20/48 | 8507554 | 848177 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-119, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.591%, 9/16/49 | 19575368 | 3076751 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-55, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 4/20/50 | 43030294 | 3997084 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-125, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 10/20/49 | 4131780 | 623121 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-34, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 10/20/49 | 17144765 | 1661576 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-108, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 8/20/49 | 12097357 | 1289579 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-44, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 4/20/49 | 9626870 | 774173 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-30, Class SH, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 3/20/49 | 14224676 | 1395681 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-21, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 2/20/49 | 6801678 | 572702 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class AI, IO, 1.535%, 9/20/65***<sup>(WAC)</sup>*** | 14289392 | 514418 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-47, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.514%, 2/20/49 | 38054778 | 3615204 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-121, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.514%, 10/20/49 | 2934021 | 428887 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H17, Class CI, IO, 1.494%, 6/20/65***<sup>(WAC)</sup>*** | 9948455 | 181778 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H01, Class CI, IO, 1.49%, 12/20/64***<sup>(WAC)</sup>*** | 8892888 | 193278 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H12, Class QI, IO, 1.471%, 5/20/67***<sup>(WAC)</sup>*** | 11949836 | 456185 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H11, Class GI, IO, 1.435%, 6/20/64***<sup>(WAC)</sup>*** | 28937761 | 1087163 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H07, Class BI, IO, 1.413%, 5/20/64***<sup>(WAC)</sup>*** | 24254729 | 955223 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-H19, Class GI, IO, 1.365%, 8/20/60***<sup>(WAC)</sup>*** | 11565828 | 404341 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 10-31, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.75%), 1.264%, 3/20/40 | 10257306 | 897514 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H14, Class EI, IO, 0.981%, 6/20/67***<sup>(WAC)</sup>*** | 14104211 | 462890 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H18, Class CI, IO, 0.568%, 9/20/67***<sup>(WAC)</sup>*** | 8281017 | 658431 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H23, Class NI, IO, 0.36%, 10/20/66***<sup>(WAC)</sup>*** | 24133409 | 979816 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H24, Class JI, IO, 0.301%, 11/20/66***<sup>(WAC)</sup>*** | 9609967 | 486633 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 11-70, Class YI, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.00%), 0.15%, 12/20/40 | 3745254 | 11760 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-H16, Class XI, IO, 0.115%, 7/20/65***<sup>(WAC)</sup>*** | 13656814 | 684206 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H26, Class DI, IO, 0.077%, 10/20/65***<sup>(WAC)</sup>*** | 12727615 | 482822 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class CI, IO, 0.042%, 10/20/65***<sup>(WAC)</sup>*** | 12875673 | 493138 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H04, Class AI, IO, 0.023%, 12/20/64***<sup>(WAC)</sup>*** | 17066378 | 520469 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H27, Class BI, IO, 0.022%, 12/20/66***<sup>(WAC)</sup>*** | 6173150 | 204702 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H02, Class HI, IO, 0.02%, 1/20/66***<sup>(WAC)</sup>*** | 26068508 | 823764 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-H02, Class GI, IO, zero %, 1/20/70***<sup>(WAC)</sup>*** | 22088688 | 1043292 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-H14, Class IB, IO, zero %, 8/20/69***<sup>(WAC)</sup>*** | 17133873 | 758531 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-H02, Class DI, IO, zero %, 11/20/68***<sup>(WAC)</sup>*** | 14387191 | 668362 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H17, Class GI, IO, zero %, 10/20/68***<sup>(WAC)</sup>*** | 16527631 | 715245 |
|  |  | **143409241** |
| **Commercial mortgage-backed securities (15.1%)** | **Commercial mortgage-backed securities (15.1%)** | **Commercial mortgage-backed securities (15.1%)** |
| ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class A, 5.665%, 6/15/36 | 468000 | 456906 |
| AREIT CRE Trust 144A FRB Ser. 20-CRE4, Class D, 7.60%, 4/15/37 | 5659000 | 5390198 |
| AREIT Trust 144A FRB Ser. 19-CRE3, Class A, 5.867%, 9/14/36 | 877611 | 864564 |
| AREIT, LLC 144A FRB Ser. 22-CRE7, Class A, 6.725%, 6/17/39 | 4729000 | 4669888 |
| Banc of America Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-UB10, Class C, 4.838%, 7/15/49***<sup>(WAC)</sup>*** | 3113000 | 2842742 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-UBS7, Class B, 4.339%, 9/15/48***<sup>(WAC)</sup>*** | 4306000 | 3946178 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49***<sup>(WAC)</sup>*** | 134445 | 1 |
| BANK |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-BN26, Class XA, IO, 1.224%, 3/15/63***<sup>(WAC)</sup>*** | 34871417 | 2142545 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-BN13, Class XA, IO, 0.487%, 8/15/61***<sup>(WAC)</sup>*** | 191041489 | 4059632 |
| Barclays Commercial Mortgage Trust 144A Ser. 19-C5, Class D, 2.50%, 11/15/52 | 499000 | 322605 |
| BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 | 4200000 | 2136077 |
| BDS Ltd. 144A FRB Ser. 21-FL8, Class A, 5.39%, 1/18/36 (Cayman Islands) | 290073 | 282003 |
| BDS, Ltd. 144A FRB Ser. 21-FL10, Class A, 5.82%, 12/16/36 (Cayman Islands) | 337000 | 326048 |
| Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45***<sup>(WAC)</sup>*** | 40261 | 38852 |
| CD Commercial Mortgage Trust FRB Ser. 17-CD6, Class C, 4.232%, 11/13/50***<sup>(WAC)</sup>*** | 3594000 | 3106957 |
| CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 416000 | 300366 |
| CFCRE Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class D, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 333800 | 300353 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class E, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 3258000 | 2671560 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC19, Class XA, IO, 1.096%, 3/11/47***<sup>(WAC)</sup>*** | 58412711 | 424427 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC17, Class XA, IO, 0.988%, 11/10/46***<sup>(WAC)</sup>*** | 26754198 | 104588 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-CR1, Class C, 5.353%, 5/15/45***<sup>(WAC)</sup>*** | 215000 | 197800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-LC4, Class B, 4.934%, 12/10/44***<sup>(WAC)</sup>*** | 2189804 | 2185336 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47***<sup>(WAC)</sup>*** | 300000 | 274361 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR18, Class C, 4.747%, 7/15/47***<sup>(WAC)</sup>*** | 2758000 | 2603690 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-CR11, Class AM, 4.715%, 8/10/50***<sup>(WAC)</sup>*** | 949000 | 941569 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-COR3, Class C, 4.56%, 5/10/51***<sup>(WAC)</sup>*** | 5941000 | 4965009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-LC17, Class B, 4.49%, 10/10/47***<sup>(WAC)</sup>*** | 2308000 | 2204655 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS6, Class C, 4.436%, 12/10/47***<sup>(WAC)</sup>*** | 504000 | 467213 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS4, Class XA, IO, 1.087%, 8/10/47***<sup>(WAC)</sup>*** | 24458404 | 257562 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-LC15, Class XA, IO, 1.047%, 4/10/47***<sup>(WAC)</sup>*** | 58888562 | 482886 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC13, Class XA, IO, 0.956%, 8/10/46***<sup>(WAC)</sup>*** | 22579897 | 61406 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR19, Class XA, IO, 0.931%, 8/10/47***<sup>(WAC)</sup>*** | 19534389 | 199729 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-CR23, Class XA, IO, 0.862%, 5/10/48***<sup>(WAC)</sup>*** | 27802112 | 391418 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-LC17, Class XA, IO, 0.662%, 10/10/47***<sup>(WAC)</sup>*** | 15538284 | 131314 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-GC44, Class XA, IO, 0.639%, 8/15/57***<sup>(WAC)</sup>*** | 89725471 | 2570204 |
| COMM Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-CR1, Class D, 5.353%, 5/15/45***<sup>(WAC)</sup>*** | 1651000 | 1255081 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC13, Class D, 5.254%, 8/10/46***<sup>(WAC)</sup>*** | 720000 | 680760 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class E, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 1524000 | 1182462 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class D, 4.845%, 5/10/47***<sup>(WAC)</sup>*** | 233000 | 204966 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR19, Class D, 4.697%, 8/10/47***<sup>(WAC)</sup>*** | 2364000 | 2140261 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR14, Class D, 4.589%, 2/10/47***<sup>(WAC)</sup>*** | 2864000 | 2623284 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 1918000 | 390121 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR6, Class D, 4.045%, 3/10/46***<sup>(WAC)</sup>*** | 1683000 | 1262250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC6, Class E, 3.50%, 1/10/46 | 3735000 | 3690280 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-LC19, Class D, 2.867%, 2/10/48 | 4252000 | 3613481 |
| Credit Suisse Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41***<sup>(WAC)</sup>*** | 9821289 | 3604413 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 07-C2, Class AX, IO, 0.024%, 1/15/49***<sup>(WAC)</sup>*** | 6131561 | 61 |
| CSAIL Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C1, Class C, 4.258%, 4/15/50***<sup>(WAC)</sup>*** | 3716000 | 3261590 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-C17, Class XA, IO, 1.352%, 9/15/52***<sup>(WAC)</sup>*** | 59829870 | 3594956 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.758%, 4/15/50***<sup>(WAC)</sup>*** | 219000 | 148725 |
| CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.708%, 12/15/49***<sup>(WAC)</sup>*** | 98758059 | 2419572 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.355%, 8/10/44***<sup>(WAC)</sup>*** | 5285402 | 4677756 |
| FREMF Mortgage Trust 144A FRB Ser. 18-KF43, Class B, (ICE LIBOR USD 1 Month + 2.15%), 6.542%, 1/25/28 | 2579818 | 2417625 |
| GS Mortgage Securities Corp., II 144A Ser. 13-GC10, Class C, 4.285%, 2/10/46***<sup>(WAC)</sup>*** | 8700852 | 8616489 |
| GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC18, Class C, 5.055%, 1/10/47***<sup>(WAC)</sup>*** | 5144000 | 3497920 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47***<sup>(WAC)</sup>*** | 3264000 | 3115886 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC12, Class XA, IO, 1.295%, 6/10/46***<sup>(WAC)</sup>*** | 16315765 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC18, Class XA, IO, 1.022%, 1/10/47***<sup>(WAC)</sup>*** | 31719803 | 196663 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class XA, IO, 0.936%, 6/10/47***<sup>(WAC)</sup>*** | 64864321 | 496206 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC26, Class XA, IO, 0.935%, 11/10/47***<sup>(WAC)</sup>*** | 34650660 | 455483 |
| JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C15, Class C, 5.18%, 11/15/45***<sup>(WAC)</sup>*** | 7601000 | 7334912 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class C, 4.112%, 7/15/45***<sup>(WAC)</sup>*** | 337000 | 322935 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C25, Class XA, IO, 0.807%, 11/15/47***<sup>(WAC)</sup>*** | 23963224 | 260049 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class XA, IO, 0.799%, 9/15/47***<sup>(WAC)</sup>*** | 20414011 | 179313 |
| JPMBB Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C14, Class E, 4.548%, 8/15/46***<sup>(WAC)</sup>*** | 4371000 | 928838 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. C14, Class D, 4.548%, 8/15/46***<sup>(WAC)</sup>*** | 5853000 | 3108199 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C25, Class D, 3.935%, 11/15/47***<sup>(WAC)</sup>*** | 3567000 | 2227695 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C25, Class E, 3.332%, 11/15/47***<sup>(WAC)</sup>*** | 4818000 | 2978906 |
| JPMDB Commercial Mortgage Securities Trust FRB Ser. 19-COR6, Class XA, IO, 0.929%, 11/13/52***<sup>(WAC)</sup>*** | 68743203 | 3031665 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 | 2386269 | 2266383 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 4970000 | 4266251 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class XA, IO, 1.238%, 4/15/46***<sup>(WAC)</sup>*** | 21151132 | 1969 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class XA, IO, 0.867%, 12/15/47***<sup>(WAC)</sup>*** | 10224863 | 15205 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C16, Class XA, IO, 0.832%, 12/15/46***<sup>(WAC)</sup>*** | 33596729 | 103045 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class D, 5.525%, 2/15/46***<sup>(WAC)</sup>*** | 1395000 | 1029139 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class F, 5.525%, 2/15/46***<sup>(WAC)</sup>*** | 4436000 | 812773 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C6, Class E, 4.964%, 5/15/45***<sup>(WAC)</sup>*** | 2494000 | 1943075 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-LC9, Class D, 3.797%, 12/15/47***<sup>(WAC)</sup>*** | 621000 | 620671 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46***<sup>(WAC)</sup>*** | 2038000 | 957860 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-1MEM, Class E, 2.654%, 10/9/42***<sup>(WAC)</sup>*** | 5750000 | 3504543 |
| MF1 Multifamily Housing Mortgage Loan Trust 144A FRB Ser. 21-FL5, Class A, 5.447%, 7/15/36 | 424051 | 415408 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C27, Class C, 4.498%, 12/15/47***<sup>(WAC)</sup>*** | 4000000 | 3655938 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C16, Class B, 4.301%, 6/15/47***<sup>(WAC)</sup>*** | 289000 | 269770 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C21, Class C, 4.128%, 3/15/48***<sup>(WAC)</sup>*** | 300000 | 258798 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C26, Class XA, IO, 0.966%, 10/15/48***<sup>(WAC)</sup>*** | 32068966 | 508902 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class XA, IO, 0.547%, 10/15/46***<sup>(WAC)</sup>*** | 75347455 | 135746 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C5, Class E, 4.656%, 8/15/45***<sup>(WAC)</sup>*** | 508000 | 468741 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class D, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 3329000 | 234712 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class F, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 6212000 | 60878 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class E, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 4172000 | 1428493 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class F, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 2331000 | 475955 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C17, Class E, 3.50%, 8/15/47 | 2709000 | 1989652 |
| Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-UBS8, Class B, 4.315%, 12/15/48***<sup>(WAC)</sup>*** | 319000 | 277130 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-BNK2, Class XA, IO, 0.963%, 11/15/49***<sup>(WAC)</sup>*** | 23291776 | 639944 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-H4, Class XA, IO, 0.831%, 12/15/51***<sup>(WAC)</sup>*** | 55224071 | 2006992 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-H3, Class XA, IO, 0.821%, 7/15/51***<sup>(WAC)</sup>*** | 56300304 | 1694161 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-UB12, Class XA, IO, 0.652%, 12/15/49***<sup>(WAC)</sup>*** | 65800450 | 1311054 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.164%, 3/15/45***<sup>(WAC)</sup>*** | 1406000 | 1026099 |
| Multifamily Connecticut Avenue Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-01, Class M10, 8.256%, 3/25/50 | 3355000 | 3166261 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-01, Class M10, 7.756%, 10/25/49 | 8916434 | 8439563 |
| PFP, Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 22-9, Class A, 6.752%, 8/19/35 (Bermuda) | 287000 | 281260 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-7, Class AS, 5.609%, 4/14/38 (Cayman Islands) | 2999851 | 2889231 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-8, Class A, 5.454%, 8/9/37 (Cayman Islands) | 185265 | 178223 |
| Ready Capital Mortgage Financing, LLC 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 22-FL8, Class AS, 6.41%, 1/25/37 | 313000 | 311353 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-FL7, Class AS, 6.006%, 11/25/36 | 3900000 | 3772358 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)***<sup>(NON)</sup>*** | 1661295 | 17 |
| UBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50***<sup>(WAC)</sup>*** | 63632534 | 2291089 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C12, Class XA, IO, 0.777%, 8/15/51***<sup>(WAC)</sup>*** | 118800853 | 4042068 |
| UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class D, 6.633%, 5/10/45***<sup>(WAC)</sup>*** | 724790 | 647857 |
| UBS-Barclays Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-C2, Class F, 5.00%, 5/10/63***<sup>(WAC)</sup>*** | 2565000 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C6, Class B, 3.875%, 4/10/46***<sup>(WAC)</sup>*** | 2237000 | 2208141 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C6, Class E, 3.50%, 4/10/46 | 1319000 | 1285065 |
| UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.677%, 1/10/45***<sup>(WAC)</sup>*** | 244345 | 219470 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.342%, 11/15/48***<sup>(WAC)</sup>*** | 999170 | 311 |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.254%, 10/15/44***<sup>(WAC)</sup>*** | 2716079 | 2471088 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C46, Class C, 4.985%, 8/15/51***<sup>(WAC)</sup>*** | 412000 | 353253 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C57, Class C, 4.023%, 8/15/53***<sup>(WAC)</sup>*** | 2112000 | 1783119 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-C50, Class XA, IO, 1.412%, 5/15/52***<sup>(WAC)</sup>*** | 108694471 | 7141118 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C55, Class XA, IO, 1.298%, 2/15/53***<sup>(WAC)</sup>*** | 64989777 | 4218571 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-C41, Class XA, IO, 1.153%, 11/15/50***<sup>(WAC)</sup>*** | 79868093 | 3344157 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-LC16, Class XA, IO, 1.079%, 8/15/50***<sup>(WAC)</sup>*** | 48637157 | 456625 |
| Wells Fargo Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-C33, Class D, 3.123%, 3/15/59 | 4877000 | 3916002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C50, Class D, 3.00%, 5/15/52 | 9320000 | 6267641 |
| WF-RBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class C, 4.371%, 3/15/48***<sup>(WAC)</sup>*** | 227000 | 220974 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C21, Class C, 4.234%, 8/15/47***<sup>(WAC)</sup>*** | 1812000 | 1587147 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C22, Class XA, IO, 0.782%, 9/15/57***<sup>(WAC)</sup>*** | 27679545 | 254596 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C14, Class XA, IO, 0.646%, 6/15/46***<sup>(WAC)</sup>*** | 72415757 | 39923 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C23, Class XA, IO, 0.55%, 10/15/57***<sup>(WAC)</sup>*** | 54117455 | 366808 |
| WF-RBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46***<sup>(WAC)</sup>*** | 3873000 | 3706800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 11-C4, Class F, 5.00%, 6/15/44***<sup>(WAC)</sup>*** | 6151000 | 3849296 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 11-C3, Class E, 5.00%, 3/15/44***<sup>(WAC)</sup>*** | 1601000 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 11-C4, Class E, 4.845%, 6/15/44***<sup>(WAC)</sup>*** | 1776768 | 1383139 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C4, Class C, 4.845%, 6/15/44***<sup>(WAC)</sup>*** | 2768202 | 2661588 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C7, Class D, 4.806%, 6/15/45***<sup>(WAC)</sup>*** | 4142000 | 1582659 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class D, 4.392%, 12/15/45***<sup>(WAC)</sup>*** | 1105000 | 692721 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class E, 4.392%, 12/15/45***<sup>(WAC)</sup>*** | 3645000 | 997886 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C10, Class XA, IO, 1.151%, 12/15/45***<sup>(WAC)</sup>*** | 1920449 | 19 |
|  |  | **235646334** |
| **Residential mortgage-backed securities (non-agency) (9.8%)** | **Residential mortgage-backed securities (non-agency) (9.8%)** | **Residential mortgage-backed securities (non-agency) (9.8%)** |
| Arroyo Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-3, Class M1, 4.204%, 10/25/48***<sup>(WAC)</sup>*** | 3050000 | 2464978 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-1, Class A3, 3.328%, 3/25/55 | 150000 | 127057 |
| Bellemeade Re, Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-2A, Class B1, (ICE LIBOR USD 1 Month + 8.50%), 13.006%, 8/26/30 (Bermuda) | 1278000 | 1312143 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 7.856%, 10/25/27 (Bermuda) | 1355666 | 1356318 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 7.006%, 10/25/29 (Bermuda) | 4951848 | 4914590 |
| BRAVO Residential Funding Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-HE2, Class B1, (US 30 Day Average SOFR + 2.40%), 6.71%, 11/25/69 | 3000000 | 2730000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-RPL1, Class M1, 3.25%, 5/26/59***<sup>(WAC)</sup>*** | 5430000 | 4859746 |
| Bunker Hill Loan Depositary Trust 144A FRB Ser. 20-1, Class A3, 3.253%, 2/25/55***<sup>(WAC)</sup>*** | 2100000 | 1871047 |
| Cascade Funding Mortgage Trust 144A Ser. 21-HB6, Class M3, 3.735%, 6/25/36***<sup>(WAC)</sup>*** | 2000000 | 1818391 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 04-3A, Class A2, (ICE LIBOR USD 1 Month + 0.30%), 4.806%, 8/25/35 | 621198 | 573241 |
| Citigroup Mortgage Loan Trust 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 | 539504 | 533571 |
| COLT Funding, LLC 144A Ser. 21-1, Class B1, 3.144%, 6/25/66***<sup>(WAC)</sup>*** | 2996000 | 1813960 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A2, 3.094%, 3/25/65***<sup>(WAC)</sup>*** | 175000 | 165533 |
| Credit Suisse Mortgage Trust 144A FRB Ser. 20-RPL3, Class A1, 2.691%, 3/25/60***<sup>(WAC)</sup>*** | 72612 | 70896 |
| Deephaven Residential Mortgage Trust Ser. 22-3, Class A3, 5.30%, 7/25/67***<sup>(WAC)</sup>*** | 3506382 | 3442156 |
| Eagle Re, Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 3.00%), 7.506%, 11/25/28 | 1210000 | 1221371 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.206%, 11/25/28 (Bermuda) | 1755056 | 1749518 |
| Ellington Financial Mortgage Trust 144A FRB Ser. 20-1, Class A2, 3.149%, 5/25/65***<sup>(WAC)</sup>*** | 131000 | 123584 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 10.856%, 9/25/28 | 222747 | 235229 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (ICE LIBOR USD 1 Month + 5.15%), 9.656%, 10/25/29 | 2692000 | 2896182 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 12/25/28 | 115072 | 120042 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.206%, 4/25/28 | 94313 | 99107 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-HQA3, Class B1, (ICE LIBOR USD 1 Month + 4.45%), 8.956%, 4/25/30 | 250000 | 263500 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class B1, (ICE LIBOR USD 1 Month + 4.45%), 8.956%, 3/25/30 | 1290000 | 1358723 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M3, (ICE LIBOR USD 1 Month + 3.60%), 8.106%, 4/25/24 | 109723 | 112635 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58***<sup>(WAC)</sup>*** | 4560000 | 4103357 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 9.56%, 3/25/42 | 9206000 | 9194492 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B1, (ICE LIBOR USD 1 Month + 4.65%), 9.156%, 1/25/49 | 10684210 | 11294195 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B1, (ICE LIBOR USD 1 Month + 4.35%), 8.856%, 3/25/49 | 700000 | 732304 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class HQA2, (ICE LIBOR USD 1 Month + 4.10%), 8.606%, 4/25/49 | 806000 | 834398 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 8.406%, 9/25/48 | 1280000 | 1320699 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1B, (US 30 Day Average SOFR + 4.00%), 8.31%, 7/25/42 | 1000000 | 1019835 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.206%, 12/25/30 | 7040000 | 7180800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 7.606%, 3/25/50 | 51984 | 53195 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA2, Class B1, (ICE LIBOR USD 1 Month + 2.50%), 7.006%, 2/25/50 | 83000 | 79385 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA4, Class M2, (US 30 Day Average SOFR + 2.35%), 6.66%, 12/25/41 | 3732140 | 3384058 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-FTR2, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/48 | 928000 | 890445 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class M2, (ICE LIBOR USD 1 Month + 2.05%), 6.556%, 7/25/49 | 270814 | 270814 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 6.406%, 1/25/50 | 941669 | 939327 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA2, Class M2, (ICE LIBOR USD 1 Month + 1.85%), 6.356%, 2/25/50 | 1094040 | 1094040 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58***<sup>(WAC)</sup>*** | 3279000 | 2855257 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59***<sup>(WAC)</sup>*** | 2024000 | 1767186 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.256%, 8/25/28 | 28848 | 30658 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 10.006%, 9/25/29 | 233000 | 253897 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 9.806%, 10/25/28 | 65860 | 69157 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 9.356%, 10/25/29 | 2177000 | 2320772 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 9.006%, 12/25/30 | 331600 | 350769 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (ICE LIBOR USD 1 Month + 4.25%), 8.756%, 1/25/31 | 49000 | 51770 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C06, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 8.656%, 2/25/30 | 2480000 | 2590966 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/30 | 2975000 | 3096098 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 8.106%, 1/25/30 | 648000 | 663399 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 5.756%, 7/25/29 | 33537 | 33417 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 5/25/30 | 134211 | 133579 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (ICE LIBOR USD 1 Month + 5.75%), 10.256%, 7/25/29 | 61000 | 66817 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 18-R07, Class 1B1, (ICE LIBOR USD 1 Month + 4.35%), 8.856%, 4/25/31 | 4500000 | 4614430 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 8.656%, 8/25/31 | 1586000 | 1623002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 8.156%, 2/25/40 | 5000000 | 4951408 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 2M2, (ICE LIBOR USD 1 Month + 3.65%), 8.156%, 2/25/40 | 1600000 | 1591641 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.31%, 1/25/42 | 884000 | 859138 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 | 146939 | 147122 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 18-R07, Class 1M2, (ICE LIBOR USD 1 Month + 2.40%), 6.906%, 4/25/31 | 42669 | 42722 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/39 | 915175 | 908485 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 9/25/31 | 112848 | 112994 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 6.606%, 9/25/39 | 11372 | 11372 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 6.556%, 1/25/40 | 1585097 | 1587069 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 1/25/40 | 927440 | 924397 |
| Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 8/1/32***<sup>(WAC)</sup>*** | 4694674 | 4573058 |
| FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)***<sup>(NON)</sup>*** | 134710 | 13 |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 2054097 | 1890009 |
| GS Mortgage-Backed Securities Trust 144A FRB Ser. 20-RPL1, Class M2, 3.844%, 7/25/59***<sup>(WAC)</sup>*** | 1125000 | 937964 |
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.484%, 8/26/47***<sup>(WAC)</sup>*** | 3084298 | 2996572 |
| New York Mortgage Trust 144A Ser. 21-BPL1, Class A1, 2.239%, 5/25/26 | 3200000 | 2978317 |
| NRZ Excess Spread-Collateralized Notes 144A Ser. 20-PLS1, Class A, 3.844%, 12/25/25 | 843374 | 770761 |
| NYMT Loan Trust 144A Ser. 22-SP1, Class A1, 5.25%, 7/25/62 | 3411636 | 3283699 |
| Radnor Re, Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-1, Class M2, (ICE LIBOR USD 1 Month + 3.20%), 7.706%, 2/25/29 (Bermuda) | 5630000 | 5580342 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 7.206%, 3/25/28 (Bermuda) | 3022682 | 3051587 |
| RMF Proprietary Issuance Trust 144A Ser. 22-3, Class A, 4.00%, 8/25/62***<sup>(WAC)</sup>*** | 1903000 | 1480343 |
| Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 2.734%, 3/25/23***<sup>(WAC)</sup>*** | 4281764 | 4126310 |
| Towd Point Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-2, Class A2, 3.75%, 12/25/58***<sup>(WAC)</sup>*** | 327000 | 294667 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-6, Class M1, 3.75%, 4/25/55***<sup>(WAC)</sup>*** | 1102000 | 1070897 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-5, Class M1, 3.25%, 7/25/58***<sup>(WAC)</sup>*** | 209000 | 167694 |
| Verus Securitization Trust 144A Ser. 20-INV1, Class A3, 3.889%, 3/25/60***<sup>(WAC)</sup>*** | 1990000 | 1882414 |
| Visio Trust 144A Ser. 22-1, Class A2, 5.85%, 8/25/57 | 1829125 | 1735667 |
| Vista Point Securitization Trust 144A Ser. 20-1, Class A2, 2.77%, 3/25/65***<sup>(WAC)</sup>*** | 373119 | 368249 |
| WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR13, Class A1B2, (ICE LIBOR USD 1 Month + 0.86%), 5.366%, 10/25/45 | 889731 | 829291 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR13, Class A1C4, (ICE LIBOR USD 1 Month + 0.86%), 5.366%, 10/25/45 | 3002743 | 2798767 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR17, Class A1B2, (ICE LIBOR USD 1 Month + 0.82%), 5.326%, 12/25/45 | 1532744 | 1359698 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR2, Class 2A1B, (ICE LIBOR USD 1 Month + 0.74%), 5.246%, 1/25/45 | 320044 | 311467 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR17, Class A1B3, (ICE LIBOR USD 1 Month + 0.70%), 5.206%, 12/25/45 | 456040 | 412515 |
|  |  | **153182685** |
| **Total mortgage-backed securities (cost $604,802,265)** |  | **$532238260** |

---

------

---

| | | |
|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (25.7%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (25.7%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (25.7%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Basic materials (1.8%)** | **Basic materials (1.8%)** | **Basic materials (1.8%)** |
| Air Products & Chemicals, Inc. sr. unsec. notes 1.50%, 10/15/25 | $230000 | $213313 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 90000 | 85794 |
| Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 | 1734000 | 1690360 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 5050000 | 5115198 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 240000 | 206740 |
| CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 2501000 | 2276183 |
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 46000 | 45367 |
| Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 | 540000 | 483300 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 5.25%, 9/1/29 (Indonesia) | 485000 | 480771 |
| Georgia-Pacific, LLC 144A sr. unsec. notes 0.95%, 5/15/26 | 230000 | 204858 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.125%, 3/12/24 | 962000 | 950669 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 3176000 | 2691287 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 1.625%, 9/1/25 | 210000 | 192519 |
| Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29 | 490000 | 431274 |
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 2130000 | 1997309 |
| International Flavors & Fragrances, Inc. sr. unsec. bonds 5.00%, 9/26/48 | 380000 | 353387 |
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 775000 | 749325 |
| International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | 719000 | 595921 |
| International Flavors & Fragrances, Inc. 144A sr. unsec. unsub. notes 1.23%, 10/1/25 | 220000 | 197832 |
| International Paper Co. sr. unsec. bonds 5.00%, 9/15/35 | 405000 | 400531 |
| Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 90000 | 76968 |
| Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 280000 | 249900 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 | 180000 | 151920 |
| Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | 1366000 | 1324428 |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 220000 | 211271 |
| Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 1981000 | 1393556 |
| Westlake Corp. sr. unsec. notes 0.875%, 8/15/24 | 230000 | 215347 |
| Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 | 2894000 | 2768237 |
| WestRock Co. company guaranty sr. unsec. unsub. notes 3.75%, 3/15/25 | 240000 | 233743 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 1017000 | 1191734 |
| Weyerhaeuser Co. sr. unsec. unsub. bonds 3.375%, 3/9/33***<sup>(R)</sup>*** | 800000 | 703281 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 | 180000 | 167004 |
|  |  | **28049327** |
| **Capital goods (1.4%)** | **Capital goods (1.4%)** | **Capital goods (1.4%)** |
| Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 | 470000 | 457780 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 3883000 | 3396888 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | 2786000 | 2518470 |
| Boeing Co. (The) sr. unsec. notes 3.625%, 2/1/31 | 599000 | 548571 |
| Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 2330000 | 2154150 |
| Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 | 1715000 | 1227058 |
| Caterpillar, Inc. sr. unsec. sub. notes 2.60%, 9/19/29 | 583000 | 527474 |
| DP World Salaam jr. unsec. sub. FRN 6.00%, 1/1/26 (United Arab Emirates) | 310000 | 310000 |
| General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 6/1/31 | 615000 | 534201 |
| GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada) | 90000 | 80250 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) | 175000 | 155356 |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 5.90%, 2/1/27 | 90000 | 91575 |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 90000 | 78525 |
| Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 | 580000 | 567711 |
| L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 2000000 | 1945399 |
| Lockheed Martin Corp. sr. unsec. unsub. notes 3.90%, 6/15/32 | 546000 | 530229 |
| Northrop Grumman Corp. sr. unsec. notes 2.93%, 1/15/25 | 250000 | 241818 |
| Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 1283000 | 1218373 |
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 2182000 | 2125974 |
| Raytheon Technologies Corp. sr. unsec. notes 3.50%, 3/15/27 | 535000 | 519028 |
| Republic Services, Inc. sr. unsec. notes 0.875%, 11/15/25 | 270000 | 242990 |
| Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 | 200000 | 179500 |
| Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 | 90000 | 91337 |
| Waste Connections, Inc. sr. unsec. bonds 4.20%, 1/15/33 | 634000 | 615898 |
| Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 | 515000 | 461830 |
| Waste Connections, Inc. sr. unsec. notes 4.25%, 12/1/28 | 90000 | 88596 |
| Waste Management, Inc. company guaranty sr. unsec. notes 0.75%, 11/15/25 | 40000 | 36264 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 | 80000 | 81974 |
|  |  | **21027219** |
| **Communication services (2.5%)** | **Communication services (2.5%)** | **Communication services (2.5%)** |
| American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31***<sup>(R)</sup>*** | 1868000 | 1575015 |
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30***<sup>(R)</sup>*** | 3371000 | 2945213 |
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27***<sup>(R)</sup>*** | 350000 | 322569 |
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 4026000 | 3679501 |
| AT&T, Inc. sr. unsec. unsub. bonds 4.50%, 3/9/48 | 450000 | 394969 |
| AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 | 2117000 | 2080792 |
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 2102000 | 1699619 |
| AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | 1754000 | 1744633 |
| AT&T, Inc. sr. unsec. unsub. notes 1.65%, 2/1/28 | 340000 | 298049 |
| Bell Canada (The) company guaranty sr. unsec. unsub. bonds 2.15%, 2/15/32 (Canada) | 625000 | 510741 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 | 175000 | 163406 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 5.05%, 3/30/29 | 303000 | 295218 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 1284000 | 1263129 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 | 549000 | 432312 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 1226000 | 1219699 |
| Comcast Corp. company guaranty sr. unsec. notes 3.30%, 2/1/27 | 1498000 | 1440200 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | 282000 | 261664 |
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 1276000 | 1214590 |
| Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28***<sup>(R)</sup>*** | 1078000 | 1028711 |
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27***<sup>(R)</sup>*** | 759000 | 724203 |
| Crown Castle, Inc. sr. unsec. sub. bonds 3.30%, 7/1/30***<sup>(R)</sup>*** | 2407000 | 2187996 |
| Crown Castle, Inc. sr. unsec. sub. notes 2.50%, 7/15/31***<sup>(R)</sup>*** | 655000 | 551120 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 170000 | 146519 |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29***<sup>(R)</sup>*** | 2668000 | 2415109 |
| Equinix, Inc. sr. unsec. sub. notes 1.45%, 5/15/26***<sup>(R)</sup>*** | 555000 | 497937 |
| Equinix, Inc. sr. unsec. sub. notes 1.00%, 9/15/25***<sup>(R)</sup>*** | 270000 | 243903 |
| Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 | 40000 | 38197 |
| Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) | 440000 | 379247 |
| T-Mobile USA, Inc. company guaranty sr. bonds 3.00%, 2/15/41 | 500000 | 372859 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 98000 | 91785 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 3844000 | 3697456 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 | 1779000 | 1554846 |
| Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31 | 856000 | 730636 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 310000 | 305768 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 | 2069000 | 1845148 |
|  |  | **38352759** |
| **Conglomerates (0.2%)** | **Conglomerates (0.2%)** | **Conglomerates (0.2%)** |
| General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 8.099%, perpetual maturity | 2517000 | 2508191 |
|  |  | **2508191** |
| **Consumer cyclicals (2.3%)** | **Consumer cyclicals (2.3%)** | **Consumer cyclicals (2.3%)** |
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 1503000 | 1414699 |
| Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) | 2220000 | 1940020 |
| Amazon.com, Inc. sr. unsec. unsub. bonds 2.70%, 6/3/60 | 788000 | 515920 |
| Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 | 3281000 | 2795233 |
| American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 925000 | 842740 |
| Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 | 210000 | 206590 |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 150000 | 146577 |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 2900000 | 2421546 |
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 2605000 | 2615298 |
| Dick's Sporting Goods, Inc. sr. unsec. notes 3.15%, 1/15/32 | 657000 | 537571 |
| Discovery Communications, LLC company guaranty sr. unsec. unsub. notes 4.90%, 3/11/26 | 250000 | 247924 |
| Dollar General Corp. sr. unsec. sub. notes 3.50%, 4/3/30 | 572000 | 527446 |
| General Motors Financial Co., Inc. sr. unsec. notes 6.40%, 1/9/33 | 4180000 | 4345167 |
| General Motors Financial Co., Inc. sr. unsec. sub. notes 2.75%, 6/20/25 | 490000 | 462367 |
| Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 856000 | 770094 |
| Global Payments, Inc. sr. unsec. notes 1.20%, 3/1/26 | 290000 | 257855 |
| Hyatt Hotels Corp. sr. unsec. notes 6.00%, 4/23/30 | 410000 | 422489 |
| iHeartCommunications, Inc. 144A company guaranty sr. notes 5.25%, 8/15/27 | 250000 | 223908 |
| Interpublic Group of Cos, Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 | 962000 | 795639 |
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 2843000 | 2804419 |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 90000 | 74288 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 90000 | 80856 |
| Moody's Corp. sr. unsec. notes 4.875%, 2/15/24 | 240000 | 239401 |
| Moody's Corp. sr. unsec. notes 3.25%, 1/15/28 | 1157000 | 1092641 |
| O'Reilly Automotive, Inc. sr. unsec. notes 4.35%, 6/1/28 | 530000 | 525825 |
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 230000 | 222961 |
| Paramount Global sr. unsec. notes 4.75%, 5/15/25 | 115000 | 114108 |
| Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 | 822000 | 762805 |
| S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 | 1742000 | 1543587 |
| S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 852000 | 679466 |
| S&P Global, Inc. 144A sr. unsec. unsub. notes 2.45%, 3/1/27 | 425000 | 395242 |
| Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29 | 175000 | 146197 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 | 255000 | 226976 |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 210000 | 185262 |
| Tapestry, Inc. sr. unsec. notes 4.125%, 7/15/27 | 552000 | 530781 |
| TJX Cos., Inc. (The) sr. unsec. notes 3.875%, 4/15/30 | 548000 | 529721 |
| Vulcan Materials Co. sr. unsec. unsub. bonds 4.70%, 3/1/48 | 385000 | 353479 |
| Walt Disney Co. (The) company guaranty sr. unsec. bonds 6.65%, 11/15/37 | 325000 | 383962 |
| Walt Disney Co. (The) company guaranty sr. unsec. notes 3.35%, 3/24/25 | 330000 | 321642 |
| Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 | 3209000 | 2855866 |
|  |  | **35558568** |
| **Consumer staples (1.1%)** | **Consumer staples (1.1%)** | **Consumer staples (1.1%)** |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 90000 | 82785 |
| Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 | 290000 | 283391 |
| Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31 | 505000 | 407217 |
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 2191000 | 2101249 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | 583000 | 678014 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 830000 | 845384 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 | 1310000 | 1276331 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. bonds 3.20%, 5/1/30 | 1282000 | 1158689 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 | 63000 | 62520 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 | 1426000 | 1363404 |
| Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 | 3870000 | 3770171 |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 180000 | 165559 |
| Netflix, Inc. sr. unsec. notes 5.875%, 2/15/25 | 90000 | 91313 |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 435000 | 433369 |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 957000 | 992820 |
| Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | 3265000 | 3240937 |
| Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 | 98000 | 96785 |
| Unilever Capital Corp. company guaranty sr. unsec. unsub. bonds 5.90%, 11/15/32 (Netherlands) | 477000 | 533711 |
|  |  | **17583649** |
| **Energy (1.8%)** | **Energy (1.8%)** | **Energy (1.8%)** |
| Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 80000 | 69860 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 | 1000000 | 1009637 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 1181000 | 1189895 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 | 90000 | 80744 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 1388000 | 1158744 |
| Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 | 3575000 | 3401516 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. notes 2.268%, 11/15/26 | 89000 | 79106 |
| DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 | 155000 | 157312 |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | 2402000 | 2272358 |
| DT Midstream, Inc. 144A sr. bonds 4.30%, 4/15/32 | 906000 | 832278 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 249000 | 244020 |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 | 90000 | 87975 |
| EQT Corp. sr. unsec. notes 5.678%, 10/1/25 | 1482000 | 1483934 |
| EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | 80000 | 77550 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 240000 | 226016 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 90000 | 78823 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 90000 | 83813 |
| KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 4.75%, 4/19/27 (Kazakhstan) | 330000 | 306900 |
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 1543000 | 1465850 |
| Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 365000 | 368818 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 | 2490000 | 2754563 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 415000 | 436426 |
| ONEOK, Inc. company guaranty sr. unsec. notes 6.35%, 1/15/31 | 390000 | 414358 |
| ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | 1975000 | 2076769 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. notes 8.125%, 9/15/30 | 70000 | 79136 |
| Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 | 1357000 | 1267772 |
| Pertamina Persero PT sr. unsec. unsub. notes Ser. REGS, 2.30%, 2/9/31 (Indonesia) | 300000 | 244979 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 136000 | 130828 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 102000 | 84667 |
| Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 600000 | 586200 |
| Pioneer Natural Resources Co. sr. unsec. sub. notes 1.90%, 8/15/30 | 625000 | 512697 |
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 1268000 | 1270343 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 90000 | 84568 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 1965000 | 1836931 |
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) | 1038000 | 927713 |
| Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 | 810000 | 825212 |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 90000 | 87115 |
|  |  | **28295426** |
| **Financials (9.6%)** | **Financials (9.6%)** | **Financials (9.6%)** |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.40%, 10/29/33 (Ireland) | 495000 | 407995 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 3761000 | 3157770 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 4.50%, 9/15/23 (Ireland) | 2385000 | 2371857 |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 977000 | 943835 |
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 1083000 | 958218 |
| Air Lease Corp. sr. unsec. unsub. notes 4.25%, 9/15/24 | 155000 | 152482 |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 1515000 | 1668540 |
| American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24 | 345000 | 339062 |
| American International Group, Inc. sr. unsec. sub. notes 2.50%, 6/30/25 | 207000 | 196988 |
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 1806000 | 1449373 |
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 6952000 | 6539505 |
| Athene Global Funding 144A notes 2.55%, 11/19/30 | 495000 | 401184 |
| Athene Global Funding 144A notes 1.73%, 10/2/26 | 519000 | 453321 |
| Australia and New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) | 2345000 | 1808487 |
| Australia and New Zealand Banking Group, Ltd. 144A unsec. sub. notes 4.40%, 5/19/26 (Australia) | 240000 | 234761 |
| Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 5600000 | 5582091 |
| Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 | 3260000 | 2773039 |
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 4930000 | 4296170 |
| Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 | 3894000 | 3823720 |
| Bank of America Corp. unsec. sub. notes Ser. MTN, 4.00%, 1/22/25 | 950000 | 933633 |
| Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 1.85%, 5/1/25 (Canada) | 410000 | 384744 |
| Bank of Nova Scotia (The) sr. unsec. notes 1.30%, 6/11/25 (Canada) | 510000 | 470921 |
| Berkshire Hathaway, Inc. sr. unsec. unsub. notes 3.125%, 3/15/26 | 1710000 | 1660935 |
| BNP Paribas SA 144A jr. unsec. sub. FRN 4.625%, perpetual maturity (France) | 965000 | 789378 |
| BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) | 1168000 | 1138883 |
| BPCE SA 144A unsec. sub. FRB 3.648%, 1/14/37 (France) | 1077000 | 862205 |
| BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 3662000 | 3565597 |
| Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 | 2031000 | 1540084 |
| Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 | 440000 | 430544 |
| Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | 4210000 | 3843309 |
| Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 852000 | 782898 |
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 7580000 | 7436838 |
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 200000 | 199908 |
| Commonwealth Bank of Australia 144A unsec. sub. notes 4.50%, 12/9/25 (Australia) | 200000 | 196909 |
| Commonwealth Bank of Australia 144A unsec. sub. notes 2.688%, 3/11/31 (Australia) | 1100000 | 884366 |
| Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 | 1406000 | 1312277 |
| Credit Agricole SA 144A jr. unsec. sub. FRN 7.875%, perpetual maturity (France) | 440000 | 439560 |
| Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 5957000 | 5234258 |
| Credit Suisse Group AG 144A unsec. sub. notes 6.50%, 8/8/23 (Switzerland) | 520000 | 511628 |
| Danske Bank A/S 144A sr. unsec. FRN 3.244%, 12/20/25 (Denmark) | 200000 | 190179 |
| Deutsche Bank AG unsec. sub. FRB 4.875%, 12/1/32 (Germany) | 470000 | 419031 |
| Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | 3176000 | 3081085 |
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | 345000 | 304918 |
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.129%, 11/24/26 (Germany) | 450000 | 405961 |
| Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28***<sup>(R)</sup>*** | 3330000 | 3227027 |
| Discover Bank unsec. sub. FRN Ser. BKNT, 4.682%, 8/9/28 | 490000 | 470974 |
| EPR Properties sr. unsec. notes 3.60%, 11/15/31***<sup>(R)</sup>*** | 630000 | 487038 |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 2898000 | 2814834 |
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | 310000 | 305074 |
| Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | 1327000 | 834827 |
| Fifth Third Bancorp sr. unsec. sub. notes 2.375%, 1/28/25 | 310000 | 295751 |
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 3271000 | 3428755 |
| Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 | 280000 | 277530 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4.00%, 1/15/31***<sup>(R)</sup>*** | 475000 | 419438 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 700000 | 699286 |
| Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 | 2330000 | 2026168 |
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 2805000 | 2704753 |
| Goldman Sachs Group, Inc. (The) sr. unsec. notes 3.50%, 4/1/25 | 930000 | 902773 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 | 1112000 | 967172 |
| Intercontinental Exchange, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 12/1/25 | 260000 | 255043 |
| Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 1953000 | 1453479 |
| Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 | 982000 | 773026 |
| Intercontinental Exchange, Inc. sr. unsec. notes 3.65%, 5/23/25 | 533000 | 524902 |
| Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | 3320000 | 2641587 |
| iStar, Inc. sr. unsec. notes 5.50%, 2/15/26***<sup>(R)</sup>*** | 330000 | 332211 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25***<sup>(R)</sup>*** | 2035000 | 2019738 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 5.606%, 5/15/47 | 1638000 | 1294020 |
| JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 1591000 | 1361657 |
| JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.083%, 4/22/26 | 1440000 | 1352378 |
| JPMorgan Chase & Co. unsec. sub. FRB 2.956%, 5/13/31 | 5040000 | 4372460 |
| KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 | 1322000 | 1222174 |
| Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) | 730000 | 724591 |
| Lloyds Banking Group PLC unsec. sub. FRB 3.369%, 12/14/46 (United Kingdom) | 3772000 | 2715113 |
| Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 3.875%, 3/15/24 | 260000 | 257124 |
| MassMutual Global Funding II 144A sr. notes 2.75%, 6/22/24 | 200000 | 194425 |
| Metropolitan Life Global Funding I 144A sr. notes 2.95%, 4/9/30 | 3092000 | 2790072 |
| Metropolitan Life Insurance Co. 144A unsec. sub. notes 7.80%, 11/1/25 | 1881000 | 2010943 |
| Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) | 370000 | 357859 |
| Morgan Stanley unsec. sub. notes Ser. GMTN, 4.35%, 9/8/26 | 5844000 | 5728984 |
| Morgan Stanley unsec. sub. notes Ser. MTN, 4.10%, 5/22/23 | 60000 | 59850 |
| MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. bonds 3.50%, 3/15/31 | 495000 | 346504 |
| NatWest Group PLC unsec. sub. notes 6.00%, 12/19/23 (United Kingdom) | 360000 | 361334 |
| PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 4305000 | 4162540 |
| Principal Life Global Funding II 144A company guaranty sr. unsub. notes 3.00%, 4/18/26 | 535000 | 504040 |
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 460000 | 457171 |
| SITE Centers Corp. sr. unsec. unsub. notes 4.70%, 6/1/27 | 455000 | 435016 |
| Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | 3082000 | 2650303 |
| Societe Generale SA 144A unsec. sub. notes 4.25%, 4/14/25 (France) | 200000 | 193765 |
| Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.15%, 6/12/25 (Canada) | 520000 | 478382 |
| Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 | 1306000 | 1251429 |
| UBS Group AG 144A sr. unsec. unsub. notes 4.125%, 9/24/25 (Switzerland) | 2098000 | 2054986 |
| UBS Group AG 144A jr. unsec. sub. FRN 4.375%, perpetual maturity (Switzerland) | 1403000 | 1150320 |
| UBS Group AG 144A sr. unsec. FRN 4.703%, 8/5/27 (Switzerland) | 617000 | 608994 |
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 3095000 | 2473380 |
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28***<sup>(R)</sup>*** | 1400000 | 1355658 |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27***<sup>(R)</sup>*** | 1071000 | 989545 |
| Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | 1567000 | 1444578 |
| Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) | 390000 | 374353 |
| Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | 1048000 | 912222 |
| Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 1271000 | 915070 |
|  |  | **150001073** |
| **Health care (1.1%)** | **Health care (1.1%)** | **Health care (1.1%)** |
| AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 | 440000 | 431552 |
| Amgen, Inc. sr. unsec. sub. notes 3.20%, 11/2/27 | 445000 | 421296 |
| Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 | 80000 | 54600 |
| Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 | 90000 | 57854 |
| Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 | 1524000 | 1482068 |
| Biogen, Inc. sr. unsec. sub. notes 2.25%, 5/1/30 | 560000 | 474785 |
| Bristol-Myers Squibb Co. sr. unsec. sub. notes 0.75%, 11/13/25 | 32000 | 29037 |
| CVS Health Corp. sr. unsec. notes 1.30%, 8/21/27 | 692000 | 600245 |
| CVS Health Corp. sr. unsec. unsub. notes 4.30%, 3/25/28 | 445000 | 437465 |
| CVS Health Corp. sr. unsec. unsub. notes 3.875%, 7/20/25 | 420000 | 411449 |
| DH Europe Finance II SARL company guaranty sr. unsec. notes 2.60%, 11/15/29 (Luxembourg) | 2156000 | 1935062 |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 | 80000 | 78096 |
| GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 | 1485000 | 1538612 |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 300000 | 300351 |
| HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 | 1234000 | 1213967 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 155000 | 155913 |
| HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 40000 | 35853 |
| Humana, Inc. sr. unsec. unsub. bonds 2.15%, 2/3/32 | 515000 | 418089 |
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 1975000 | 2061787 |
| Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 200000 | 182468 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) | 200000 | 184437 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 0.55%, 5/15/24 | 420000 | 398702 |
| Universal Health Services, Inc. company guaranty sr. notes 2.65%, 10/15/30 | 495000 | 417331 |
| Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 2227000 | 2175604 |
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 1504000 | 1273320 |
|  |  | **16769943** |
| **Technology (2.2%)** | **Technology (2.2%)** | **Technology (2.2%)** |
| Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 | 2413000 | 1485037 |
| Analog Devices, Inc. sr. unsec. notes 2.95%, 4/1/25 | 240000 | 232722 |
| Apple, Inc. sr. unsec. notes 3.00%, 11/13/27 | 4999000 | 4765229 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 1110000 | 1069533 |
| Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | 1747000 | 1629658 |
| Broadcom, Inc. company guaranty sr. unsec. notes 4.75%, 4/15/29 | 425000 | 419498 |
| Broadcom, Inc. company guaranty sr. unsec. sub. notes 5.00%, 4/15/30 | 2698000 | 2668506 |
| Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 2374000 | 2179007 |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 180000 | 156600 |
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 1922000 | 1678472 |
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | 798000 | 766339 |
| Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 | 240000 | 239225 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 | 1685000 | 1288355 |
| Microsoft Corp. sr. unsec. unsub. bonds 3.45%, 8/8/36 | 198000 | 183272 |
| Microsoft Corp. sr. unsec. unsub. notes 2.375%, 5/1/23 | 340000 | 338237 |
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 812000 | 631129 |
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 3216000 | 2545362 |
| Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 | 1190000 | 1046753 |
| Oracle Corp. sr. unsec. notes 2.875%, 3/25/31 | 500000 | 430660 |
| Oracle Corp. sr. unsec. notes 2.50%, 4/1/25 | 230000 | 219295 |
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | 1591000 | 1450993 |
| salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 2377000 | 1639585 |
| salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 2175000 | 1553625 |
| salesforce.com, Inc. sr. unsec. notes 0.625%, 7/15/24 | 250000 | 236009 |
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 5214000 | 4425890 |
| ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 520000 | 410979 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 90000 | 78750 |
| VMware, Inc. sr. unsec. notes 1.40%, 8/15/26 | 520000 | 460467 |
| Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 | 40000 | 38650 |
| Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 | 710000 | 670069 |
|  |  | **34937906** |
| **Transportation (0.1%)** | **Transportation (0.1%)** | **Transportation (0.1%)** |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.45%, 1/29/26 | 507000 | 494808 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 1468000 | 1432689 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.95%, 3/10/25 | 200000 | 194292 |
|  |  | **2121789** |
| **Utilities and power (1.6%)** | **Utilities and power (1.6%)** | **Utilities and power (1.6%)** |
| AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | 130000 | 117200 |
| AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 2051000 | 1695677 |
| American Electric Power Co., Inc. sr. unsec. unsub. notes 1.00%, 11/1/25 | 260000 | 234131 |
| American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 944000 | 803586 |
| Berkshire Hathaway Energy Co. sr. unsec. notes 4.05%, 4/15/25 | 210000 | 207356 |
| Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 | 466000 | 405172 |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 90000 | 82372 |
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 1583000 | 1512677 |
| Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23 | 260000 | 258042 |
| Enbridge, Inc. company guaranty sr. unsec. notes 1.60%, 10/4/26 (Canada) | 230000 | 205532 |
| Energy Transfer LP company guaranty sr. unsec. notes 4.95%, 6/15/28 | 435000 | 432522 |
| Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 | 3674000 | 3505085 |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 1593000 | 1330442 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. notes 3.125%, 7/31/29 | 455000 | 415480 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | 2831000 | 2509194 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 3.95%, 2/15/27 | 270000 | 264602 |
| IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | 3314000 | 3064474 |
| Kinder Morgan, Inc. company guaranty sr. unsec. unsub. bonds 5.20%, 6/1/33 | 2420000 | 2411490 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 1378000 | 1334359 |
| NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 | 90000 | 70056 |
| Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | 1393000 | 1400857 |
| Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | 1200000 | 1001831 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 1147000 | 1060333 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 820000 | 792555 |
|  |  | **25115025** |
| **Total corporate bonds and notes (cost $438,022,020)** | **Total corporate bonds and notes (cost $438,022,020)** | **$400320875** |

---

------

---

| | | |
|:---|:---|:---|
| **COLLATERALIZED LOAN OBLIGATIONS (6.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (6.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (6.0%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | $250000 | $245692 |
| AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 2885000 | 2845848 |
| AIG CLO, LLC 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 | 250000 | 246401 |
| AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.915%, 4/22/34 | 250000 | 246318 |
| American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 5.71%, 11/2/30 (Cayman Islands) | 1200000 | 1192483 |
| Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/31 (Cayman Islands) | 3418000 | 3387426 |
| Ares LXI CLO, Ltd. 144A FRB Ser. 21-61A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 5.958%, 10/20/34 (Cayman Islands) | 1900000 | 1877751 |
| Ares LXIV CLO, Ltd. 144A FRB Ser. 22-64A, Class A1, (CME TERM SOFR 3 Month + 1.44%), 6.098%, 4/15/35 (Cayman Islands) | 2890000 | 2832469 |
| Battery Park CLO II, Ltd. 144A FRB Ser. 22-1A, Class A1, (CME TERM SOFR 3 Month + 2.21%), 6.39%, 10/20/35 | 400000 | 398472 |
| Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.065%, 11/22/34 (Cayman Islands) | 4714000 | 4598865 |
| BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 250000 | 245878 |
| Canyon Capital CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 7/15/31 (Cayman Islands) | 2500000 | 2469000 |
| CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 4363000 | 4310740 |
| CBAM CLO Management, Ltd. 144A FRB Ser. 18-5A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.812%, 4/17/31 (Cayman Islands) | 250000 | 246875 |
| Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.785%, 7/27/30 (Cayman Islands) | 6045837 | 5981866 |
| CIFC Funding, Ltd. 144A FRB Ser. 21-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 5.766%, 10/24/30 (Cayman Islands) | 937000 | 927240 |
| Elmwood CLO 18, Ltd. 144A FRB Ser. 22-5A, Class A, (CME TERM SOFR 3 Month + 2.00%), 6.658%, 7/17/33 (Cayman Islands) | 474000 | 470377 |
| Gulf Stream Meridian 1, Ltd. 144A FRB Ser. 20-IA, Class A1, (ICE LIBOR USD 3 Month + 1.37%), 6.162%, 4/15/33 (Cayman Islands) | 2650000 | 2612511 |
| Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 5.992%, 7/15/34 (Cayman Islands) | 250000 | 246839 |
| LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/31 (Cayman Islands) | 5283000 | 5197986 |
| Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 6.215%, 10/22/30 (Cayman Islands) | 3900000 | 3829726 |
| Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 5.755%, 10/21/30 (Cayman Islands) | 5594628 | 5536740 |
| Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 6.112%, 4/15/32 (Cayman Islands) | 2076000 | 2044754 |
| Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 6.082%, 1/15/35 (Cayman Islands) | 250000 | 244465 |
| Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 1777000 | 1749616 |
| OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 7/20/32 (Cayman Islands) | 520000 | 512144 |
| Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 5.996%, 1/24/33 (Cayman Islands) | 2144000 | 2118236 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.606%, 5/15/32 (Cayman Islands) | 2362000 | 2281886 |
| Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.16%), 5.952%, 10/15/34 (Cayman Islands) | 1439000 | 1415186 |
| Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 250000 | 246237 |
| Saranac CLO VI, Ltd. 144A FRB Ser. 21-6A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 5.873%, 8/13/31 (Jersey) | 3425000 | 3370203 |
| Shackleton CLO, Ltd. 144A FRB Ser. 18-4RA, Class A1A, (ICE LIBOR USD 3 Month + 1.00%), 5.815%, 4/13/31 (Cayman Islands) | 3000000 | 2959143 |
| Sixth Street CLO XVI, Ltd. 144A FRB Ser. 20-16A, Class A1A, (ICE LIBOR USD 3 Month + 1.32%), 6.128%, 10/20/32 (Cayman Islands) | 250000 | 249026 |
| Sound Point CLO VIII-R, Ltd. 144A FRB Ser. 21-1RA, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/30 (Cayman Islands) | 207075 | 204133 |
| Sound Point CLO XVIII, Ltd. 144A FRB Ser. 18-4A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 5.928%, 1/21/31 (Cayman Islands) | 5575000 | 5486893 |
| Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 7/15/34 (Cayman Islands) | 2700000 | 2629222 |
| Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 3310000 | 3220752 |
| Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.942%, 7/15/32 (Cayman Islands) | 2200000 | 2156392 |
| Voya CLO, Ltd. 144A FRB Ser. 18-4A, Class A1RA, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 7/14/31 (Cayman Islands) | 346838 | 342871 |
| Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 7/17/31 | 2750000 | 2698600 |
| Wind River CLO, Ltd. 144A FRB Ser. 18-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.19%), 5.63%, 11/1/31 (Cayman Islands) | 2442000 | 2401768 |
| Zais CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.33%), 6.138%, 10/20/33 | 4406000 | 4331909 |
| Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.282%, 7/15/32 | 2858000 | 2818017 |
| **Total collateralized loan obligations (cost $93,174,885)** |  | **$93428956** |

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| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (1.8%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (1.8%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (1.8%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $2863400 | $2827607 |
| Mello Warehouse Securitization Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 7.756%, 11/25/55 | 5905000 | 5742613 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 11/25/55 | 4963000 | 4482373 |
| Mortgage Repurchase Agreement Financing Trust II 144A FRN Ser. 22-S1, Class A1, (US 30 Day Average SOFR + 2.00%), 6.228%, 3/30/25 | 150000 | 150000 |
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 5450000 | 5450000 |
| Securitized Term Auto Loan Receivables Trust 144A Ser. 19-CRTA, Class D, 4.572%, 3/25/26 (Canada) | 733706 | 701207 |
| Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 5.77%, 5/29/23 | 9167000 | 9167000 |
| **Total asset-backed securities (cost $28,597,335)** |  | **$28520800** |

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------

---

| | | | |
|:---|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) |  | $270000 | $210938 |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) |  | 288000 | 254193 |
| Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) |  | 530000 | 470375 |
| Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) |  | 200000 | 180902 |
| Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia) |  | 200000 | 176044 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d'lvoire) |  | 780000 | 754650 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | 420000 | 357184 |
| Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) |  | 460000 | 424254 |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) |  | 750000 | 750524 |
| Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama) |  | 290000 | 242513 |
| Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay) |  | 200000 | 175500 |
| Romania (Government of) sr. unsec. notes Ser. REGS, 3.00%, 2/14/31 (Romania) |  | 420000 | 345345 |
| Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) | EUR | 310000 | 297454 |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) |  | $920000 | 754278 |
| Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay) |  | 330000 | 332944 |
| **Total foreign government and agency bonds and notes (cost $6,291,156)** | **Total foreign government and agency bonds and notes (cost $6,291,156)** | **Total foreign government and agency bonds and notes (cost $6,291,156)** | **$5727098** |

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------

---

| | | |
|:---|:---|:---|
| **MUNICIPAL BONDS AND NOTES (0.2%)***<sup>(a)</sup>*** | **MUNICIPAL BONDS AND NOTES (0.2%)***<sup>(a)</sup>*** | **MUNICIPAL BONDS AND NOTES (0.2%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| CA State G.O. Bonds, (Build America Bonds), 7.50%, 4/1/34 | $770000 | $972573 |
| North TX, Tollway Auth. Rev. Bonds, (Build America Bonds), 6.718%, 1/1/49 | 675000 | 865865 |
| OH State U. Rev. Bonds, (Build America Bonds), 4.91%, 6/1/40 | 845000 | 875820 |
| **Total municipal bonds and notes (cost $2,293,721)** |  | **$2714258** |

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| | | |
|:---|:---|:---|
| **SENIOR LOANS (—%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (—%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (—%)***<sup>(a)(c)</sup>*** |
| | **Principal amount** | **Value** |
| Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.506%, 12/7/29 | $20000 | $20075 |
| **Total senior loans (cost $19,802)** |  | **$20075** |

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------

---

| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (24.5%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (24.5%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (24.5%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (24.5%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| ABN AMRO Funding USA, LLC commercial paper 4.367%, 2/13/23 |  | $6500000 | $6489365 |
| Australia and New Zealand Banking Group, Ltd. commercial paper 4.444, 2/21/23 (Australia) |  | 10000000 | 9973826 |
| Interest in $385,600,000 joint tri-party repurchase agreement dated 1/31/2023 with Royal Bank of Canada due 2/1/2023 - maturity value of $64,965,759 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.000% to 6.500% and due dates ranging from 2/28/2023 to 12/20/2052, valued at $393,359,048) |  | 64958000 | 64958000 |
| Liberty Street Funding, LLC asset-backed commercial paper 4.408%, 2/7/23 (Canada) |  | 10000000 | 9991308 |
| Manhattan Asset Funding Co., LLC asset-backed commercial paper 4.379%, 2/9/23 (Japan) |  | 10000000 | 9988805 |
| Mizuho Bank, Ltd./New York, NY commercial paper 4.374%, 2/6/23 |  | 9160000 | 9153205 |
| NRW.Bank commercial paper 4.444%, 2/21/23 (Germany) |  | 10000000 | 9974182 |
| Putnam Short Term Investment Fund Class P 4.58%***<sup>(AFF)</sup>*** | Shares | 170097316 | 170097316 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%***<sup>(P)</sup>*** | Shares | 46049000 | 46049000 |
| Svenska Handelsbanken AB commercial paper 4.422%, 2/16/23 (Sweden) |  | $2950000 | 2944128 |
| TotalEnergies Capital Canada, Ltd. commercial paper 4.377%, 2/8/23 (Canada) |  | 10000000 | 9990067 |
| U.S. Treasury Bills 4.410%, 2/23/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 12500000 | 12465988 |
| U.S. Treasury Bills 4.504%, 3/2/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 11600000 | 11558721 |
| U.S. Treasury Bills 4.480%, 3/9/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 9221000 | 9179804 |
| **Total short-term investments (cost $382,825,667)** |  |  | **$382813715** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $3,285,613,438)** |  |  | **$3188308456** |

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------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $364,700) (Unaudited)** |
|  | **Counterparty** | **Currency** | **Contract type\*** | **Delivery<br>date** | **Value** | **Aggregate face value** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** |
|  |  | Euro | Sell | 3/15/23 | $376380 | $364700 | $(11680) |
|  | **Unrealized appreciation** | **Unrealized appreciation** |  |  |  |  | **—** |
|  | **Unrealized (depreciation)** | **Unrealized (depreciation)** |  |  |  |  | **(11680)** |
|  | **Total** |  |  |  |  |  | **$(11680)** |
| \* | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. |

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------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| U.S. Treasury Bond 30 yr (Long) | 298 | $38702750 | $38702750 | &nbsp;&nbsp;&nbsp;Mar-23 | $1066221 |
| U.S. Treasury Bond Ultra 30 yr (Long) | 864 | 122472000 | 122472000 | &nbsp;&nbsp;&nbsp;Mar-23 | 5486219 |
| U.S. Treasury Note 2 yr (Long) | 618 | 127090735 | 127090735 | &nbsp;&nbsp;&nbsp;Mar-23 | 483555 |
| U.S. Treasury Note 5 yr (Long) | 1878 | 205156829 | 205156829 | &nbsp;&nbsp;&nbsp;Mar-23 | 1988607 |
| U.S. Treasury Note 10 yr (Long) | 1043 | 119439797 | 119439797 | &nbsp;&nbsp;&nbsp;Mar-23 | 1572578 |
| U.S. Treasury Note Ultra 10 yr (Long) | 653 | 79145641 | 79145641 | &nbsp;&nbsp;&nbsp;Mar-23 | 1363707 |
| **Unrealized appreciation** |  |  |  |  | **11960887** |
| **Unrealized (depreciation)** |  |  |  |  | **—** |
| **Total** |  |  |  |  | **$11960887** |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date** | **Expiration date/strike** | **Notional/<br>Contract amount** | **Premium receivable/<br>(payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | $144600800 | $(1662909) | $2540636 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | 144600800 | (1662909) | (1140900) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 | 123169700 | 1690504 | 1481731 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 96522000 | 7021975 | 920820 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 96522000 | 7021975 | 731637 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 | 61584900 | (2974551) | (2369171) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 41450200 | (2155410) | (180723) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 41450200 | (2113960) | (367249) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 | 40206700 | (2030438) | (133888) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 | 40206700 | (2030438) | (324066) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 38222600 | 2985185 | 267940 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 38222600 | 2985185 | 243096 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.6125)/US SOFR/Dec-41 (Written) | Dec-31/1.6125 | 36109900 | 2681160 | 1335344 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.6125/US SOFR/Dec-41 (Written) | Dec-31/1.6125 | 36109900 | 2681160 | (2221120) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.32/US SOFR/Oct-39 (Purchased) | Oct-29/3.32 | 33520700 | (2664896) | 36538 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.32)/US SOFR/Oct-39 (Purchased) | Oct-29/3.32 | 33520700 | (2664896) | (433423) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 | 30792400 | 480361 | 420932 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 | 21554700 | (1060183) | (840849) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 19218800 | (2503249) | 2656807 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 19218800 | (2503249) | (1666462) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 16558800 | (2458982) | 15731 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 16558800 | (2458982) | (634699) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 10940800 | (1617050) | (69255) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 10940800 | (1617050) | (334351) |
| **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.09)/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 41997900 | (3416529) | (117174) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.09/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 41997900 | (3416529) | (177231) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | 41524500 | (5030693) | 2206612 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | 41524500 | (5030693) | (2050895) |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 147213700 | (4799167) | 5627980 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 147213700 | (4799167) | (2853002) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 126213700 | (1682429) | 1716506 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 126213700 | (1682429) | (826700) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.703/US SOFR/Jul-33 (Purchased) | Jul-23/2.703 | 85436600 | (952367) | (146951) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.643/US SOFR/Jul-33 (Purchased) | Jul-23/2.643 | 85436600 | (952367) | (256310) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 | 49507100 | (566856) | (67330) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 | 49507100 | (566856) | (134659) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 | 41044100 | (496634) | (155968) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.84)/US SOFR/Jan-42 (Purchased) | Jan-32/1.84 | 38370100 | (5732493) | (242115) |
| &nbsp;&nbsp;&nbsp;&nbsp;1.84/US SOFR/Jan-42 (Purchased) | Jan-32/1.84 | 38370100 | (1592359) | (324995) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.887)/US SOFR/Jan-35 (Written) | Jan-25/1.887 | 29902800 | 513876 | 116322 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.25)/US SOFR/Jan-34 (Written) | Jan-24/2.25 | 29902800 | 389490 | 97184 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.947)/US SOFR/Jan-35 (Written) | Jan-25/1.947 | 29902800 | 513876 | 85522 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.311)/US SOFR/Jan-34 (Written) | Jan-24/2.311 | 29902800 | 389490 | 64590 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.285)/3 month USD-LIBOR-ICE/Mar-51 (Purchased) | Mar-41/2.285 | 27212800 | (2349825) | 292810 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.285/3 month USD-LIBOR-ICE/Mar-51 (Purchased) | Mar-41/2.285 | 27212800 | (2349825) | (334445) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.99)/US SOFR/Feb-42 (Purchased) | Feb-32/1.99 | 22986200 | (1810163) | 917839 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.99/US SOFR/Feb-42 (Purchased) | Feb-32/1.99 | 22986200 | (1810163) | (772796) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 18266500 | (1350351) | 2928485 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 18266500 | (1350351) | (1344414) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 15753700 | (1188617) | 2536503 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 15753700 | (1188617) | (1183418) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 15357200 | (2265187) | 568370 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 15357200 | (2265187) | (585109) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 7183900 | (523347) | 267959 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 7183900 | (523347) | (200574) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 7042000 | (527094) | 1102425 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 7042000 | (527094) | (524840) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 5702000 | (734133) | (14654) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 5702000 | (734133) | (453309) |
| **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.92/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 58363700 | (1275247) | 2367232 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.92)/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 58363700 | (1275247) | (1273496) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.41/US SOFR/May-57 (Purchased) | May-27/2.41 | 27456100 | (3124504) | (520842) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.41)/US SOFR/May-57 (Purchased) | May-27/2.41 | 27456100 | (4898168) | (602112) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 6678900 | (843211) | 868 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 6678900 | (843211) | (357188) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 62686100 | 1337565 | 1102022 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 62686100 | 1337565 | (2447892) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.031)/3 month USD-LIBOR-ICE/Feb-41 (Purchased) | Feb-31/2.031 | 56013300 | (3831310) | 3330551 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.031/3 month USD-LIBOR-ICE/Feb-41 (Purchased) | Feb-31/2.031 | 56013300 | (3831310) | (1824353) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.985)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) | Jan-31/1.985 | 40009500 | (2744652) | 2462585 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.985/3 month USD-LIBOR-ICE/Jan-41 (Purchased) | Jan-31/1.985 | 40009500 | (2744652) | (1339118) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 29559000 | (1908033) | 15075 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 29559000 | (1908033) | (463781) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 21881900 | (1843550) | (61488) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 21881900 | (1843550) | (191467) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 9726100 | 574813 | 331660 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 9726100 | 574813 | (561293) |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1175/US SOFR/Oct-57 (Purchased) | Oct-27/2.1175 | 50000000 | (3365000) | 249500 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 5702000 | (873546) | (24176) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 5702000 | (613535) | (393267) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | 1179600 | (134592) | (51018) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | 1179600 | (134592) | (78243) |
| **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 30040600 | (1571123) | 2046966 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 30040600 | (1571123) | (1030993) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 3001800 | (209376) | 122143 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 3001800 | (209376) | (79578) |
| **Unrealized appreciation** |  |  |  | **41208921** |
| **Unrealized (depreciation)** |  |  |  | **(34783350)** |
| **Total** |  |  |  | **$6425571** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $485,874,648) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $485,874,648) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $485,874,648) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $485,874,648) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Uniform Mortgage-Backed Securities, 6.00%, 2/1/53 | $77000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$79111486 |
| Uniform Mortgage-Backed Securities, 5.50%, 2/1/53 | 81000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82290978 |
| Uniform Mortgage-Backed Securities, 5.00%, 2/1/53 | 271000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;272079772 |
| Uniform Mortgage-Backed Securities, 4.50%, 2/1/53 | 2000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1975469 |
| Uniform Mortgage-Backed Securities, 3.50%, 2/1/53 | 25000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23462890 |
| Uniform Mortgage-Backed Securities, 3.00%, 2/1/53 | 32000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29044986 |
| **Total** |  |  | **$487965581** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;&nbsp;&nbsp;**Payments made<br>by fund** | &nbsp;&nbsp;**Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| $800000000 | $4504000 | $18605714 | 9/21/27 | &nbsp;&nbsp;&nbsp;&nbsp;3.30% — Annually | &nbsp;&nbsp;US SOFR — Annually | $23744521 |
| 600000000 | 10080000 | 2818653 | 9/21/24 | &nbsp;&nbsp;&nbsp;&nbsp;3.40% — Annually | &nbsp;&nbsp;US SOFR — Annually | 13455521 |
| **Upfront premium received** | **Upfront premium received** | **21424367** |  | **Unrealized appreciation** | **Unrealized appreciation** | **37200042** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **—** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **—** |
|  | **Total** | **$21424367** |  |  | &nbsp;&nbsp;**Total** | **$37200042** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $32836200 | $5232777 | $1375403 | 9/1/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(3919722) |
|  |  | 9000000 | 3048480 | (802207) | 3/1/52 | &nbsp;&nbsp;1.465% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 2265124 |
|  |  | 149706000 | 5458281 | 7233 | 12/23/23 | &nbsp;&nbsp;0.695% — Annually | US SOFR — Annually | 6067481 |
|  |  | 11819000 | 1046454 | 1016 | 12/23/26 | &nbsp;&nbsp;1.085% — Annually | US SOFR — Annually | 1089873 |
|  |  | 10552000 | 1547556 | (2745) | 12/23/31 | &nbsp;&nbsp;US SOFR — Annually | 1.285% — Annually | (1585814) |
|  |  | 100453000 | 29307163 | (178865) | 12/23/51 | &nbsp;&nbsp;US SOFR — Annually | 1.437% — Annually | (29807131) |
|  |  | 60378000 | 2200174 | (6144) | 12/24/23 | &nbsp;&nbsp;0.697% — Annually | US SOFR — Annually | 2406311 |
|  |  | 30500000 | 2689490 | (4083) | 12/24/26 | &nbsp;&nbsp;1.096% — Annually | US SOFR — Annually | 2780809 |
|  |  | 89191000 | 13083428 | (39816) | 12/24/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 13306207 |
|  |  | 60760000 | 17749819 | (32837) | 12/24/51 | &nbsp;&nbsp;1.435% — Annually | US SOFR — Annually | 17887010 |
|  |  | 10724000 | 2949100 | (1748) | 12/31/51 | &nbsp;&nbsp;1.525% — Annually | US SOFR — Annually | 2974760 |
|  |  | 25659000 | 2233359 | (3404) | 12/31/26 | &nbsp;&nbsp;US SOFR — Annually | 1.135% — Annually | (2311514) |
|  |  | 5755500 | 356150 ***<sup>(E)</sup>*** | (128) | 1/15/47 | &nbsp;&nbsp;1.724% — Annually | US SOFR — Annually | 356022 |
|  |  | 9319000 | 2290983 | (318) | 1/21/52 | &nbsp;&nbsp;1.679% — Annually | US SOFR — Annually | 2296784 |
|  |  | 28734000 | 7353605 | (980) | 1/19/52 | &nbsp;&nbsp;US SOFR — Annually | 1.626% — Annually | (7382408) |
|  |  | 15082000 | 3778644 | (514) | 2/1/52 | &nbsp;&nbsp;1.6545% — Annually | US SOFR — Annually | 3796592 |
|  |  | 10573700 | 855201 ***<sup>(E)</sup>*** | (361) | 2/13/57 | &nbsp;&nbsp;1.68% — Annually | US SOFR — Annually | 854840 |
|  |  | 36345700 | 7685298 | (1239) | 2/24/52 | &nbsp;&nbsp;US SOFR — Annually | 1.86% — Annually | (7697937) |
|  |  | 5893000 | 1350263 | (201) | 2/29/52 | &nbsp;&nbsp;1.7674% — Annually | US SOFR — Annually | 1361860 |
|  |  | 14992000 | 1691547 | (199) | 2/29/32 | &nbsp;&nbsp;US SOFR — Annually | 1.75% — Annually | (1714437) |
|  |  | 28705000 | 1980932 | (232) | 2/28/27 | &nbsp;&nbsp;1.675% — Annually | US SOFR — Annually | 2108130 |
|  |  | 34930000 | 1212071 | (132) | 2/29/24 | &nbsp;&nbsp;US SOFR — Annually | 1.47709% — Annually | (1431335) |
|  |  | 7804700 | 921111 | (103) | 3/7/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (917449) |
|  |  | 42663100 | 5502687 | (566) | 3/9/32 | &nbsp;&nbsp;1.5475% — Annually | US SOFR — Annually | 5691713 |
|  |  | 44234900 | 5726208 | (587) | 3/9/32 | &nbsp;&nbsp;1.5415% — Annually | US SOFR — Annually | 5930115 |
|  |  | 23320000 | 2663844 | (309) | 3/11/32 | &nbsp;&nbsp;1.737% — Annually | US SOFR — Annually | 2724776 |
|  |  | 262368000 | 6939634 | (989) | 4/7/24 | &nbsp;&nbsp;2.45% — Annually | US SOFR — Annually | 6837947 |
|  |  | 73776000 | 2931120 | (597) | 4/7/27 | &nbsp;&nbsp;US SOFR — Annually | 2.465% — Annually | (2894703) |
|  |  | 9862000 | 673180 | (131) | 4/7/23 | &nbsp;&nbsp;US SOFR — Annually | 2.3305% — Annually | (664088) |
|  |  | 16169000 | 2676778 | (551) | 4/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.1005% — Annually | (2690812) |
|  |  | 19619000 | 2350160 | (669) | 4/14/52 | &nbsp;&nbsp;US SOFR — Annually | 2.3395% — Annually | (2306735) |
|  |  | 3831000 | 211778 | (51) | 4/14/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4965% — Annually | (198624) |
|  |  | 15844000 | 619342 | (128) | 4/14/27 | &nbsp;&nbsp;2.483% — Annually | US SOFR — Annually | 582654 |
|  |  | 31791000 | 866941 | (120) | 4/14/24 | &nbsp;&nbsp;2.405% — Annually | US SOFR — Annually | 879750 |
|  |  | 59312200 | 1859437 | (560) | 5/2/27 | &nbsp;&nbsp;US SOFR — Annually | 2.685% — Annually | (1820179) |
|  |  | 73266300 | 1948151 | (276) | 5/25/24 | &nbsp;&nbsp;2.5945% — Annually | US SOFR — Annually | 2037273 |
|  |  | 17669000 | 1566534 | (603) | 5/25/52 | &nbsp;&nbsp;US SOFR — Annually | 2.501% — Annually | (1570368) |
|  |  | 3660800 | 201307 ***<sup>(E)</sup>*** | (125) | 5/28/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 201183 |
|  |  | 57507000 | 2023671 | (763) | 6/7/32 | &nbsp;&nbsp;US SOFR — Annually | 2.7565% — Annually | (1944008) |
|  |  | 14553000 | 951330 | (496) | 6/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.622% — Annually | (956319) |
|  |  | 170074100 | 5054602 | (2255) | 6/8/32 | &nbsp;&nbsp;US SOFR — Annually | 2.825% — Annually | (5018929) |
|  |  | 14414200 | 2579133 | (1809179) | 6/22/52 | &nbsp;&nbsp;2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 811469 |
|  |  | 53045000 | 1269367 | (200) | 6/10/24 | &nbsp;&nbsp;US SOFR — Annually | 2.833% — Annually | (1216933) |
|  |  | 44246000 | 1184465 | (358) | 6/10/27 | &nbsp;&nbsp;2.8025% — Annually | US SOFR — Annually | 1150014 |
|  |  | 353160000 | 6155579 | (1331) | 6/15/24 | &nbsp;&nbsp;US SOFR — Annually | 3.3385% — Annually | (5273974) |
|  |  | 177215500 | 2029117 | (1434) | 6/15/27 | &nbsp;&nbsp;3.185% — Annually | US SOFR — Annually | 1759177 |
|  |  | 63839800 | 1820711 | (904) | 2/3/33 | &nbsp;&nbsp;3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 1819807 |
|  |  | 48439000 | 1849401 | (642) | 7/15/32 | &nbsp;&nbsp;US SOFR — Annually | 2.723% — Annually | (1913449) |
|  |  | 42331800 | 3069902 | (1444) | 8/22/52 | &nbsp;&nbsp;2.5823% — Annually | US SOFR — Annually | 3195988 |
|  |  | 36155100 | 1978046 | (512) | 1/31/33 | &nbsp;&nbsp;2.545% — Annually | US SOFR — Annually | 1974978 |
|  |  | 36155100 | 1962499 | (512) | 1/31/33 | &nbsp;&nbsp;2.55% — Annually | US SOFR — Annually | 1959426 |
|  |  | 34053000 | 2006062 | (482) | 2/1/33 | &nbsp;&nbsp;2.495% — Annually | US SOFR — Annually | 2005580 |
|  |  | 65748000 | 4094785 | (872) | 8/2/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4275% — Annually | (4359174) |
|  |  | 33296300 | 2208544 | (471) | 2/1/33 | &nbsp;&nbsp;2.4075% — Annually | US SOFR — Annually | 2208072 |
|  |  | 6886700 | 219410 ***<sup>(E)</sup>*** | (135) | 4/1/42 | &nbsp;&nbsp;US SOFR — Annually | 2.63% — Annually | (219545) |
|  |  | 10807500 | 476503 ***<sup>(E)</sup>*** | (163) | 3/24/35 | &nbsp;&nbsp;US SOFR — Annually | 2.39% — Annually | (476665) |
|  |  | 9879100 | 738562 | (291) | 8/10/42 | &nbsp;&nbsp;2.645% — Annually | US SOFR — Annually | 772554 |
|  |  | 16744200 | 1348578 | (37331) | 8/10/42 | &nbsp;&nbsp;US SOFR — Annually | 2.605% — Annually | (1443135) |
|  |  | 6865200 | 566379 | (203) | 8/10/42 | &nbsp;&nbsp;2.5915% — Annually | US SOFR — Annually | 590407 |
|  |  | 109421000 | 2703793 ***<sup>(E)</sup>*** | (1029) | 2/6/29 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 2702764 |
|  |  | 55227000 | 2616655 | (729) | 8/16/32 | &nbsp;&nbsp;US SOFR — Annually | 2.613% — Annually | (2809576) |
|  |  | 8532300 | 164844 ***<sup>(E)</sup>*** | (189) | 1/15/47 | &nbsp;&nbsp;2.49% — Annually | US SOFR — Annually | 164655 |
|  |  | 43608000 | 690751 ***<sup>(E)</sup>*** | (850) | 11/29/38 | &nbsp;&nbsp;US SOFR — Annually | 2.87% — Annually | (691601) |
|  |  | 1325000 | 38200 | (17) | 8/25/32 | &nbsp;&nbsp;US SOFR — Annually | 2.8415% — Annually | (41582) |
|  |  | 16057000 | 200873 ***<sup>(E)</sup>*** | (241) | 2/21/35 | &nbsp;&nbsp;2.785% — Annually | US SOFR — Annually | 200632 |
|  |  | 43599700 | 725499 | (164) | 9/6/24 | &nbsp;&nbsp;US SOFR — Annually | 3.413% — Annually | (744028) |
|  |  | 42467300 | 47563 ***<sup>(E)</sup>*** | (236) | 1/15/27 | &nbsp;&nbsp;US SOFR — Annually | 2.73% — Annually | (47799) |
|  |  | 22459600 | 278724 | (296) | 9/13/32 | &nbsp;&nbsp;3.043% — Annually | US SOFR — Annually | 322636 |
|  |  | 11830800 | 67436 ***<sup>(E)</sup>*** | (231) | 1/15/41 | &nbsp;&nbsp;3.0500% — Annually | US SOFR — Annually | 67205 |
|  |  | 4343700 | 41482 ***<sup>(E)</sup>*** | (85) | 1/15/42 | &nbsp;&nbsp;2.9825% — Annually | US SOFR — Annually | 41398 |
|  |  | 10500000 | 27510 ***<sup>(E)</sup>*** | (148) | 2/28/34 | &nbsp;&nbsp;US SOFR — Annually | 3.014% — Annually | 27362 |
|  |  | 16940000 | 167028 | (576) | 9/26/52 | &nbsp;&nbsp;2.905% — Annually | US SOFR — Annually | 211436 |
|  |  | 88089000 | 127729 | (828) | 9/26/27 | &nbsp;&nbsp;US SOFR — Annually | 3.465% — Annually | 68380 |
|  |  | 4953000 | 18574 | (65) | 9/19/32 | &nbsp;&nbsp;3.24% — Annually | US SOFR — Annually | (11659) |
|  |  | 4138000 | 39435 ***<sup>(E)</sup>*** | (141) | 2/13/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 39294 |
|  |  | 84786000 | 928407 | (1119) | 9/23/32 | &nbsp;&nbsp;3.3275% — Annually | US SOFR — Annually | (822904) |
|  |  | 4541000 | 95179 | (60) | 9/26/32 | &nbsp;&nbsp;US SOFR — Annually | 3.449% — Annually | 91844 |
|  |  | 11121598 | 43597 | (378) | 9/28/52 | &nbsp;&nbsp;2.976% — Annually | US SOFR — Annually | (16346) |
|  |  | 2445000 | 74866 | (83) | 9/29/52 | &nbsp;&nbsp;3.114% — Annually | US SOFR — Annually | (70664) |
|  |  | 14158000 | 348428 | (187) | 9/30/32 | &nbsp;&nbsp;3.493% — Annually | US SOFR — Annually | (336315) |
|  |  | 6394000 | 153328 | (189) | 10/3/42 | &nbsp;&nbsp;US SOFR — Annually | 3.3245% — Annually | 145314 |
|  |  | 26238000 | 576186 | (346) | 10/4/32 | &nbsp;&nbsp;US SOFR — Annually | 3.4605% — Annually | 555399 |
|  |  | 6890000 | 158401 | (91) | 10/4/23 | &nbsp;&nbsp;US SOFR — Annually | 3.473% — Annually | 153229 |
|  |  | 8208800 | 232555 ***<sup>(E)</sup>*** | (116) | 10/3/33 | &nbsp;&nbsp;3.394% — Annually | US SOFR — Annually | (232671) |
|  |  | 59165000 | 811744 | (476) | 10/4/27 | &nbsp;&nbsp;3.75% — Annually | US SOFR — Annually | (823221) |
|  |  | 9986409 | 230486 | (132) | 10/5/32 | &nbsp;&nbsp;3.474% — Annually | US SOFR — Annually | (222324) |
|  |  | 4750000 | 37430 ***<sup>(E)</sup>*** | (71) | 10/21/36 | &nbsp;&nbsp;US SOFR — Annually | 3.116% — Annually | 37359 |
|  |  | 2850000 | 35910 | (40) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | 34939 |
|  |  | 10090000 | 125822 | (142) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.337% — Annually | 126615 |
|  |  | 10090000 | 122392 | (142) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.333% — Annually | 122343 |
|  |  | 45473000 | 608883 ***<sup>(E)</sup>*** | (641) | 8/23/33 | &nbsp;&nbsp;US SOFR — Annually | 3.237% — Annually | 608242 |
|  |  | 9417000 | 108578 | (133) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.3255% — Annually | 108445 |
|  |  | 43724000 | 559667 ***<sup>(E)</sup>*** | (617) | 9/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.225% — Annually | 559051 |
|  |  | 20060000 | 257570 | (283) | 11/14/32 | &nbsp;&nbsp;3.347% — Annually | US SOFR — Annually | (231682) |
|  |  | 11680000 | 44734 | (397) | 2/3/53 | &nbsp;&nbsp;2.9275% — Annually | US SOFR — Annually | 44337 |
|  |  | 7904000 | 79435 | (111) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.308% — Annually | 79324 |
|  |  | 30282000 | 318567 ***<sup>(E)</sup>*** | (1030) | 12/2/55 | &nbsp;&nbsp;2.81% — Annually | US SOFR — Annually | (319596) |
|  |  | 4148000 | 104861 | (55) | 10/7/32 | &nbsp;&nbsp;3.5005% — Annually | US SOFR — Annually | (103154) |
|  |  | 37041000 | 159647 | (139) | 10/7/24 | &nbsp;&nbsp;US SOFR — Annually | 4.1755% — Annually | (94259) |
|  |  | 248665000 | 6276305 | (97760) | 10/7/32 | &nbsp;&nbsp;3.50% — Annually | US SOFR — Annually | (6140551) |
|  |  | 8296000 | 216194 | (7944) | 10/7/32 | &nbsp;&nbsp;US SOFR — Annually | 3.51% — Annually | 200728 |
|  |  | 111313000 | 2039254 | 74548 | 10/7/52 | &nbsp;&nbsp;US SOFR — Annually | 3.05% — Annually | 1846476 |
|  |  | 5000000 | 96950 | (170) | 10/12/52 | &nbsp;&nbsp;US SOFR — Annually | 3.055% — Annually | 85724 |
|  |  | 92799000 | 524314 ***<sup>(E)</sup>*** | (640) | 4/8/28 | &nbsp;&nbsp;3.44% — Annually | US SOFR — Annually | (524955) |
|  |  | 252187000 | 1066751 ***<sup>(E)</sup>*** | (946) | 1/31/25 | &nbsp;&nbsp;US SOFR — Annually | 4.035% — Annually | 1065805 |
|  |  | 9144800 | 361037 | (129) | 1/17/33 | &nbsp;&nbsp;3.6575% — Annually | US SOFR — Annually | (359643) |
|  |  | 2000000 | 72940 ***<sup>(E)</sup>*** | (68) | 1/16/55 | &nbsp;&nbsp;2.97% — Annually | US SOFR — Annually | (73008) |
|  |  | 190247000 | 1337436 ***<sup>(E)</sup>*** | (1056) | 1/16/26 | &nbsp;&nbsp;US SOFR — Annually | 3.605% — Annually | 1336381 |
|  |  | 15796000 | 925962 | (537) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.2571% — Annually | 903849 |
|  |  | 3416000 | 253467 | (116) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.3375% — Annually | 249479 |
|  |  | 6640400 | 444774 ***<sup>(E)</sup>*** | (226) | 1/24/55 | &nbsp;&nbsp;3.135% — Annually | US SOFR — Annually | (445000) |
|  |  | 36263000 | 1080637 ***<sup>(E)</sup>*** | (341) | 4/13/28 | &nbsp;&nbsp;3.965% — Annually | US SOFR — Annually | (1080978) |
|  |  | 11992500 | 584514 ***<sup>(E)</sup>*** | (180) | 4/4/35 | &nbsp;&nbsp;3.5575% — Annually | US SOFR — Annually | (584694) |
|  |  | 23985100 | 717394 ***<sup>(E)</sup>*** | (269) | 5/8/30 | &nbsp;&nbsp;US SOFR — Annually | 3.52% — Annually | 717126 |
|  |  | 32836600 | 257439 ***<sup>(E)</sup>*** | (286) | 4/4/32 | &nbsp;&nbsp;3.515% — Annually | US SOFR — Annually | (257725) |
|  |  | 1794600 | 101449 ***<sup>(E)</sup>*** | (25) | 11/24/33 | &nbsp;&nbsp;US SOFR — Annually | 3.708% — Annually | 101423 |
|  |  | 3182300 | 156315 ***<sup>(E)</sup>*** | (48) | 2/19/36 | &nbsp;&nbsp;US SOFR — Annually | 3.6145% — Annually | 156267 |
|  |  | 2358700 | 115364 ***<sup>(E)</sup>*** | (35) | 3/3/36 | &nbsp;&nbsp;US SOFR — Annually | 3.614% — Annually | 115329 |
|  |  | 24310861 | 2360828 | (827) | 10/24/52 | &nbsp;&nbsp;US SOFR — Annually | 3.4555% — Annually | 2335538 |
|  |  | 165097300 | 1484225 ***<sup>(E)</sup>*** | (619) | 6/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.31% — Annually | 1483606 |
|  |  | 11440000 | 1249477 | (389) | 10/27/32 | &nbsp;&nbsp;3.5176% — Annually | US SOFR — Annually | (1241822) |
|  |  | 35701000 | 2214890 ***<sup>(E)</sup>*** | (503) | 12/4/33 | &nbsp;&nbsp;US SOFR — Annually | 3.77% — Annually | 2214387 |
|  |  | 16788000 | 496421 ***<sup>(E)</sup>*** | (188) | 3/24/32 | &nbsp;&nbsp;US SOFR — Annually | 3.64% — Annually | 496233 |
|  |  | 17000000 | 1193740 ***<sup>(E)</sup>*** | (578) | 10/28/57 | &nbsp;&nbsp;3.1175% — Annually | US SOFR — Annually | (1194318) |
|  |  | 62453000 | 414688 | (234) | 11/9/24 | &nbsp;&nbsp;US SOFR — Annually | 4.7655% — Annually | 555485 |
|  |  | 11196700 | 265922 | (148) | 11/25/32 | &nbsp;&nbsp;3.477% — Annually | US SOFR — Annually | (258242) |
|  |  | 116140000 | 46456 | (436) | 12/5/24 | &nbsp;&nbsp;4.3515% — Annually | US SOFR — Annually | (116121) |
|  |  | 29000000 | 109040 | (383) | 12/9/32 | &nbsp;&nbsp;3.147% — Annually | US SOFR — Annually | 139303 |
|  |  | 4415900 | 175929 ***<sup>(E)</sup>*** | (150) | 12/10/57 | &nbsp;&nbsp;2.47% — Annually | US SOFR — Annually | 175779 |
|  |  | 2735200 | 67833 ***<sup>(E)</sup>*** | (93) | 12/13/57 | &nbsp;&nbsp;2.558% — Annually | US SOFR — Annually | 67740 |
|  |  | 279982000 | 100794 ***<sup>(E)</sup>*** | (907865) | 3/15/25 | &nbsp;&nbsp;4.10% — Annually | US SOFR — Annually | (807071) |
|  |  | 5322000 | 1916 ***<sup>(E)</sup>*** | 17611 | 3/15/25 | &nbsp;&nbsp;US SOFR — Annually | 4.10% — Annually | 15695 |
|  |  | 331558000 | 5424289 ***<sup>(E)</sup>*** | (1294601) | 3/15/28 | &nbsp;&nbsp;US SOFR — Annually | 3.70% — Annually | 4129687 |
|  |  | 6156000 | 100712 ***<sup>(E)</sup>*** | 59373 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | (41339) |
|  |  | 373366000 | 4133162 ***<sup>(E)</sup>*** | (5226388) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | (9359551) |
|  |  | 46360000 | 316175 ***<sup>(E)</sup>*** | 2266091 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | 1949915 |
|  |  | 19681000 | 458370 | (260) | 12/29/32 | &nbsp;&nbsp;3.468% — Annually | US SOFR — Annually | (442942) |
|  |  | 36400000 | 924560 | (480) | 12/29/32 | &nbsp;&nbsp;US SOFR — Annually | 3.493% — Annually | 895924 |
|  |  | 8072000 | 380756 | (274) | 12/29/52 | &nbsp;&nbsp;US SOFR — Annually | 3.1925% — Annually | 371947 |
|  |  | 1261000 | 35258 | (17) | 12/29/32 | &nbsp;&nbsp;3.5235% — Annually | US SOFR — Annually | (34335) |
|  |  | 7248000 | 420167 | (246) | 12/30/52 | &nbsp;&nbsp;3.248% — Annually | US SOFR — Annually | (413344) |
|  |  | 177792000 | 579602 | (667) | 1/4/25 | &nbsp;&nbsp;4.446% — Annually | US SOFR — Annually | (598892) |
|  |  | 99045000 | 1589672 | (797) | 1/4/28 | &nbsp;&nbsp;US SOFR — Annually | 3.7525% — Annually | 1545826 |
|  |  | 656000 | 31908 | (22) | 1/4/53 | &nbsp;&nbsp;US SOFR — Annually | 3.1995% — Annually | 31318 |
|  |  | 1361000 | 27656 | (18) | 1/5/33 | &nbsp;&nbsp;US SOFR — Annually | 3.432% — Annually | 26740 |
|  |  | 1364000 | 30649 | (18) | 1/5/33 | &nbsp;&nbsp;3.4575% — Annually | US SOFR — Annually | (29794) |
|  |  | 13634000 | 164971 | (180) | 1/6/33 | &nbsp;&nbsp;3.3345% — Annually | US SOFR — Annually | (155535) |
|  |  | 2348000 | 28317 | (31) | 1/6/33 | &nbsp;&nbsp;US SOFR — Annually | 3.334% — Annually | 26629 |
|  |  | 3704000 | 27854 | (30) | 1/6/28 | &nbsp;&nbsp;3.5615% — Annually | US SOFR — Annually | (25879) |
|  |  | 20359000 | 44586 | (77) | 1/6/25 | &nbsp;&nbsp;4.3875% — Annually | US SOFR — Annually | (45756) |
|  |  | 10784000 | 179122 | (142) | 1/6/33 | &nbsp;&nbsp;3.388% — Annually | US SOFR — Annually | (172054) |
|  |  | 631000 | 2612 | (2) | 1/9/25 | &nbsp;&nbsp;4.487% — Annually | US SOFR — Annually | (2687) |
|  |  | 17276000 | 285227 | (228) | 1/9/33 | &nbsp;&nbsp;3.3865% — Annually | US SOFR — Annually | (275279) |
|  |  | 2569000 | 33911 | (21) | 1/10/28 | &nbsp;&nbsp;3.686% — Annually | US SOFR — Annually | (32948) |
|  |  | 6419500 | 6034 | (219) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9445% — Annually | (11603) |
|  |  | 6419500 | 7960 | (219) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.943% — Annually | (13535) |
|  |  | 8152000 | 39456 | (278) | 1/11/53 | &nbsp;&nbsp;US SOFR — Annually | 2.974% — Annually | 32820 |
|  |  | 1072000 | 579 | (4) | 1/12/25 | &nbsp;&nbsp;US SOFR — Annually | 4.2845% — Annually | 559 |
|  |  | 13104000 | 90024 | (173) | 1/12/33 | &nbsp;&nbsp;3.272% — Annually | US SOFR — Annually | (82629) |
|  |  | 22010000 | 5062 | (177) | 1/13/28 | &nbsp;&nbsp;US SOFR — Annually | 3.3965% — Annually | (5728) |
|  |  | 999000 | 3776 | (34) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9295% — Annually | (4385) |
|  |  | 27376000 | 46539 | (103) | 1/17/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1565% — Annually | (48386) |
|  |  | 8475000 | 40850 | (112) | 1/17/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1335% — Annually | (45114) |
|  |  | 7042500 | 86975 | (239) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.8855% — Annually | (91393) |
|  |  | 7042500 | 89017 | (239) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.884% — Annually | (93439) |
|  |  | 28031000 | 19341 | (953) | 1/18/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9451% — Annually | (35153) |
|  |  | 50717300 | 62889 | (477) | 1/24/28 | &nbsp;&nbsp;US SOFR — Annually | 3.36% — Annually | (55806) |
|  |  | 2133000 | 2773 | (28) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.175% — Annually | (3671) |
|  |  | 236429000 | 248250 | (3121) | 1/19/33 | &nbsp;&nbsp;3.178% — Annually | US SOFR — Annually | 341298 |
|  |  | 17388000 | 16692 | (65) | 1/19/25 | &nbsp;&nbsp;US SOFR — Annually | 4.19% — Annually | (17476) |
|  |  | 2896000 | 405 | (37) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.192% — Annually | (796) |
|  |  | 22022000 | 16957 | (291) | 1/19/33 | &nbsp;&nbsp;3.1995% — Annually | US SOFR — Annually | (8462) |
|  |  | 193293000 | 1813088 | (2551) | 1/20/33 | &nbsp;&nbsp;US SOFR — Annually | 3.0795% — Annually | (1894820) |
|  |  | 87435000 | 669752 | (703) | 1/20/28 | &nbsp;&nbsp;US SOFR — Annually | 3.2195% — Annually | (702192) |
|  |  | 2189000 | 17162 | (18) | 1/20/28 | &nbsp;&nbsp;US SOFR — Annually | 3.2155% — Annually | (17977) |
|  |  | 5330000 | 57617 | (181) | 1/23/53 | &nbsp;&nbsp;2.893% — Annually | US SOFR — Annually | 59319 |
|  |  | 8094000 | 52044 | (275) | 1/23/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9155% — Annually | (55134) |
|  |  | 3416000 | 9975 | (13) | 1/23/25 | &nbsp;&nbsp;4.082% — Annually | US SOFR — Annually | 10153 |
|  |  | 3119000 | 23673 | (25) | 1/23/28 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | (24545) |
|  |  | 897000 | 4359 | (31) | 1/24/53 | &nbsp;&nbsp;2.9235% — Annually | US SOFR — Annually | 4604 |
|  |  | 45662000 | 89954 | (603) | 1/24/33 | &nbsp;&nbsp;3.167% — Annually | US SOFR — Annually | 100915 |
|  |  | 7473000 | 13451 | (99) | 1/24/33 | &nbsp;&nbsp;US SOFR — Annually | 3.169% — Annually | (15439) |
|  |  | 9048000 | 42435 | (308) | 1/24/53 | &nbsp;&nbsp;2.9725% — Annually | US SOFR — Annually | (40060) |
|  |  | 1116000 | 12343 | (38) | 1/25/53 | &nbsp;&nbsp;3.005% — Annually | US SOFR — Annually | (12099) |
|  |  | 7889000 | 71159 | (268) | 1/26/53 | &nbsp;&nbsp;2.9945% — Annually | US SOFR — Annually | (69707) |
|  |  | 17984000 | 106106 | (237) | 1/27/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1205% — Annually | (109291) |
|  |  | 1840000 | 7746 | (24) | 1/27/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1405% — Annually | (8067) |
|  |  | 22391000 | 10076 | (295) | 1/30/33 | &nbsp;&nbsp;3.19529% — Annually | US SOFR — Annually | (8997) |
|  |  | 26227000 | 55601 | (212) | 1/31/28 | &nbsp;&nbsp;3.4315% — Annually | US SOFR — Annually | (55174) |
|  | **Total** |  |  | **$(6714362)** |  |  |  | **$5386587** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments received<br>(paid) by fund** | **Total return received by or paid by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| $8936746 | $7988344 | $— | 9/29/25 | &nbsp;&nbsp;(0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually | $(827935) |
| 6989566 | 6692989 |  | 7/17/24 | &nbsp;&nbsp;3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly | (278097) |
| **Upfront premium received** | **Upfront premium received** | **—** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | **—** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **—** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | **(1106032)** |
|  | **Total** | **$—** |  |  | **Total** | **$(1106032)** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | $13534 | $122471 | $29944 | 5/11/63 | 300 bp — Monthly | $(16339) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 26395 | 270921 | 66240 | 5/11/63 | 300 bp — Monthly | (39687) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 54079 | 541842 | 132480 | 5/11/63 | 300 bp — Monthly | (78085) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 51528 | 559161 | 136715 | 5/11/63 | 300 bp — Monthly | (84861) |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 14357 | 41341 | 6032 | 5/11/63 | 200 bp — Monthly | 8341 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 20134 | 75570 | 11026 | 5/11/63 | 200 bp — Monthly | 9138 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 29025 | 80016 | 11674 | 5/11/63 | 200 bp — Monthly | 17382 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 40068 | 151585 | 22116 | 5/11/63 | 200 bp — Monthly | 18010 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 56648 | 221377 | 32299 | 5/11/63 | 200 bp — Monthly | 24435 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 106721 | 397411 | 57982 | 5/11/63 | 200 bp — Monthly | 48894 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 562500 | 2222657 | 324286 | 5/11/63 | 200 bp — Monthly | 239079 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 1234525 | 2185000 | 457539 | 11/18/54 | 500 bp — Monthly | 779110 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 57085 | 571000 | 146975 | 12/16/72 | 500 bp — Monthly | (89335) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 249052 | 2639000 | 679279 | 12/16/72 | 500 bp — Monthly | (427661) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 248226 | 2264000 | 521399 | 12/16/72 | 500 bp — Monthly | (270973) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 624884 | 2628887 | 971111 | 5/11/63 | 500 bp — Monthly | (343671) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 132687 | 2600000 | 849160 | 1/17/47 | 500 bp — Monthly | (713945) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 7533 | 37000 | 11289 | 9/17/58 | 500 bp — Monthly | (3720) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 516275 | 2528000 | 771293 | 9/17/58 | 500 bp — Monthly | (252560) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 196421 | 1583000 | 285257 | 11/17/59 | 300 bp — Monthly | (87912) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 288987 | 2649000 | 477350 | 11/17/59 | 300 bp — Monthly | (186818) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | &nbsp;&nbsp;BBB-/P | 13304 | 319000 | 56718 | 8/17/61 | 300 bp — Monthly | (43228) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 38962 | 373000 | 65723 | 11/18/64 | 300 bp — Monthly | (26543) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15Index | &nbsp;&nbsp;BBB-/P | 171957 | 1012000 | 178314 | 11/18/64 | 300 bp — Monthly | (5767) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 5490 | 36000 | 5771 | 10/17/57 | 300 bp — Monthly | (260) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | 11938 | 287000 | 16330 | 1/17/47 | 200 bp — Monthly | (4280) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | 102321 | 2780000 | 158182 | 1/17/47 | 200 bp — Monthly | (54780) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 97913 | 732000 | 239071 | 1/17/47 | 500 bp — Monthly | (140447) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 143564 | 2186000 | 412498 | 1/17/47 | 300 bp — Monthly | (267659) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 34920 | 607000 | 48742 | 12/16/72 | 200 bp — Monthly | (13586) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 5770 | 60000 | 15444 | 12/16/72 | 500 bp — Monthly | (9616) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 254 | 4000 | 586 | 11/18/54 | 300 bp — Monthly | (329) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 318 | 5000 | 732 | 11/18/54 | 300 bp — Monthly | (412) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 23093 | 152000 | 26478 | 12/16/72 | 300 bp — Monthly | (3297) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 20232 | 365000 | 63583 | 12/16/72 | 300 bp — Monthly | (43138) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 22534 | 506000 | 88145 | 12/16/72 | 300 bp — Monthly | (65316) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 35449 | 935500 | 162964 | 12/16/72 | 300 bp — Monthly | (126969) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 33817 | 1174000 | 204511 | 12/16/72 | 300 bp — Monthly | (170009) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 33612 | 324000 | 57089 | 11/18/64 | 300 bp — Monthly | (23287) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 95718 | 1075000 | 189415 | 11/18/64 | 300 bp — Monthly | (93070) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 200486 | 2169000 | 382178 | 11/18/64 | 300 bp — Monthly | (180427) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 7806 | 112000 | 21134 | 1/17/47 | 300 bp — Monthly | (13263) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 49185 | 605000 | 114164 | 1/17/47 | 300 bp — Monthly | (64625) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (9723) | 1469000 | 117961 | 12/16/72 | 200 bp — Monthly | (127112) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 714 | 39000 | 3315 | 11/18/64 | 200 bp — Monthly | (2586) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 696064 | 3959441 | 577682 | 5/11/63 | 200 bp — Monthly | 119922 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | &nbsp;&nbsp;B-/P | 684367 | 1921031 | 685616 | 10/17/57 | 500 bp — Monthly | 619 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 1476970 | 11174000 | 2224743 | 12/16/72 | 300 bp — Monthly | (741255) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 115034 | 490000 | 92463 | 1/17/47 | 300 bp — Monthly | 22857 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 177457 | 1138000 | 182421 | 10/17/57 | 300 bp — Monthly | (4301) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 700 | 43000 | 3655 | 11/18/64 | 200 bp — Monthly | (2939) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 1160 | 87000 | 7395 | 11/18/64 | 200 bp — Monthly | (6201) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 1543 | 130000 | 11050 | 11/18/64 | 200 bp — Monthly | (9457) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (27434) | 4574000 | 364090 | 12/16/72 | 200 bp — Monthly | (389745) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (415) | 33000 | 2650 | 12/16/72 | 200 bp — Monthly | (3052) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 5871 | 209000 | 16783 | 12/16/72 | 200 bp — Monthly | (10830) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 5241 | 410000 | 32923 | 12/16/72 | 200 bp — Monthly | (27522) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (6967) | 626000 | 50268 | 12/16/72 | 200 bp — Monthly | (56991) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 7085 | 346000 | 29410 | 11/18/64 | 200 bp — Monthly | (22190) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 4769 | 31117 | 4540 | 5/11/63 | 200 bp — Monthly | 241 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 39680 | 113800 | 16603 | 5/11/63 | 200 bp — Monthly | 23121 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 302904 | 1517186 | 221357 | 5/11/63 | 200 bp — Monthly | 82136 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 21160 | 250000 | 52350 | 11/18/54 | 500 bp — Monthly | (30947) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 60778 | 658000 | 169369 | 12/16/72 | 500 bp — Monthly | (107951) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 138137 | 1516000 | 390218 | 12/16/72 | 500 bp — Monthly | (250607) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 143825 | 1524000 | 392278 | 12/16/72 | 500 bp — Monthly | (246971) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 10033 | 82000 | 18885 | 12/16/72 | 500 bp — Monthly | (8772) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | &nbsp;&nbsp;B-/P | 191058 | 536304 | 191407 | 10/17/57 | 500 bp — Monthly | 173 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 46856 | 715000 | 142357 | 12/16/72 | 300 bp — Monthly | (95083) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 59870 | 812000 | 161669 | 12/16/72 | 300 bp — Monthly | (101326) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 115928 | 1559000 | 310397 | 12/16/72 | 300 bp — Monthly | (193559) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 116678 | 1714000 | 341257 | 12/16/72 | 300 bp — Monthly | (223580) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 12999 | 79000 | 13762 | 12/16/72 | 300 bp — Monthly | (717) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 26231 | 158000 | 27524 | 12/16/72 | 300 bp — Monthly | (1200) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 9424 | 168000 | 29266 | 12/16/72 | 300 bp — Monthly | (19744) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 16823 | 471000 | 82048 | 12/16/72 | 300 bp — Monthly | (64951) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 21290 | 563000 | 98075 | 12/16/72 | 300 bp — Monthly | (76457) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 122662 | 778000 | 137084 | 11/18/64 | 300 bp — Monthly | (13968) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **10312618** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **1393458** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **(44539)** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(6785889)** |
|  | **Total** |  | **$10268079** |  |  |  | **Total** | **$(5392431)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

---

------

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | $(1164) | $157000 | $8933 | 1/17/47 | (200 bp) — Monthly | $7708 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (934830) | 3666000 | 1154790 | 11/17/59 | (500 bp) — Monthly | 216396 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (273409) | 1134000 | 357210 | 11/17/59 | (500 bp) — Monthly | 82699 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (46755) | 448000 | 141120 | 11/17/59 | (500 bp) — Monthly | 93930 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (40460) | 369000 | 116235 | 11/17/59 | (500 bp) — Monthly | 75416 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (75168) | 1041000 | 217985 | 11/18/54 | (500 bp) — Monthly | 141805 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (24535) | 481000 | 100721 | 11/18/54 | (500 bp) — Monthly | 75719 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (24952) | 481000 | 100721 | 11/18/54 | (500 bp) — Monthly | 75302 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (163027) | 1268769 | 452824 | 10/17/57 | (500 bp) — Monthly | 288563 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (343384) | 960515 | 342808 | 10/17/57 | (500 bp) — Monthly | (1510) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (220857) | 619407 | 221066 | 10/17/57 | (500 bp) — Monthly | (393) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (63214) | 347873 | 124156 | 10/17/57 | (500 bp) — Monthly | 60604 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (955214) | 4115000 | 741523 | 11/17/59 | (300 bp) — Monthly | (216092) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (605828) | 3841000 | 692148 | 11/17/59 | (300 bp) — Monthly | 84080 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (474999) | 2176000 | 392115 | 11/17/59 | (300 bp) — Monthly | (84153) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (442014) | 2031000 | 365986 | 11/17/59 | (300 bp) — Monthly | (77213) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (122025) | 961000 | 173172 | 11/17/59 | (300 bp) — Monthly | 50586 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (77019) | 313000 | 56403 | 11/17/59 | (300 bp) — Monthly | (20799) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (9433) | 74000 | 13335 | 11/17/59 | (300 bp) — Monthly | 3858 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (294881) | 4321000 | 768274 | 8/17/61 | (300 bp) — Monthly | 470872 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (280640) | 1652000 | 293726 | 8/17/61 | (300 bp) — Monthly | 12122 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (216967) | 1281000 | 227762 | 8/17/61 | (300 bp) — Monthly | 10047 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (84919) | 526000 | 93523 | 8/17/61 | (300 bp) — Monthly | 8297 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (59795) | 265000 | 47117 | 8/17/61 | (300 bp) — Monthly | (12832) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (302127) | 3987000 | 793812 | 12/16/72 | (300 bp) — Monthly | 489359 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (197220) | 3602000 | 717158 | 12/16/72 | (300 bp) — Monthly | 517837 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (109020) | 2162000 | 430454 | 12/16/72 | (300 bp) — Monthly | 320173 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (110039) | 2161000 | 430255 | 12/16/72 | (300 bp) — Monthly | 318956 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (112582) | 1925000 | 383268 | 12/16/72 | (300 bp) — Monthly | 269563 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (507497) | 2551500 | 444471 | 12/16/72 | (300 bp) — Monthly | (64514) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (182824) | 951000 | 165664 | 12/16/72 | (300 bp) — Monthly | (17715) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (17586) | 108000 | 18814 | 12/16/72 | (300 bp) — Monthly | 1165 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (105219) | 481000 | 90765 | 1/17/47 | (300 bp) — Monthly | (14735) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (118050) | 787000 | 126156 | 10/17/57 | (300 bp) — Monthly | 7647 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (63825) | 460000 | 73738 | 10/17/57 | (300 bp) — Monthly | 9645 |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (123951) | 929000 | 292635 | 11/17/59 | (500 bp) — Monthly | 167781 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (110117) | 926000 | 291690 | 11/17/59 | (500 bp) — Monthly | 180672 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (60658) | 488000 | 153720 | 11/17/59 | (500 bp) — Monthly | 92588 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (173028) | 938000 | 306351 | 1/17/47 | (500 bp) — Monthly | 132410 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (140307) | 853000 | 278590 | 1/17/47 | (500 bp) — Monthly | 137453 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (11314) | 438148 | 161852 | 5/11/63 | (500 bp) — Monthly | 150112 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (53034) | 244937 | 35736 | 5/11/63 | (200 bp) — Monthly | (17393) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (281681) | 1245000 | 392175 | 11/17/59 | (500 bp) — Monthly | 109283 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (61756) | 205000 | 64575 | 11/17/59 | (500 bp) — Monthly | 2619 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (227615) | 377996 | 139632 | 5/11/63 | (500 bp) — Monthly | (88350) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (120100) | 190024 | 70195 | 5/11/63 | (500 bp) — Monthly | (50090) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (203659) | 1003000 | 327580 | 1/17/47 | (500 bp) — Monthly | 122946 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (81414) | 538000 | 175711 | 1/17/47 | (500 bp) — Monthly | 93774 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (30702) | 258000 | 78716 | 9/17/58 | (500 bp) — Monthly | 47763 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (15654) | 150000 | 45765 | 9/17/58 | (500 bp) — Monthly | 29966 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (186571) | 957000 | 170155 | 8/17/61 | (300 bp) — Monthly | (16975) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (164807) | 488000 | 86766 | 8/17/61 | (300 bp) — Monthly | (78325) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (132005) | 1742000 | 346832 | 12/16/72 | (300 bp) — Monthly | 213811 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (6469) | 50000 | 8015 | 10/17/57 | (300 bp) — Monthly | 1517 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | (61347) | 2910000 | 165579 | 1/17/47 | (200 bp) — Monthly | 103100 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (490603) | 651412 | 240631 | 5/11/63 | (500 bp) — Monthly | (250605) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (235607) | 432000 | 90461 | 11/18/54 | (500 bp) — Monthly | (145566) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (32051) | 291000 | 42602 | 11/18/54 | (300 bp) — Monthly | 10382 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (130839) | 1089000 | 193624 | 8/17/61 | (300 bp) — Monthly | 62150 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (538787) | 1494395 | 365379 | 5/11/63 | (300 bp) — Monthly | (174279) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (50925) | 895000 | 281925 | 11/17/59 | (500 bp) — Monthly | 230130 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (69410) | 847000 | 159829 | 1/17/47 | (300 bp) — Monthly | 89925 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (29455) | 159000 | 27920 | 9/17/58 | (300 bp) — Monthly | (1627) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (363978) | 1931933 | 281869 | 5/11/63 | (200 bp) — Monthly | (82860) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (333353) | 1519853 | 221747 | 5/11/63 | (200 bp) — Monthly | (112197) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (326768) | 1504294 | 219477 | 5/11/63 | (200 bp) — Monthly | (107876) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (691872) | 2946000 | 927990 | 11/17/59 | (500 bp) — Monthly | 233254 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (348098) | 1146000 | 360990 | 11/17/59 | (500 bp) — Monthly | 11778 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (46985) | 448000 | 141120 | 11/17/59 | (500 bp) — Monthly | 93700 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (113683) | 181138 | 66912 | 5/11/63 | (500 bp) — Monthly | (46947) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (8575) | 173000 | 52782 | 9/17/58 | (500 bp) — Monthly | 44039 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (13649) | 148000 | 45155 | 9/17/58 | (500 bp) — Monthly | 31362 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (6858) | 127000 | 38748 | 9/17/58 | (500 bp) — Monthly | 31766 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (938) | 24000 | 7322 | 9/17/58 | (500 bp) — Monthly | 6361 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (768695) | 4414000 | 795403 | 11/17/59 | (300 bp) — Monthly | 24133 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (299543) | 2500000 | 450500 | 11/17/59 | (300 bp) — Monthly | 149499 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (278002) | 2192000 | 394998 | 11/17/59 | (300 bp) — Monthly | 115717 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (423223) | 1736000 | 312827 | 11/17/59 | (300 bp) — Monthly | (111408) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (155861) | 659000 | 118752 | 11/17/59 | (300 bp) — Monthly | (37494) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (75985) | 592000 | 106678 | 11/17/59 | (300 bp) — Monthly | 30348 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (79574) | 367000 | 66133 | 11/17/59 | (300 bp) — Monthly | (13655) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (42815) | 347000 | 62529 | 11/17/59 | (300 bp) — Monthly | 19512 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (88948) | 285000 | 41724 | 11/18/54 | (300 bp) — Monthly | (47391) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (138684) | 1065000 | 189357 | 8/17/61 | (300 bp) — Monthly | 50051 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (168400) | 807000 | 143485 | 8/17/61 | (300 bp) — Monthly | (25386) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (13456) | 243000 | 43205 | 8/17/61 | (300 bp) — Monthly | 29608 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4411) | 107000 | 19025 | 8/17/61 | (300 bp) — Monthly | 14551 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (148658) | 1459000 | 275313 | 1/17/47 | (300 bp) — Monthly | 125805 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (8254) | 130000 | 24531 | 1/17/47 | (300 bp) — Monthly | 16201 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (1711) | 11000 | 1763 | 10/17/57 | (300 bp) — Monthly | 45 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **6698461** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(16436321)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(1918380)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(16436321)** |  |  |  | **Total** | **$4780081** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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| | | |
|:---|:---|:---|
|  | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** |
| EUR | Euro | Euro |
| USD / $| United States Dollar | United States Dollar |
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| CME | Chicago Mercantile Exchange | Chicago Mercantile Exchange |
| DAC | Designated Activity Company | Designated Activity Company |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| G.O. Bonds | General Obligation Bonds | General Obligation Bonds |
| ICE | Intercontinental Exchange | Intercontinental Exchange |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only | Interest Only |
| JSC | Joint Stock Company | Joint Stock Company |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate |
| PO | Principal Only | Principal Only |
| REMICs | Real Estate Mortgage Investment Conduits | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $1,559,920,313. | Percentages indicated are based on net assets of $1,559,920,313. |
| ***<sup>(NON)</sup>*** | This security is non-income-producing. | This security is non-income-producing. |
| ***<sup>(AFF)</sup>*** | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Shares outstanding<br>and fair<br>value as of<br>1/31/23** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\* | $170097316 |
|  | **Total Short-term investments** | **$170097316** |
|  | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $14,807,047. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $14,807,047. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $3,190,183. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $3,190,183. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $10,079,120. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $10,079,120. |
| ***<sup>(c)</sup>*** | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. |
|  | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(R)</sup>*** | Real Estate Investment Trust. | Real Estate Investment Trust. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $66,265,086 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $66,265,086 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures. |
|  | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|  | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk and for yield curve positioning. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk and for yield curve positioning. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and for gaining exposure to specific sectors. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and for gaining exposure to specific sectors. |
|  | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $3,358,143 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,190,183 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $3,358,143 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,190,183 and may include amounts related to unsettled agreements. |

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| | | | |
|:---|:---|:---|:---|
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| Asset-backed securities | $— | $28520800 | $— |
| Collateralized loan obligations |  | 93428956 |  |
| Corporate bonds and notes |  | 400320875 |  |
| Foreign government and agency bonds and notes |  | 5727098 |  |
| Mortgage-backed securities |  | 532238260 |  |
| Municipal bonds and notes |  | 2714258 |  |
| Senior loans |  | 20075 |  |
| U.S. government and agency mortgage obligations |  | 1742524419 |  |
| Short-term investments | 46049000 | 336764715 |  |
| **Totals by level** | **$46049000** | **$3142259456** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Forward currency contracts | $— | $(11680) | $— |
| Futures contracts | 11960887 |  |  |
| Forward premium swap option contracts |  | 6425571 |  |
| TBA sale commitments |  | (487965581) |  |
| Interest rate swap contracts |  | 27876624 |  |
| Total return swap contracts |  | (1106032) |  |
| Credit default contracts |  | 5555892 |  |
| **Totals by level** | **$11960887** | **$(449225206)** | **$—** |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $2528800000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written swap option contracts (contract amount) | $730200000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 6000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts (contract amount) | $370000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC interest rate swap contracts (notional) | $1400000000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $7503600000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC total return swap contracts (notional) | $15900000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $188600000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Income Fund

- **b. Investment Company Act file number:** 811-00653

- **c. CIK number of Registrant:** 0000081264

- **d. LEI of Registrant:** 3TKDW1UO376UZIMY9G60

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Income Fund

- **b. EDGAR series identifier (if any):** S000006155

- **c. LEI of Series:** 3TKDW1UO376UZIMY9G60

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $3597777916.82

**Total Liabilities:** $2036427997.04

**Net Assets:** $1561349919.60

**Cash Not Reported:** $6391319.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6105.64 | **1-Year:** 306051.11 | **5-Year:** 451987 | **10-Year:** 623542.22 | **30-Year:** 216197.87

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

- **3-Month:** 79.57 | **1-Year:** 1245.86 | **5-Year:** 7846.83 | **10-Year:** 6364.81 | **30-Year:** 241.79

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000016966 | 2.54%                | 0.12%                | 4.19%                |
| Class ID C000016965 | 2.41%                | 0.12%                | 4.29%                |
| Class ID C000016963 | 2.49%                | 0.06%                | 4.14%                |
| Class ID C000016964 | 2.31%                | 0.06%                | 4.12%                |
| Class ID C000016962 | 2.52%                | 0.13%                | 4.15%                |
| Class ID C000016967 | 2.49%                | 0.15%                | 4.27%                |
| Class ID C000118064 | 2.69%                | -0.01%               | 4.29%                |
| Class ID C000118063 | 2.53%                | 0.17%                | 4.12%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-420846.25              | $48887669.43                               |
| Month 2  | $15368221.92             | $-26711419.80                              |
| Month 3  | $-18507482.68            | $107504056.42                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** IDX00144

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TOWD POINT MORTGAGE TRUST 2018-5                                                | ASSET BACKED SECURITY                 | CUSIP: 89176VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209000 | PA      | $167693.72    | 0.01%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIRSTPLUS HOME LOAN OWNER TRUST 1997-3                                          | ASSET BACKED SECURITY                 | CUSIP: 337925CC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134710 | PA      | $13.47        | 0.00%             | 2023-11-10      | Fixed         | 7.79%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST                                             | ASSET BACKED SECURITY                 | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4560000 | PA      | $4103357.49   | 0.26%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                               | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2024000 | PA      | $1767185.97   | 0.11%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO LOAN RECEIVABLES TRUST 2019-CRT                           | ASSET BACKED SECURITY                 | CUSIP: 81379MAD6<br>LEI: 549300DC604TIE09UO03 | Long             | ABS-MBS          | CORP              | CA        |    733706 | PA      | $701206.55    | 0.04%             | 2026-03-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-6                                                | ASSET BACKED SECURITY                 | CUSIP: 89172RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102000 | PA      | $1070896.27   | 0.07%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD-COLLATERALIZED NOTES SERIES 2020-PLS1                         | ASSET BACKED SECURITY                 | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    843374 | PA      | $770760.74    | 0.05%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   4244464 | PA      | $4203572.75   | 0.27%             | 2029-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-MBS          | CORP              | KY        |   2858000 | PA      | $2818016.58   | 0.18%             | 2032-07-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 29 LTD                                              | ASSET BACKED SECURITY                 | CUSIP: 67591JAL6<br>LEI: 5493003U22XL00FIHD56 | Long             | ABS-MBS          | CORP              | KY        |   2144000 | PA      | $2118235.55   | 0.14%             | 2033-01-24      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 4 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246839.00    | 0.02%             | 2034-07-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO II LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4363000 | PA      | $4310739.99   | 0.28%             | 2032-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                                   | ASSET BACKED SECURITY                 | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |   2885000 | PA      | $2845847.66   | 0.18%             | 2034-07-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| NASSAU 2019-I LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 63171NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1777000 | PA      | $1749616.43   | 0.11%             | 2031-04-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVI LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 83614XAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3310000 | PA      | $3220752.47   | 0.21%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 2 LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245692.25    | 0.02%             | 2034-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-1 LLC                                                              | ASSET BACKED SECURITY                 | CUSIP: 00141YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $246318.25    | 0.02%             | 2034-04-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| REGATTA XX FUNDING LTD                                                          | ASSET BACKED SECURITY                 | CUSIP: 75884YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1439000 | PA      | $1415185.99   | 0.09%             | 2034-10-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 56579AAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2076000 | PA      | $2044754.12   | 0.13%             | 2032-04-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2021-1 LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 09204WAA2<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-MBS          | CORP              | KY        |   4714000 | PA      | $4598865.26   | 0.29%             | 2034-11-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII                                                           | ASSET BACKED SECURITY                 | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2700000 | PA      | $2629222.20   | 0.17%             | 2034-07-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| NASSAU 2020-I LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 631715AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244465.25    | 0.02%             | 2035-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXII LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245878.00    | 0.02%             | 2034-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ARES LXI CLO LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 04019DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1900000 | PA      | $1877751.00   | 0.12%             | 2034-10-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-1 LTD                                                   | ASSET BACKED SECURITY                 | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246237.00    | 0.02%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XII                                                                  | ASSET BACKED SECURITY                 | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-MBS          | CORP              | KY        |   3418000 | PA      | $3387425.99   | 0.22%             | 2031-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 15137EBN2<br>LEI: 5493002BI0SI5QMH0P08 | Long             | ABS-MBS          | CORP              | KY        |   6045837 | PA      | $5981865.66   | 0.38%             | 2030-07-27      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246874.50    | 0.02%             | 2031-04-17      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1                               | ASSET BACKED SECURITY                 | CUSIP: 70017WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2362000 | PA      | $2281885.68   | 0.15%             | 2032-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 00178LAB5<br>LEI: 549300DYK366J47FIO80 | Long             | ABS-MBS          | CORP              | KY        |   1200000 | PA      | $1192482.00   | 0.08%             | 2030-11-02      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVIII LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 83609TAA5<br>LEI: 549300G09B8CGBRMLL31 | Long             | ABS-MBS          | CORP              | KY        |   5575000 | PA      | $5486892.70   | 0.35%             | 2031-01-21      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVIII LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5594628 | PA      | $5536740.12   | 0.35%             | 2030-10-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2018-1 LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2698599.75   | 0.17%             | 2031-07-17      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XIV LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55818RAY2<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-MBS          | CORP              | KY        |   3900000 | PA      | $3829725.90   | 0.25%             | 2030-10-22      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| SHACKLETON 2013-IV-R CLO LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 81882HAA3<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-MBS          | CORP              | KY        |   3000000 | PA      | $2959143.00   | 0.19%             | 2031-04-13      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2014-4 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-MBS          | CORP              | KY        |    346838 | PA      | $342871.14    | 0.02%             | 2031-07-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ARES LXIV CLO LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 04019HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2890000 | PA      | $2832468.77   | 0.18%             | 2035-04-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 18 LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 29003MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    474000 | PA      | $470377.22    | 0.03%             | 2033-07-17      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 1 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402563AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2650000 | PA      | $2612510.45   | 0.17%             | 2033-04-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BATTERY PARK CLO II LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $398472.40    | 0.03%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| WIND RIVER 2016-2 CLO LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 88433BAQ0<br>LEI: 254900CL04BC1Q11T078 | Long             | ABS-MBS          | CORP              | KY        |   2442000 | PA      | $2401768.05   | 0.15%             | 2031-11-01      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 17 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98888JAA7<br>LEI: 549300PCGOXUK8XLNY49 | Long             | ABS-MBS          | CORP              | US        |   4406000 | PA      | $4331908.70   | 0.28%             | 2033-10-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO VI LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-MBS          | CORP              | JE        |   3425000 | PA      | $3370203.43   | 0.22%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVI LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $249025.50    | 0.02%             | 2032-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                      | ASSET BACKED SECURITY                 | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5283000 | PA      | $5197985.96   | 0.33%             | 2031-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-IV LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-MBS          | CORP              | KY        |    937000 | PA      | $927240.21    | 0.06%             | 2030-10-24      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2019-17 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 67113LAL0<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-MBS          | CORP              | KY        |    520000 | PA      | $512143.84    | 0.03%             | 2032-07-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2018-1 LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2500000 | PA      | $2469000.00   | 0.16%             | 2031-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VIII-R LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 83607HAL9<br>LEI: 549300RPMX5HA435Q562 | Long             | ABS-MBS          | CORP              | KY        |    207075 | PA      | $204132.63    | 0.01%             | 2030-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| VENTURE 37 CLO LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 92333BAQ3<br>LEI: 549300IW5Q3C6JHMIU22 | Long             | ABS-MBS          | CORP              | KY        |   2200000 | PA      | $2156391.60   | 0.14%             | 2032-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-2 LLC                                                              | ASSET BACKED SECURITY                 | CUSIP: 00142DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $246401.00    | 0.02%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                                | ASSET BACKED SECURITY                 | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $294666.70    | 0.02%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                          | BANK LOAN NOTE                        | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20075.00     | 0.00%             | 2029-12-07      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL1 LTD                                            | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468000 | PA      | $456905.50    | 0.03%             | 2036-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| TIAA REAL ESTATE CDO LTD                                                        | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 88631FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1661295 | PA      | $16.61        | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                               | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    337000 | PA      | $326047.50    | 0.02%             | 2036-12-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46641BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33596729 | PA      | $103044.53    | 0.01%             | 2046-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23963224 | PA      | $260048.90    | 0.02%             | 2047-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GCJ12                                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36197XAM6<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |  16315765 | PA      | $163.16       | 0.00%             | 2046-06-10      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36252RAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31719803 | PA      | $196662.78    | 0.01%             | 2047-01-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10224863 | PA      | $15205.39     | 0.00%             | 2047-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC15 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12591TAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58888562 | PA      | $482886.21    | 0.03%             | 2047-04-10      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26754198 | PA      | $104587.51    | 0.01%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27679545 | PA      | $254596.46    | 0.02%             | 2057-09-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999170 | PA      | $311.44       | 0.00%             | 2048-11-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1                                | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 059497BW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134445 | PA      | $1.34         | 0.00%             | 2049-01-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6131561 | PA      | $61.32        | 0.00%             | 2049-01-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639YAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21151132 | PA      | $1969.17      | 0.00%             | 2046-04-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |  72415757 | PA      | $39922.81     | 0.00%             | 2046-06-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61762XAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75347455 | PA      | $135745.98    | 0.01%             | 2046-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95002EBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64989777 | PA      | $4218570.92   | 0.27%             | 2053-02-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34871417 | PA      | $2142545.19   | 0.14%             | 2063-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 108694471 | PA      | $7141118.04   | 0.46%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59829870 | PA      | $3594955.50   | 0.23%             | 2052-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90353DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 118800853 | PA      | $4042068.33   | 0.26%             | 2051-08-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR6                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 48129RBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68743203 | PA      | $3031664.62   | 0.19%             | 2052-11-13      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  79868093 | PA      | $3344156.93   | 0.21%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| COMM 2019-GC44 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  89725471 | PA      | $2570204.06   | 0.16%             | 2057-08-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12593ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27802112 | PA      | $391417.60    | 0.03%             | 2048-05-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                                       | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61691EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65800450 | PA      | $1311054.24   | 0.08%             | 2049-12-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C26                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32068966 | PA      | $508902.42    | 0.03%             | 2048-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C7                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  63632534 | PA      | $2291089.37   | 0.15%             | 2050-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92939HBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54117455 | PA      | $366808.11    | 0.02%             | 2057-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC26                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36250HAG8<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |  34650660 | PA      | $455482.92    | 0.03%             | 2047-11-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2016-NXSR                                                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12594PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  98758059 | PA      | $2419572.45   | 0.15%             | 2049-12-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-BNK2                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690YBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23291776 | PA      | $639943.86    | 0.04%             | 2049-11-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592GBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19534389 | PA      | $199729.36    | 0.01%             | 2047-08-10      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS4 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12591QAS1<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |  24458404 | PA      | $257561.67    | 0.02%             | 2047-08-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20414011 | PA      | $179312.59    | 0.01%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1920449 | PA      | $19.20        | 0.00%             | 2045-12-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36253BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64864321 | PA      | $496205.57    | 0.03%             | 2047-06-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC13 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12626GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22579897 | PA      | $61406.03     | 0.00%             | 2046-08-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58412711 | PA      | $424426.76    | 0.03%             | 2047-03-11      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15538284 | PA      | $131314.04    | 0.01%             | 2047-10-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 94988XAX4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |  48637157 | PA      | $456625.09    | 0.03%             | 2050-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| AREIT 2020-CRE4 TRUST                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 04002RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5659000 | PA      | $5390197.50   | 0.35%             | 2037-04-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46654BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $3504543.35   | 0.22%             | 2042-10-09      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3655938.40   | 0.23%             | 2047-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112000 | PA      | $1783118.94   | 0.11%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424051 | PA      | $415408.13    | 0.03%             | 2036-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| AREIT 2019-CRE3 TRUST                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877611 | PA      | $864563.55    | 0.06%             | 2036-09-14      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MORTGAGE TRUST                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3735000 | PA      | $3690280.85   | 0.24%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   3355000 | PA      | $3166260.78   | 0.20%             | 2050-03-25      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001XAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9320000 | PA      | $6267641.28   | 0.40%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   8916434 | PA      | $8439563.27   | 0.54%             | 2049-10-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55224071 | PA      | $2006991.86   | 0.13%             | 2051-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56300304 | PA      | $1694160.59   | 0.11%             | 2051-07-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06539LBC3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        | 191041489 | PA      | $4059631.64   | 0.26%             | 2061-08-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C5                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05492JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499000 | PA      | $322605.30    | 0.02%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MORTGAGE TRUST                                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3594000 | PA      | $3106957.65   | 0.20%             | 2050-11-13      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2331000 | PA      | $475954.77    | 0.03%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2018-COR3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5941000 | PA      | $4965008.96   | 0.32%             | 2051-05-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C46                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412000 | PA      | $353252.55    | 0.02%             | 2051-08-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2015-UBS8                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319000 | PA      | $277129.56    | 0.02%             | 2048-12-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE TRUST 2016-UBS10              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06054MAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3113000 | PA      | $2842742.10   | 0.18%             | 2049-07-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |   4877000 | PA      | $3916001.78   | 0.25%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724790 | PA      | $647857.57    | 0.04%             | 2045-05-10      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416000 | PA      | $300366.10    | 0.02%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90268TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244345 | PA      | $219470.24    | 0.01%             | 2045-01-10      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   4172000 | PA      | $1428492.80   | 0.09%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $204965.86    | 0.01%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $274361.07    | 0.02%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6151000 | PA      | $3849295.80   | 0.25%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE18 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12632QBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2758000 | PA      | $2603689.90   | 0.17%             | 2047-07-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MORTGAGE TRUST                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126192AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918000 | PA      | $390121.20    | 0.02%             | 2044-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2038000 | PA      | $957860.00    | 0.06%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92935VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1601000 | PA      | $16.01        | 0.00%             | 2044-03-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4371000 | PA      | $928837.50    | 0.06%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90349GAU9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   1319000 | PA      | $1285064.77   | 0.08%             | 2046-04-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3567000 | PA      | $2227694.95   | 0.14%             | 2047-11-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651000 | PA      | $1255080.79   | 0.08%             | 2045-05-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6212000 | PA      | $60877.60     | 0.00%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4818000 | PA      | $2978906.76   | 0.19%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3264000 | PA      | $3115886.21   | 0.20%             | 2047-06-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   1812000 | PA      | $1587147.11   | 0.10%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2709000 | PA      | $1989652.14   | 0.13%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2364000 | PA      | $2140261.35   | 0.14%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592MBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2308000 | PA      | $2204654.45   | 0.14%             | 2047-10-10      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504000 | PA      | $467212.94    | 0.03%             | 2047-12-10      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C16                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $269769.94    | 0.02%             | 2047-06-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4252000 | PA      | $3613481.42   | 0.23%             | 2048-02-10      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C21                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764XBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $258797.97    | 0.02%             | 2048-03-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    219000 | PA      | $148725.22    | 0.01%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |   3716000 | PA      | $3261590.43   | 0.21%             | 2050-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524000 | PA      | $1182462.15   | 0.08%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4306000 | PA      | $3946177.73   | 0.25%             | 2048-09-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624BAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $197800.00    | 0.01%             | 2045-05-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2386269 | PA      | $2266382.97   | 0.15%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40261 | PA      | $38851.85     | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 22546NAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9821289 | PA      | $3604413.04   | 0.23%             | 2041-02-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395000 | PA      | $1029139.35   | 0.07%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4436000 | PA      | $812772.79    | 0.05%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5285402 | PA      | $4677755.46   | 0.30%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2768202 | PA      | $2661588.04   | 0.17%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1776768 | PA      | $1383138.91   | 0.09%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3258000 | PA      | $2671560.00   | 0.17%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MORTGAGE TRUST                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126192AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2189803 | PA      | $2185335.82   | 0.14%             | 2044-12-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |   1406000 | PA      | $1026098.80   | 0.07%             | 2045-03-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2494000 | PA      | $1943075.40   | 0.12%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C5                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508000 | PA      | $468740.90    | 0.03%             | 2045-08-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4142000 | PA      | $1582659.45   | 0.10%             | 2045-06-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105000 | PA      | $692721.30    | 0.04%             | 2045-12-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621000 | PA      | $620670.87    | 0.04%             | 2047-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE6 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683000 | PA      | $1262250.00   | 0.08%             | 2046-03-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC10                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8700852 | PA      | $8616488.58   | 0.55%             | 2046-02-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C12                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92937FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227000 | PA      | $220973.76    | 0.01%             | 2048-03-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90349GAN5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   2237000 | PA      | $2208140.69   | 0.14%             | 2046-04-10      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970000 | PA      | $4266251.48   | 0.27%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337000 | PA      | $322935.37    | 0.02%             | 2045-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3329000 | PA      | $234712.48    | 0.02%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5853000 | PA      | $3108198.19   | 0.20%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC13 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $680760.00    | 0.04%             | 2046-08-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333800 | PA      | $300352.96    | 0.02%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12626LBN1<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |    949000 | PA      | $941569.33    | 0.06%             | 2050-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C15                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640NAL2<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   7601000 | PA      | $7334911.79   | 0.47%             | 2045-11-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3873000 | PA      | $3706800.66   | 0.24%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR14 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2864000 | PA      | $2623284.24   | 0.17%             | 2047-02-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5144000 | PA      | $3497920.00   | 0.22%             | 2047-01-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3645000 | PA      | $997885.82    | 0.06%             | 2045-12-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2565000 | PA      | $25.65        | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| AREIT 2022-CRE7 LLC                                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4729000 | PA      | $4669887.50   | 0.30%             | 2039-06-17      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| PFP 2021-8 LTD                                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    185265 | PA      | $178222.80    | 0.01%             | 2037-08-09      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2021-FL7 LLC                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75575WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3772357.68   | 0.24%             | 2036-11-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| PFP 2021-7 LTD                                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2999850 | PA      | $2889231.12   | 0.19%             | 2038-04-14      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD                                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    287000 | PA      | $281260.00    | 0.02%             | 2035-08-19      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL8                                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    290073 | PA      | $282003.05    | 0.02%             | 2036-01-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313000 | PA      | $311353.09    | 0.02%             | 2037-01-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2005-C21                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92976BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2716079 | PA      | $2471088.45   | 0.16%             | 2044-10-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2021-C10                                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05551VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $2136077.16   | 0.14%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD                                                             | CORP CMO                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-CBDO         | CORP              | BM        |   1755056 | PA      | $1749517.45   | 0.11%             | 2028-11-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     49000 | PA      | $51770.11     | 0.00%             | 2031-01-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                    | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    146939 | PA      | $147122.39    | 0.01%             | 2031-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R02                                    | CORP CMO                              | CUSIP: 20753KAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1586000 | PA      | $1623001.54   | 0.10%             | 2031-08-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                               | CORP CMO                              | CUSIP: 35564LBD8<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $732303.74    | 0.05%             | 2049-03-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                               | CORP CMO                              | CUSIP: 35563KBD1<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |  10684210 | PA      | $11294195.05  | 0.72%             | 2049-01-25      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    222747 | PA      | $235229.29    | 0.02%             | 2028-09-25      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     65860 | PA      | $69157.20     | 0.00%             | 2028-10-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    109723 | PA      | $112634.67    | 0.01%             | 2024-04-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0KQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    115072 | PA      | $120041.72    | 0.01%             | 2028-12-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     61000 | PA      | $66817.31     | 0.00%             | 2029-07-25      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    233000 | PA      | $253897.47    | 0.02%             | 2029-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0PR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   2692000 | PA      | $2896181.74   | 0.19%             | 2029-10-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2177000 | PA      | $2320772.79   | 0.15%             | 2029-10-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    648000 | PA      | $663399.59    | 0.04%             | 2030-01-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2480000 | PA      | $2590965.12   | 0.17%             | 2030-02-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2017-1 LTD                                                        | CORP CMO                              | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1355666 | PA      | $1356317.39   | 0.09%             | 2027-10-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R4                                   | CORP CMO                              | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3084298 | PA      | $2996571.74   | 0.19%             | 2047-08-26      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0GW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     94313 | PA      | $99106.87     | 0.01%             | 2028-04-25      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     28848 | PA      | $30657.61     | 0.00%             | 2028-08-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR17 TRUST                  | CORP CMO                              | CUSIP: 92922F7T9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    456040 | PA      | $412515.01    | 0.03%             | 2045-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR17 TRUST                  | CORP CMO                              | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1532745 | PA      | $1359697.71   | 0.09%             | 2045-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR2 TRUST                   | CORP CMO                              | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320044 | PA      | $311466.58    | 0.02%             | 2045-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST                  | CORP CMO                              | CUSIP: 92922F4R6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    889731 | PA      | $829291.62    | 0.05%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST                  | CORP CMO                              | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3002744 | PA      | $2798767.50   | 0.18%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                                | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9167000 | PA      | $9167000.00   | 0.59%             | 2023-05-29      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                     | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4963000 | PA      | $4482373.15   | 0.29%             | 2024-10-22      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-3                                     | CORP CMO                              | CUSIP: 24381YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3506382 | PA      | $3442155.56   | 0.22%             | 2067-07-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| VISIO 2022-1 TRUST                                                              | CORP CMO                              | CUSIP: 92838CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1829125 | PA      | $1735667.47   | 0.11%             | 2057-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                                                  | CORP CMO                              | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1903000 | PA      | $1480343.70   | 0.09%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 35564KB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1019834.70   | 0.07%             | 2042-07-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                                        | CORP CMO                              | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3411635 | PA      | $3283699.02   | 0.21%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                       | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5450000 | PA      | $5450000.00   | 0.35%             | 2023-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                         | CORP CMO                              | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4694674 | PA      | $4573058.08   | 0.29%             | 2032-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                            | CORP CMO                              | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    539504 | PA      | $533570.58    | 0.03%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                     | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5905000 | PA      | $5742612.50   | 0.37%             | 2024-10-22      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II SERIES 2022-1                  | CORP CMO                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150000.00    | 0.01%             | 2025-03-30      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-HE2                                        | CORP CMO                              | CUSIP: 10569CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2730000.00   | 0.17%             | 2069-11-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST I SERIES 2021-BPL1                                              | CORP CMO                              | CUSIP: 62955KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3200000 | PA      | $2978317.76   | 0.19%             | 2026-05-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC                                                                | CORP CMO                              | CUSIP: 19688EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2996000 | PA      | $1813960.56   | 0.12%             | 2066-06-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2021-HB6                                         | CORP CMO                              | CUSIP: 12527LAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1818390.80   | 0.12%             | 2036-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA4                                         | CORP CMO                              | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3732140 | PA      | $3384057.11   | 0.22%             | 2041-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    884000 | PA      | $859137.50    | 0.06%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                         | CORP CMO                              | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9206000 | PA      | $9194492.50   | 0.59%             | 2042-03-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2020-2 LTD                                                        | CORP CMO                              | CUSIP: 078782AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1278000 | PA      | $1312143.05   | 0.08%             | 2030-08-26      | Floating      | 13.01%                | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL3 TRUST                                                            | CORP CMO                              | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72612 | PA      | $70896.12     | 0.00%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                   | CORP CMO                              | CUSIP: 36260AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1125000 | PA      | $937963.69    | 0.06%             | 2059-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR2                                               | CORP CMO                              | CUSIP: 35564WAH6<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-CBDO         | CORP              | US        |    928000 | PA      | $890444.77    | 0.06%             | 2048-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0SE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $263500.38    | 0.02%             | 2030-04-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                                   | CORP CMO                              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4951408.50   | 0.32%             | 2040-02-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                                   | CORP CMO                              | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1591641.12   | 0.10%             | 2040-02-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                                 | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4281763 | PA      | $4126309.56   | 0.26%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                         | CORP CMO                              | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51984 | PA      | $53195.01     | 0.00%             | 2050-03-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                                       | CORP CMO                              | CUSIP: 31574PAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    131000 | PA      | $123583.58    | 0.01%             | 2065-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2020-INV1                                            | CORP CMO                              | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1990000 | PA      | $1882413.83   | 0.12%             | 2060-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUST                                                 | CORP CMO                              | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175000 | PA      | $165532.50    | 0.01%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2020-RPL1                                       | CORP CMO                              | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5430000 | PA      | $4859745.75   | 0.31%             | 2059-05-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST 2020-1                                         | CORP CMO                              | CUSIP: 92838WAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    373119 | PA      | $368249.21    | 0.02%             | 2065-03-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                                               | CORP CMO                              | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2100000 | PA      | $1871047.51   | 0.12%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2020-1                                                    | CORP CMO                              | CUSIP: 04285CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $127057.40    | 0.01%             | 2055-03-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST                                                            | CORP CMO                              | CUSIP: 36166RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2054097 | PA      | $1890009.07   | 0.12%             | 2065-04-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                                   | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2863400 | PA      | $2827607.09   | 0.18%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                           | CORP CMO                              | CUSIP: 35563WBD5<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |   1280000 | PA      | $1320698.75   | 0.08%             | 2048-09-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R03                                    | CORP CMO                              | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112848 | PA      | $112994.07    | 0.01%             | 2031-09-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                               | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3279000 | PA      | $2855257.13   | 0.18%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                                    | CORP CMO                              | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3050000 | PA      | $2464977.97   | 0.16%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    331600 | PA      | $350768.87    | 0.02%             | 2030-12-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     33537 | PA      | $33416.54     | 0.00%             | 2029-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2019-1 LTD                                                            | CORP CMO                              | CUSIP: 75049SAC7<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-CBDO         | CORP              | BM        |   5630000 | PA      | $5580341.72   | 0.36%             | 2029-02-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R06                                    | CORP CMO                              | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11372 | PA      | $11371.72     | 0.00%             | 2039-09-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    134211 | PA      | $133578.58    | 0.01%             | 2030-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2019-4 LTD                                                        | CORP CMO                              | CUSIP: 07876LAC3<br>LEI: 254900KXN235YISGF415 | Long             | ABS-CBDO         | CORP              | BM        |   4951848 | PA      | $4914589.13   | 0.31%             | 2029-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA3                                               | CORP CMO                              | CUSIP: 35564TAH3<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-CBDO         | CORP              | US        |    270814 | PA      | $270814.08    | 0.02%             | 2049-07-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1                                   | CORP CMO                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-CBDO         | CORP              | US        |    915175 | PA      | $908484.65    | 0.06%             | 2039-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                               | CORP CMO                              | CUSIP: 35564MBD6<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |    806000 | PA      | $834398.28    | 0.05%             | 2049-04-25      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                    | CORP CMO                              | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1585097 | PA      | $1587068.97   | 0.10%             | 2040-01-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                         | CORP CMO                              | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-CBDO         | CORP              | US        |    941669 | PA      | $939326.53    | 0.06%             | 2050-01-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                    | CORP CMO                              | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    927440 | PA      | $924397.01    | 0.06%             | 2040-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA2                                         | CORP CMO                              | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-CBDO         | CORP              | US        |   1094040 | PA      | $1094040.41   | 0.07%             | 2050-02-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA2                                         | CORP CMO                              | CUSIP: 35565KBD9<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-CBDO         | CORP              | US        |     83000 | PA      | $79385.20     | 0.01%             | 2050-02-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0RJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1290000 | PA      | $1358723.20   | 0.09%             | 2030-03-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2018-1 LTD                                                            | CORP CMO                              | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-CBDO         | CORP              | BM        |   3022682 | PA      | $3051587.05   | 0.20%             | 2028-03-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3              | CORP CMO                              | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-CBDO         | CORP              | US        |    621198 | PA      | $573241.25    | 0.04%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2975000 | PA      | $3096097.97   | 0.20%             | 2030-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-DNA2                                               | CORP CMO                              | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-CBDO         | CORP              | US        |   7040000 | PA      | $7180800.00   | 0.46%             | 2030-12-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2018-R07                                    | CORP CMO                              | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     42669 | PA      | $42722.29     | 0.00%             | 2031-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2018-R07                                    | CORP CMO                              | CUSIP: 20753QAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4500000 | PA      | $4614430.51   | 0.30%             | 2031-04-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD                                                             | CORP CMO                              | CUSIP: 269826AB9<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-CBDO         | CORP              | BM        |   1210000 | PA      | $1221370.85   | 0.08%             | 2028-11-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORP MED TERM NOTE                    | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3894000 | PA      | $3823720.27   | 0.24%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | CORP MED TERM NOTE                    | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5844000 | PA      | $5728984.06   | 0.37%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                | CORP MED TERM NOTE                    | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    410000 | PA      | $384743.90    | 0.02%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | CORP MED TERM NOTE                    | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59850.05     | 0.00%             | 2023-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORP MED TERM NOTE                    | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    950000 | PA      | $933633.44    | 0.06%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | CORP. NOTE                            | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1406000 | PA      | $1312276.96   | 0.08%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | CORP. NOTE                            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1355657.94   | 0.09%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | CORP. NOTE                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    345000 | PA      | $339062.03    | 0.02%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORP. NOTE                            | CUSIP: 45866FAT1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    533000 | PA      | $524902.13    | 0.03%             | 2025-05-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                             | CORP. NOTE                            | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |   1543000 | PA      | $1465850.00   | 0.09%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1468000 | PA      | $1432689.01   | 0.09%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   5050000 | PA      | $5115197.97   | 0.33%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORP. NOTE                            | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    798000 | PA      | $766338.34    | 0.05%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1482000 | PA      | $1483934.01   | 0.10%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | CORP. NOTE                            | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $2061787.40   | 0.13%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                                  | CORP. NOTE                            | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1538612.57   | 0.10%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | CORP. NOTE                            | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $2076768.75   | 0.13%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                                   | CORP. NOTE                            | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    495000 | PA      | $417330.84    | 0.03%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $4345166.68   | 0.28%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                               | CORP. NOTE                            | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    810000 | PA      | $825211.80    | 0.05%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBQ8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    555000 | PA      | $497936.84    | 0.03%             | 2026-05-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORP. NOTE                            | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   3281000 | PA      | $2795232.56   | 0.18%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORP. NOTE                            | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    420000 | PA      | $398701.66    | 0.03%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     90000 | PA      | $57853.80     | 0.00%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                             | CORP. NOTE                            | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    255000 | PA      | $226975.50    | 0.01%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   3883000 | PA      | $3396887.69   | 0.22%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORP. NOTE                            | CUSIP: 79466LAG9<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236009.14    | 0.02%             | 2024-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                     | CORP. NOTE                            | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $74288.48     | 0.00%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                      | CORP. NOTE                            | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    520000 | PA      | $460466.97    | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    240000 | PA      | $206740.01    | 0.01%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $78822.68     | 0.01%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORP. NOTE                            | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    505000 | PA      | $407217.13    | 0.03%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORP. NOTE                            | CUSIP: 960413AX0<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    230000 | PA      | $215347.26    | 0.01%             | 2024-08-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                            | CORP. NOTE                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78525.00     | 0.01%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                          | CORP. NOTE                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84568.05     | 0.01%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                       | CORP. NOTE                            | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    210000 | PA      | $185262.42    | 0.01%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                           | CORP. NOTE                            | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    180000 | PA      | $167004.00    | 0.01%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | CORP. NOTE                            | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    519000 | PA      | $453321.24    | 0.03%             | 2026-10-02      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | CORP. NOTE                            | CUSIP: 29250NBH7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $205531.85    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MINSUR SA                                                                       | CORP. NOTE                            | CUSIP: P6811TAB1<br>LEI: 254900C69MVC7SXO2G61 | Long             | DBT              | CORP              | PE        |    280000 | PA      | $249900.00    | 0.02%             | 2031-10-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                  | CORP. NOTE                            | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $184437.00    | 0.01%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORP. NOTE                            | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     89000 | PA      | $79105.86     | 0.01%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                   | CORP. NOTE                            | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $146518.75    | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | CORP. NOTE                            | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    856000 | PA      | $770094.22    | 0.05%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                            | CORP. NOTE                            | CUSIP: 201723AQ6<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |    540000 | PA      | $483300.00    | 0.03%             | 2030-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                           | CORP. NOTE                            | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $54600.00     | 0.00%             | 2027-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORP. NOTE                            | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    425000 | PA      | $395241.84    | 0.03%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3209000 | PA      | $2855865.05   | 0.18%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                     | CORP. NOTE                            | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    710000 | PA      | $670068.89    | 0.04%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CORP. NOTE                            | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    692000 | PA      | $600245.46    | 0.04%             | 2027-08-21      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                             | CORP. NOTE                            | CUSIP: 38869AAC1<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    490000 | PA      | $431273.50    | 0.03%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCJ8<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    330000 | PA      | $332211.00    | 0.02%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AX6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $192519.39    | 0.01%             | 2025-09-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   3176000 | PA      | $2691287.14   | 0.17%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORP. NOTE                            | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    220000 | PA      | $197831.50    | 0.01%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBK1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    270000 | PA      | $243903.25    | 0.02%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                            | CORP. NOTE                            | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $38196.80     | 0.00%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77549.60     | 0.00%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                                            | CORP. NOTE                            | CUSIP: 94106LBL2<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36264.19     | 0.00%             | 2025-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                           | CORP. NOTE                            | CUSIP: 760759AY6<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    270000 | PA      | $242990.40    | 0.02%             | 2025-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | CORP. NOTE                            | CUSIP: 110122DN5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     32000 | PA      | $29036.95     | 0.00%             | 2025-11-13      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                                             | CORP. NOTE                            | CUSIP: 37331NAN1<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    230000 | PA      | $204858.12    | 0.01%             | 2026-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $155356.25    | 0.01%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | CORP. NOTE                            | CUSIP: 025537AR2<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $234131.06    | 0.01%             | 2025-11-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117199.81    | 0.01%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2051000 | PA      | $1695677.31   | 0.11%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | CORP. NOTE                            | CUSIP: 04685A2R1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    495000 | PA      | $401184.16    | 0.03%             | 2030-11-19      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                            | CORP. NOTE                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87975.00     | 0.01%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                           | CORP. NOTE                            | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $80250.30     | 0.01%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                           | CORP. NOTE                            | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $146197.09    | 0.01%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                      | CORP. NOTE                            | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    535000 | PA      | $519027.66    | 0.03%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2786000 | PA      | $2518469.89   | 0.16%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1779000 | PA      | $1554845.82   | 0.10%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                        | CORP. NOTE                            | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $76968.00     | 0.00%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORP. NOTE                            | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2154150.22   | 0.14%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                                            | CORP. NOTE                            | CUSIP: 69370RAL1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    300000 | PA      | $244978.90    | 0.02%             | 2031-02-09      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | CORP. NOTE                            | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    290000 | PA      | $257855.45    | 0.02%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                            | CORP. NOTE                            | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78750.00     | 0.01%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORP. NOTE                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80744.40     | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   1100000 | PA      | $884365.76    | 0.06%             | 2031-03-11      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY CO                                                    | CORP. NOTE                            | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    210000 | PA      | $207356.26    | 0.01%             | 2025-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                      | CORP. NOTE                            | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80856.00     | 0.01%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    856000 | PA      | $730635.77    | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2069000 | PA      | $1845147.36   | 0.12%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                         | CORP. NOTE                            | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179500.00    | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1450993.31   | 0.09%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                               | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $156600.00    | 0.01%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                             | CORP. NOTE                            | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $182468.00    | 0.01%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | CORP. NOTE                            | CUSIP: 254687FN1<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    330000 | PA      | $321641.72    | 0.02%             | 2025-03-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    930000 | PA      | $902772.71    | 0.06%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    230000 | PA      | $219294.88    | 0.01%             | 2025-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORP. NOTE                            | CUSIP: 92556HAA5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114108.10    | 0.01%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1046753.62   | 0.07%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     98000 | PA      | $91784.97     | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3844000 | PA      | $3697455.58   | 0.24%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP                                                             | CORP. NOTE                            | CUSIP: 256677AG0<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |    572000 | PA      | $527445.72    | 0.03%             | 2030-04-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | CORP. NOTE                            | CUSIP: 59217GEG0<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   3092000 | PA      | $2790071.58   | 0.18%             | 2030-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                              | CORP. NOTE                            | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    240000 | PA      | $232722.41    | 0.01%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   3314000 | PA      | $3064473.80   | 0.20%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                            | CORP. NOTE                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2615297.93   | 0.17%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                               | CORP. NOTE                            | CUSIP: 448579AJ1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    410000 | PA      | $422488.94    | 0.03%             | 2030-04-23      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS AND CHEMICALS INC                                                  | CORP. NOTE                            | CUSIP: 009158BB1<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    230000 | PA      | $213312.76    | 0.01%             | 2025-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | CORP. NOTE                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3870000 | PA      | $3770171.03   | 0.24%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | CORP. NOTE                            | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    207000 | PA      | $196988.45    | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                     | CORP. NOTE                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    180000 | PA      | $165558.60    | 0.01%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | CORP. NOTE                            | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    440000 | PA      | $431552.14    | 0.03%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORP. NOTE                            | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4026000 | PA      | $3679500.90   | 0.24%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                          | CORP. NOTE                            | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81974.10     | 0.01%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA/THE                                                         | CORP. NOTE                            | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    510000 | PA      | $470920.82    | 0.03%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | CORP. NOTE                            | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    520000 | PA      | $478381.93    | 0.03%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | CORP. NOTE                            | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157312.04    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    490000 | PA      | $462367.48    | 0.03%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORP. NOTE                            | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2385000 | PA      | $2371857.00   | 0.15%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORP. NOTE                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2754562.50   | 0.18%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | CORP. NOTE                            | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   6952000 | PA      | $6539505.02   | 0.42%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORP. NOTE                            | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    340000 | PA      | $298048.96    | 0.02%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORP. NOTE                            | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    425000 | PA      | $419497.85    | 0.03%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    470000 | PA      | $457780.00    | 0.03%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORP. NOTE                            | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1378000 | PA      | $1334358.56   | 0.09%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    820000 | PA      | $792579.13    | 0.05%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VI LLC                                                     | CORP. NOTE                            | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |   1322000 | PA      | $1222174.22   | 0.08%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1945399.28   | 0.12%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                        | CORP. NOTE                            | CUSIP: 45174HBE6<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    250000 | PA      | $223907.50    | 0.01%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                 | CORP. NOTE                            | CUSIP: 149123CG4<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    583000 | PA      | $527473.57    | 0.03%             | 2029-09-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                       | CORP. NOTE                            | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85794.30     | 0.01%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORP. NOTE                            | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $322568.86    | 0.02%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                                        | CORP. NOTE                            | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87114.60     | 0.01%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | CORP. NOTE                            | CUSIP: 316773CY4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    310000 | PA      | $295750.97    | 0.02%             | 2025-01-28      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC                               | CORP. NOTE                            | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |    925000 | PA      | $842739.75    | 0.05%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   2668000 | PA      | $2415108.98   | 0.15%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                        | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |   1357000 | PA      | $1267772.16   | 0.08%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | CORP. NOTE                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2402000 | PA      | $2272357.99   | 0.15%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                    | CORP. NOTE                            | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $226015.59    | 0.01%             | 2028-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |   2035000 | PA      | $2019737.50   | 0.13%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3674000 | PA      | $3505084.39   | 0.22%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                            | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83812.50     | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   2220000 | PA      | $1940020.22   | 0.12%             | 2030-01-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                           | CORP. NOTE                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1071000 | PA      | $989545.63    | 0.06%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1112000 | PA      | $967171.89    | 0.06%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORP. NOTE                            | CUSIP: 037833DK3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   4999000 | PA      | $4765229.01   | 0.31%             | 2027-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                                            | CORP. NOTE                            | CUSIP: 958102AM7<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38650.00     | 0.00%             | 2026-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $194291.58    | 0.01%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK  AND  TRUST CO                                              | CORP. NOTE                            | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |   3271000 | PA      | $3428755.22   | 0.22%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | CORP. NOTE                            | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   2898000 | PA      | $2814833.98   | 0.18%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OSHKOSH CORP                                                                    | CORP. NOTE                            | CUSIP: 688239AF9<br>LEI: 549300FEKNPCFSA2B506 | Long             | DBT              | CORP              | US        |   2182000 | PA      | $2125974.40   | 0.14%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORP. NOTE                            | CUSIP: 49271VAH3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     63000 | PA      | $62520.27     | 0.00%             | 2025-05-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                        | CORP. NOTE                            | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    240000 | PA      | $239225.12    | 0.02%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | CORP. NOTE                            | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |   2843000 | PA      | $2804418.50   | 0.18%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORP. NOTE                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155912.95    | 0.01%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | CORP. NOTE                            | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   2227000 | PA      | $2175604.09   | 0.14%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | CORP. NOTE                            | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78096.00     | 0.01%             | 2028-08-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORP. NOTE                            | CUSIP: 459506AK7<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    775000 | PA      | $749325.29    | 0.05%             | 2028-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| STEVENS HOLDING CO INC                                                          | CORP. NOTE                            | CUSIP: 86024TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $91337.40     | 0.01%             | 2026-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                     | CORP. NOTE                            | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $283391.20    | 0.02%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MARSH  AND  MCLENNAN COS INC                                                    | CORP. NOTE                            | CUSIP: 571748BF8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    260000 | PA      | $257124.49    | 0.02%             | 2024-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    507000 | PA      | $494807.54    | 0.03%             | 2026-01-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                       | CORP. NOTE                            | CUSIP: 96145DAF2<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    240000 | PA      | $233743.03    | 0.01%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    962000 | PA      | $950669.19    | 0.06%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORP. NOTE                            | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1366000 | PA      | $1324428.18   | 0.08%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY INC                                                          | CORP. NOTE                            | CUSIP: 084670BS6<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1660935.47   | 0.11%             | 2026-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | CORP. NOTE                            | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247924.20    | 0.02%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORP. NOTE                            | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $699286.00    | 0.04%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                                | CORP. NOTE                            | CUSIP: 74256LAU3<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    535000 | PA      | $504039.66    | 0.03%             | 2026-04-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | CORP. NOTE                            | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1168000 | PA      | $1138883.31   | 0.07%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD                                   | CORP. NOTE                            | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    240000 | PA      | $234761.22    | 0.02%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORP. NOTE                            | CUSIP: 960413AT9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |   2894000 | PA      | $2768236.98   | 0.18%             | 2026-08-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORP. NOTE                            | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1268000 | PA      | $1270342.59   | 0.08%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORP. NOTE                            | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1009636.84   | 0.06%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | CORP. NOTE                            | CUSIP: 478375AR9<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    580000 | PA      | $567711.17    | 0.04%             | 2026-02-14      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI                                                        | CORP. NOTE                            | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1069533.57   | 0.07%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO JSC                                                     | CORP. NOTE                            | CUSIP: Y4596HAC1<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    330000 | PA      | $306900.00    | 0.02%             | 2027-04-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON  AND  CO                                                       | CORP. NOTE                            | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   1524000 | PA      | $1482067.08   | 0.09%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORP                                                                    | CORP. NOTE                            | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1092641.38   | 0.07%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                    | CORP. NOTE                            | CUSIP: 57629WCE8<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194424.54    | 0.01%             | 2024-06-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   1503000 | PA      | $1414698.75   | 0.09%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | CORP. NOTE                            | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241817.58    | 0.02%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | CORP. NOTE                            | CUSIP: 031162CQ1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    445000 | PA      | $421295.73    | 0.03%             | 2027-11-02      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC                                                                  | CORP. NOTE                            | CUSIP: 304071AA1<br>LEI: 549300JGURHUEU25AZ92 | Long             | DBT              | CORP              | US        |    310000 | PA      | $305074.26    | 0.02%             | 2024-08-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORP. NOTE                            | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    155000 | PA      | $152482.43    | 0.01%             | 2024-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | CORP. NOTE                            | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3176000 | PA      | $3081085.24   | 0.20%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                             | CORP. NOTE                            | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $193764.55    | 0.01%             | 2025-04-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1226000 | PA      | $1219698.58   | 0.08%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CORP. NOTE                            | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411448.69    | 0.03%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | CORP. NOTE                            | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2098000 | PA      | $2054985.82   | 0.13%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CORP. NOTE                            | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    440000 | PA      | $430544.45    | 0.03%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5600000 | PA      | $5582091.04   | 0.36%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 2027A0HR3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $196908.52    | 0.01%             | 2025-12-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | CORP. NOTE                            | CUSIP: 780082AD5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    460000 | PA      | $457171.12    | 0.03%             | 2026-01-27      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CORP. NOTE                            | CUSIP: 606822AD6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    370000 | PA      | $357859.22    | 0.02%             | 2026-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORP. NOTE                            | CUSIP: 594918AT1<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    340000 | PA      | $338236.90    | 0.02%             | 2023-05-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                                                | CORP. NOTE                            | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    520000 | PA      | $511628.00    | 0.03%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | CORP. NOTE                            | CUSIP: 26442EAD2<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    260000 | PA      | $258042.33    | 0.02%             | 2023-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                                      | CORP. NOTE                            | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $277529.56    | 0.02%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | CORP. NOTE                            | CUSIP: 780097AZ4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    360000 | PA      | $361333.92    | 0.02%             | 2023-12-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL PAPER CO                                                          | CORPORATE BONDS                       | CUSIP: 460146CM3<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |    405000 | PA      | $400530.54    | 0.03%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1284000 | PA      | $1263128.90   | 0.08%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                  | CORPORATE BONDS                       | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $206589.95    | 0.01%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORPORATE BONDS                       | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7580000 | PA      | $7436837.38   | 0.48%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAD6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    260000 | PA      | $255042.84    | 0.02%             | 2025-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300351.26    | 0.02%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                            | CORPORATE BONDS                       | CUSIP: 013817AJ0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91575.00     | 0.01%             | 2027-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    583000 | PA      | $678014.44    | 0.04%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1668539.92   | 0.11%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     80000 | PA      | $69860.00     | 0.00%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    830000 | PA      | $845383.91    | 0.05%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                                                  | CORPORATE BONDS                       | CUSIP: 00185AAB0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   1806000 | PA      | $1449372.79   | 0.09%             | 2042-12-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | CORPORATE BONDS                       | CUSIP: 775109AX9<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    440000 | PA      | $379246.55    | 0.02%             | 2043-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CORPORATE BONDS                       | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   2501000 | PA      | $2276183.06   | 0.15%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORP                                                                    | CORPORATE BONDS                       | CUSIP: 615369AC9<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    240000 | PA      | $239401.24    | 0.02%             | 2024-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                  | CORPORATE BONDS                       | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    520000 | PA      | $410978.97    | 0.03%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                    | CORPORATE BONDS                       | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    625000 | PA      | $512696.85    | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1147000 | PA      | $1060333.31   | 0.07%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    455000 | PA      | $415480.39    | 0.03%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214EG4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1048000 | PA      | $912221.63    | 0.06%             | 2039-07-24      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                            | CORPORATE BONDS                       | CUSIP: 35671DCD5<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    485000 | PA      | $480770.80    | 0.03%             | 2029-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $958218.36    | 0.06%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    415000 | PA      | $436426.45    | 0.03%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORPORATE BONDS                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    365000 | PA      | $368817.79    | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    549000 | PA      | $432311.69    | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     98000 | PA      | $96784.80     | 0.01%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                       | CORPORATE BONDS                       | CUSIP: 23291KAH8<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |   2156000 | PA      | $1935061.74   | 0.12%             | 2029-11-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAP9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   1742000 | PA      | $1543586.81   | 0.10%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2831000 | PA      | $2509194.23   | 0.16%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   3371000 | PA      | $2945213.00   | 0.19%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC           | CORPORATE BONDS                       | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $82785.25     | 0.01%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35853.12     | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                                  | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    249000 | PA      | $244020.00    | 0.02%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1078000 | PA      | $1028711.40   | 0.07%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CORPORATE BONDS                       | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    445000 | PA      | $437465.14    | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    957000 | PA      | $992819.40    | 0.06%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                                         | CORPORATE BONDS                       | CUSIP: 67103HAG2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    530000 | PA      | $525824.90    | 0.03%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3401516.05   | 0.22%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORPORATE BONDS                       | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    435000 | PA      | $432522.30    | 0.03%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | CORPORATE BONDS                       | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $3227026.54   | 0.21%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    310000 | PA      | $305767.70    | 0.02%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    977000 | PA      | $943834.86    | 0.06%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    380000 | PA      | $353387.04    | 0.02%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 941053AH3<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $88595.89     | 0.01%             | 2028-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                                             | CORPORATE BONDS                       | CUSIP: 929160AY5<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |    385000 | PA      | $353479.05    | 0.02%             | 2048-03-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | CORPORATE BONDS                       | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |   1583000 | PA      | $1512677.05   | 0.10%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORPORATE BONDS                       | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    303000 | PA      | $295218.42    | 0.02%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2117000 | PA      | $2080792.29   | 0.13%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    822000 | PA      | $762805.18    | 0.05%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                      | CORPORATE BONDS                       | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $1997309.73   | 0.13%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | CORPORATE BONDS                       | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    325000 | PA      | $383961.79    | 0.02%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC / OMNICOM CAPITAL INC                                         | CORPORATE BONDS                       | CUSIP: 68217FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $222961.02    | 0.01%             | 2026-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    270000 | PA      | $264602.03    | 0.02%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORPORATE BONDS                       | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    852000 | PA      | $782898.24    | 0.05%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    282000 | PA      | $261663.84    | 0.02%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    198000 | PA      | $183272.30    | 0.01%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1234000 | PA      | $1213966.92   | 0.08%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    450000 | PA      | $394969.01    | 0.03%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   3265000 | PA      | $3240936.95   | 0.21%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                             | CORPORATE BONDS                       | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     90000 | PA      | $82371.60     | 0.01%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CORPORATE BONDS                       | CUSIP: 12527GAH6<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |     46000 | PA      | $45367.36     | 0.00%             | 2026-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 26138EAX7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1426000 | PA      | $1363403.99   | 0.09%             | 2027-06-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NBY6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1498000 | PA      | $1440199.60   | 0.09%             | 2027-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1754000 | PA      | $1744632.50   | 0.11%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214DK6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    390000 | PA      | $374352.97    | 0.02%             | 2027-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO/THE                                                         | CORPORATE BONDS                       | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    220000 | PA      | $211271.38    | 0.01%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORPORATE BONDS                       | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   1181000 | PA      | $1189894.74   | 0.08%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                               | CORPORATE BONDS                       | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    455000 | PA      | $435016.35    | 0.03%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                    | CORPORATE BONDS                       | CUSIP: 189754AC8<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    552000 | PA      | $530780.51    | 0.03%             | 2027-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   1276000 | PA      | $1214589.54   | 0.08%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    759000 | PA      | $724202.62    | 0.05%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORPORATE BONDS                       | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2191000 | PA      | $2101249.37   | 0.13%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CORPORATE BONDS                       | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $163406.25    | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | CORPORATE BONDS                       | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1218372.90   | 0.08%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    435000 | PA      | $433368.75    | 0.03%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1276331.20   | 0.08%             | 2024-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | CORPORATE BONDS                       | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3662000 | PA      | $3565597.34   | 0.23%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91313.10     | 0.01%             | 2025-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                         | CORPORATE BONDS                       | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199908.13    | 0.01%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2374000 | PA      | $2179006.83   | 0.14%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                            | CORPORATE BONDS                       | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    546000 | PA      | $530229.41    | 0.03%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1393000 | PA      | $1400857.33   | 0.09%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CABOT CORP                                                                      | CORPORATE BONDS                       | CUSIP: 127055AM3<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |   1734000 | PA      | $1690360.04   | 0.11%             | 2032-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    634000 | PA      | $615897.70    | 0.04%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORPORATE BONDS                       | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1922000 | PA      | $1678472.33   | 0.11%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                               | CORPORATE BONDS                       | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2411489.81   | 0.15%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNILEVER CAPITAL CORP                                                           | CORPORATE BONDS                       | CUSIP: 904764AH0<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    477000 | PA      | $533711.03    | 0.03%             | 2032-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | CORPORATE BONDS                       | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     70000 | PA      | $79136.38     | 0.01%             | 2030-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |   1017000 | PA      | $1191733.94   | 0.08%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE INSURANCE CO                                                  | CORPORATE BONDS                       | CUSIP: 592173AE8<br>LEI: 549300H7EXFMRS487544 | Long             | DBT              | CORP              | US        |   1881000 | PA      | $2010943.34   | 0.13%             | 2025-11-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                           | CORPORATE BONDS                       | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    615000 | PA      | $534200.69    | 0.03%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                       | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2421545.82   | 0.16%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    655000 | PA      | $551120.43    | 0.04%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAL8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   2175000 | PA      | $1553625.38   | 0.10%             | 2051-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   2377000 | PA      | $1639585.26   | 0.11%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                    | CORPORATE BONDS                       | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    180000 | PA      | $151920.00    | 0.01%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | CORPORATE BONDS                       | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    515000 | PA      | $418089.07    | 0.03%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORPORATE BONDS                       | CUSIP: 960413AY8<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |   1981000 | PA      | $1393555.53   | 0.09%             | 2041-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORPORATE BONDS                       | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     90000 | PA      | $70056.23     | 0.00%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BELL TELEPHONE CO OF CANADA OR BELL CANADA/THE                                  | CORPORATE BONDS                       | CUSIP: 0778FPAG4<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |    625000 | PA      | $510740.56    | 0.03%             | 2032-02-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2102000 | PA      | $1699619.21   | 0.11%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1388000 | PA      | $1158744.04   | 0.07%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                 | CORPORATE BONDS                       | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1327000 | PA      | $834826.17    | 0.05%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                  | CORPORATE BONDS                       | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    630000 | PA      | $487038.26    | 0.03%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORPORATE BONDS                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3761000 | PA      | $3157769.86   | 0.20%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORPORATE BONDS                       | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    495000 | PA      | $407994.55    | 0.03%             | 2033-10-29      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                               | CORPORATE BONDS                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    944000 | PA      | $803586.39    | 0.05%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    826000 | PA      | $685634.05    | 0.04%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS INC                                                       | CORPORATE BONDS                       | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    657000 | PA      | $537570.59    | 0.03%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | CORPORATE BONDS                       | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    466000 | PA      | $405172.07    | 0.03%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | CORPORATE BONDS                       | CUSIP: 962166CA0<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $703281.22    | 0.05%             | 2033-03-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    515000 | PA      | $461830.39    | 0.03%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                | CORPORATE BONDS                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    906000 | PA      | $832277.79    | 0.05%             | 2032-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    852000 | PA      | $679465.70    | 0.04%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FBD2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2698000 | PA      | $2668506.11   | 0.17%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CORPORATE BONDS                       | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1836930.31   | 0.12%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    982000 | PA      | $773026.47    | 0.05%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAP9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1953000 | PA      | $1453479.24   | 0.09%             | 2040-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    719000 | PA      | $595921.15    | 0.04%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                       | CORPORATE BONDS                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146577.00    | 0.01%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORPORATE BONDS                       | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    500000 | PA      | $372859.33    | 0.02%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORPORATE BONDS                       | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    599000 | PA      | $548571.41    | 0.04%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1271000 | PA      | $915070.28    | 0.06%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CORPORATE BONDS                       | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $346503.97    | 0.02%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP OF COS INC/THE                                                | CORPORATE BONDS                       | CUSIP: 460690BT6<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    962000 | PA      | $795638.99    | 0.05%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1288354.81   | 0.08%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3216000 | PA      | $2545361.70   | 0.16%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $430659.54    | 0.03%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    812000 | PA      | $631128.84    | 0.04%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1868000 | PA      | $1575015.43   | 0.10%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2407000 | PA      | $2187995.57   | 0.14%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TJX COS INC/THE                                                                 | CORPORATE BONDS                       | CUSIP: 872540AT6<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |    548000 | PA      | $529720.71    | 0.03%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1282000 | PA      | $1158689.02   | 0.07%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                                                      | CORPORATE BONDS                       | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    560000 | PA      | $474785.40    | 0.03%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1747000 | PA      | $1629658.19   | 0.10%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | CORPORATE BONDS                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    390000 | PA      | $414358.18    | 0.03%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | CORPORATE BONDS                       | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1504000 | PA      | $1273320.13   | 0.08%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                     | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    136000 | PA      | $130827.93    | 0.01%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORPORATE BONDS                       | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    788000 | PA      | $515920.33    | 0.03%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORPORATE BONDS                       | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $419437.87    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1001831.33   | 0.06%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | CORPORATE BONDS                       | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2413000 | PA      | $1485036.52   | 0.10%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                        | CORPORATE BONDS                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   5214000 | PA      | $4425889.98   | 0.28%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $376380.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY STREET FUNDING LLC                                                      | DISC. CP                              | CUSIP: N/A<br>LEI: 549300F33VRHM10B9391       | Long             | ABS-APCP         | CORP              | US        |  10000000 | PA      | $9991308.30   | 0.64%             | 2023-02-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FUNDING CO LLC                                                  | DISC. CP                              | CUSIP: N/A<br>LEI: 549300S0NSJYSOB32S63       | Long             | ABS-APCP         | CORP              | US        |  10000000 | PA      | $9988805.00   | 0.64%             | 2023-02-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD                                   | DISC. CP                              | CUSIP: N/A<br>LEI: JHE42UYNWWTJB8YTTU19       | Long             | STIV             | CORP              | AU        |  10000000 | PA      | $9973825.80   | 0.64%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL CANADA LTD                                                | DISC. CP                              | CUSIP: 89153QP87<br>LEI: 5299005IX98ZZ9LSGK46 | Long             | STIV             | CORP              | CA        |  10000000 | PA      | $9990066.70   | 0.64%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NEW YORK NY                                                     | DISC. CP                              | CUSIP: N/A<br>LEI: RB0PEZSDGCO3JS6CEU02       | Long             | STIV             | CORP              | US        |   9160000 | PA      | $9153204.84   | 0.59%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                                        | DISC. CP                              | CUSIP: N/A<br>LEI: NHBDILHZTYCNBV5UYZ31       | Long             | STIV             | CORP              | SE        |   2950000 | PA      | $2944127.52   | 0.19%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO FUNDING USA LLC                                                        | DISC. CP                              | CUSIP: N/A<br>LEI: 549300WEQ09INLYV6558       | Long             | STIV             | CORP              | US        |   6500000 | PA      | $6489364.77   | 0.42%             | 2023-02-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NRW BANK                                                                        | DISC. CP                              | CUSIP: N/A<br>LEI: 52990002O5KK6XOGJ020       | Long             | STIV             | CORP              | DE        |  10000000 | PA      | $9974181.70   | 0.64%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137BQNH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11317101 | PA      | $847424.53    | 0.05%             | 2046-06-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137B25U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2579992 | PA      | $112585.18    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AYQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2694432 | PA      | $405167.39    | 0.03%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AX2K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2080661 | PA      | $249033.06    | 0.02%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137BMNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3836276 | PA      | $686433.47    | 0.04%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137ASB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5810294 | PA      | $592626.76    | 0.04%             | 2042-07-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FNQB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6639538 | PA      | $669849.73    | 0.04%             | 2049-09-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FC5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11388176 | PA      | $1355372.83   | 0.09%             | 2047-12-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FJGY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8278875 | PA      | $402021.83    | 0.03%             | 2042-06-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15236353 | PA      | $1895554.66   | 0.12%             | 2056-08-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137BHL70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10293450 | PA      | $1199872.51   | 0.08%             | 2045-04-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2993529 | PA      | $542083.26    | 0.03%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FUF90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30926290 | PA      | $2180612.68   | 0.14%             | 2049-02-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H4FS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3235335 | PA      | $685470.47    | 0.04%             | 2050-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137H4BA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3457734 | PA      | $686986.07    | 0.04%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: N/A<br>LEI: S6XOOCT0IEG5ABCC6L87       | Long             | ABS-MBS          | USGSE             | US        |   2780774 | PA      | $522479.55    | 0.03%             | 2052-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328496 | PA      | $21512.01     | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AW3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919324 | PA      | $102596.54    | 0.01%             | 2042-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137B0NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5158388 | PA      | $351930.47    | 0.02%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AYEY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2113899 | PA      | $206871.68    | 0.01%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397BDU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2176 | PA      | $2112.64      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41649 | PA      | $34581.87     | 0.00%             | 2037-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4053 | PA      | $3286.17      | 0.00%             | 2037-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN15                                  | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245504 | PA      | $242221.57    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XJJM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3895403 | PA      | $3939868.76   | 0.25%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171557 | PA      | $178420.86    | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31409VC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11847 | PA      | $12501.58     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31371MWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6770 | PA      | $7151.36      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31410FDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7789 | PA      | $8247.72      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13937 | PA      | $14730.77     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31411AFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6704 | PA      | $7111.58      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WNBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99284 | PA      | $93148.36     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138M7G33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45746 | PA      | $42791.38     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149184 | PA      | $147022.21    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7E99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057290 | PA      | $972785.46    | 0.06%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1568065 | PA      | $1459397.59   | 0.09%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513611 | PA      | $1408717.64   | 0.09%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WJZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736272 | PA      | $703138.83    | 0.05%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418CG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376331 | PA      | $359395.88    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7E57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132720 | PA      | $126623.07    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7FA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114928 | PA      | $109647.99    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WJPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251033 | PA      | $239500.81    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140FHAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61696 | PA      | $58784.64     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7FF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60656 | PA      | $57869.78     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140E5E67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92429 | PA      | $93364.81     | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138YA4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164373 | PA      | $166499.23    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y4A90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213889 | PA      | $216655.29    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EUNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77308 | PA      | $78066.43     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140FHG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101783 | PA      | $102526.65    | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140J5JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3357588 | PA      | $3135399.07   | 0.20%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WJTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006925 | PA      | $940291.08    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140FC3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358857 | PA      | $1301104.06   | 0.08%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140J8SF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2653220 | PA      | $2370784.06   | 0.15%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140H25H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83710 | PA      | $82287.98     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140H25U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101596 | PA      | $99869.33     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140H24V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87857 | PA      | $86363.83     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140H1HT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35645 | PA      | $35039.79     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JKAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365200 | PA      | $366271.53    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JMRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691022 | PA      | $704524.48    | 0.05%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JMSD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891043 | PA      | $910960.40    | 0.06%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62207 | PA      | $62584.62     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58298 | PA      | $58608.65     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18073 | PA      | $18097.64     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146654 | PA      | $149107.57    | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47550 | PA      | $47823.33     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140K4CQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22006 | PA      | $22174.16     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140K4B58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276644 | PA      | $269695.46    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KX2N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237523 | PA      | $209176.94    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140L1SD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314001 | PA      | $276528.11    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140L5LC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202288 | PA      | $178020.05    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KX6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171963 | PA      | $151655.53    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140KXMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224315 | PA      | $197545.22    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XBS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323228 | PA      | $283542.32    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435027 | PA      | $1360807.31   | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140XHB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1412609 | PA      | $1339548.87   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140MN3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969288 | PA      | $976414.16    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140MWH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992243 | PA      | $998003.58    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140QPSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977388 | PA      | $983963.22    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31411H6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23254 | PA      | $24694.10     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31410KD50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23133 | PA      | $24540.92     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93748 | PA      | $99350.95     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31419A4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34735 | PA      | $36850.72     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418MC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115699 | PA      | $122744.25    | 0.01%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138EGE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36829 | PA      | $39064.49     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138EHW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58014 | PA      | $61517.89     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28585 | PA      | $30290.90     | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ELCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94358 | PA      | $99846.06     | 0.01%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31417BXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194648 | PA      | $187620.53    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38653 | PA      | $40892.54     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138LWCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197333 | PA      | $190083.24    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138W1SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36668 | PA      | $34401.97     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138X0YX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457144 | PA      | $440286.03    | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138W36N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180540 | PA      | $173882.59    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WDT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77936 | PA      | $77025.49     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138XJZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573258 | PA      | $549610.45    | 0.04%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138EPT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59832 | PA      | $63276.38     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405485 | PA      | $416736.25    | 0.03%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418BM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189779 | PA      | $186969.82    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418BP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123480 | PA      | $121651.95    | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418BPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80327 | PA      | $79137.70     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WES42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34812 | PA      | $34296.37     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138YEPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30744 | PA      | $30289.27     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138YGXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105500 | PA      | $103937.88    | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418BMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12421 | PA      | $12237.38     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138EMY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136714 | PA      | $140508.53    | 0.01%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31391UDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42636 | PA      | $43941.37     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31418NZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22741 | PA      | $23332.84     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7CJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442054 | PA      | $423542.09    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ELTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258093 | PA      | $273332.11    | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31410KJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355089 | PA      | $376901.84    | 0.02%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7CV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882257 | PA      | $848620.02    | 0.05%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7CX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623137 | PA      | $629833.28    | 0.04%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31410KM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78985 | PA      | $83813.88     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31419BBR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36295 | PA      | $38440.49     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y7C34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426825 | PA      | $408951.09    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138XZBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267592 | PA      | $267142.54    | 0.02%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WHFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382046 | PA      | $356167.04    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138XW2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238728 | PA      | $243308.13    | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138YND46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331799 | PA      | $337956.83    | 0.02%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317161 | PA      | $295181.48    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138APEH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595547 | PA      | $573526.41    | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140E9ZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33148 | PA      | $31873.87     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140F8B55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134797 | PA      | $129699.78    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140F7F79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143013 | PA      | $137336.90    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y9DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324590 | PA      | $330715.70    | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ET7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1993645 | PA      | $1988429.89   | 0.13%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138MAJN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26129 | PA      | $24413.32     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138M7KQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19050 | PA      | $17816.74     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138W1L39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146324 | PA      | $137281.48    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ETDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32944 | PA      | $30908.28     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54645 | PA      | $51267.86     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2450540 | PA      | $2322648.83   | 0.15%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3523813 | PA      | $3436411.20   | 0.22%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6174399 | PA      | $5823222.29   | 0.37%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431212 | PA      | $408707.31    | 0.03%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ADBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258740 | PA      | $1460.84      | 0.00%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ADLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77880 | PA      | $183.41       | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    976898 | PA      | $37832.24     | 0.00%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1275507 | PA      | $160321.01    | 0.01%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ABJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2213040 | PA      | $165278.67    | 0.01%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AFEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928914 | PA      | $19861.11     | 0.00%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A6LM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345745 | PA      | $6472.21      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ACYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1142322 | PA      | $177563.30    | 0.01%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AA5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2305404 | PA      | $293277.39    | 0.02%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ADQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444237 | PA      | $37729.24     | 0.00%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A9PE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2505344 | PA      | $158661.20    | 0.01%             | 2042-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AMMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80713 | PA      | $347.63       | 0.00%             | 2044-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AVVJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2533144 | PA      | $465393.76    | 0.03%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AMKT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9878640 | PA      | $835436.59    | 0.05%             | 2045-01-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AYW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17503931 | PA      | $3143180.84   | 0.20%             | 2047-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B3WG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3554115 | PA      | $273446.51    | 0.02%             | 2049-01-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B3G53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16452382 | PA      | $1383645.29   | 0.09%             | 2049-02-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                       | FNMA CMO IO                           | CUSIP: 3136FLFT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4167478 | PA      | $777876.50    | 0.05%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B0UJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8825497 | PA      | $1451705.95   | 0.09%             | 2047-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136APCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10562744 | PA      | $1737412.22   | 0.11%             | 2045-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ARSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21047281 | PA      | $2281333.73   | 0.15%             | 2046-03-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B0XB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5592841 | PA      | $620469.83    | 0.04%             | 2048-02-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B1ZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9106686 | PA      | $1021679.04   | 0.07%             | 2048-05-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA CMO IO                           | CUSIP: 3136B6ZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7633529 | PA      | $1259417.84   | 0.08%             | 2049-11-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B13G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18215505 | PA      | $2043597.55   | 0.13%             | 2048-06-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B6QQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20437173 | PA      | $2525402.21   | 0.16%             | 2049-10-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AXV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14561953 | PA      | $2617219.86   | 0.17%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B6NN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11101116 | PA      | $1186471.64   | 0.08%             | 2049-10-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3401882 | PA      | $299263.56    | 0.02%             | 2039-05-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B8H51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30620310 | PA      | $3382625.66   | 0.22%             | 2050-03-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B7WD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25047871 | PA      | $2854230.47   | 0.18%             | 2049-12-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27127700 | PA      | $4135889.19   | 0.26%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BKDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3900598 | PA      | $625094.18    | 0.04%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 31392AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139790 | PA      | $698.95       | 0.00%             | 2041-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE TRUST 2005-W4                                                        | FNMA CMO IO                           | CUSIP: 31394VPX2<br>LEI: 549300DT3ZN0G36OPC94 | Long             | ABS-MBS          | USGSE             | US        |     37575 | PA      | $37.59        | 0.00%             | 2045-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42762 | PA      | $35817.50     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31395D6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3448 | PA      | $3071.15      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31396PCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2365 | PA      | $1985.42      | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4018 | PA      | $3269.03      | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO PO                           | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67027 | PA      | $60994.46     | 0.00%             | 2043-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  77000000 | PA      | $78961097.60  | 5.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53000000 | PA      | $53801238.10  | 3.45%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 228000000 | PA      | $228774835.20 | 14.65%            | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  81000000 | PA      | $82290978.00  | 5.27%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 127000000 | PA      | $129024126.00 | 8.26%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | 271000000 | PA      | $272079772.40 | 17.43%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 521000000 | PA      | $523075872.40 | 33.50%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  77000000 | PA      | $79111486.30  | 5.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  77000000 | PA      | $79111486.30  | 5.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $23462890.00  | 1.50%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7508124.80   | 0.48%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  32000000 | PA      | $29044985.60  | 1.86%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 108000000 | PA      | $90898923.60  | 5.82%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $22202187.50  | 1.42%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  88000000 | PA      | $77020583.20  | 4.93%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1975468.80   | 0.13%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 130000000 | PA      | $128405472.00 | 8.22%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133KGGK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207449 | PA      | $202627.28    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31334YDR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23558 | PA      | $24017.92     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31329JH83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161318 | PA      | $155517.88    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31329MUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360303 | PA      | $321948.85    | 0.02%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31346YWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6092 | PA      | $6154.02      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133AJLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65923 | PA      | $58200.28     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3133KPPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959898 | PA      | $966955.47    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132A4SB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166890 | PA      | $170584.19    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XYCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297623 | PA      | $284043.28    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XWED1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2073964 | PA      | $1989058.70   | 0.13%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282522 | PA      | $273339.38    | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XUTN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158657 | PA      | $152360.13    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XUBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104394 | PA      | $100315.63    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XRJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52541 | PA      | $53680.73     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQTV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59217 | PA      | $60519.88     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375879 | PA      | $384264.21    | 0.02%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQEG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77698 | PA      | $79431.00     | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132AAQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160385 | PA      | $159564.49    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132AATC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2754873 | PA      | $2747666.74   | 0.18%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132AA4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1336564 | PA      | $1243104.55   | 0.08%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE OF CALIFORNIA                                                             | FX.RT. MUNI BOND                      | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    770000 | PA      | $972572.83    | 0.06%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OHIO STATE UNIVERSITY/THE                                                       | FX.RT. MUNI BOND                      | CUSIP: 677632MV0<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    845000 | PA      | $875820.36    | 0.06%             | 2040-06-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| NORTH TEXAS TOLLWAY AUTHORITY                                                   | FX.RT. MUNI BOND                      | CUSIP: 66285WFB7<br>LEI: PQGZGRE0F2WPMYQQ1B78 | Long             | DBT              | MUN               | US        |    675000 | PA      | $865864.76    | 0.06%             | 2049-01-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36198NS55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686482 | PA      | $680813.75    | 0.04%             | 2065-05-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36291QQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513103 | PA      | $518700.85    | 0.03%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36194G5Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110226 | PA      | $101913.09    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36295LW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263285 | PA      | $243429.26    | 0.02%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JSE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12504 | PA      | $13141.70     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15332 | PA      | $16263.86     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22499 | PA      | $23920.56     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25956 | PA      | $27595.86     | 0.00%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JUUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18279 | PA      | $19211.17     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36194J5R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183531 | PA      | $169690.16    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36195T2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163929 | PA      | $151566.01    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36202TWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49799 | PA      | $50466.94     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617B3QL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478432 | PA      | $458746.85    | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617B3QM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    865204 | PA      | $828523.99    | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617B3QN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722995 | PA      | $690084.79    | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617B3QP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997539 | PA      | $952131.22    | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BPYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307726 | PA      | $294680.56    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BPYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331334 | PA      | $316252.01    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AMJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850753 | PA      | $815748.90    | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AMJ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1207858 | PA      | $1156651.30   | 0.07%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AMJ90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993420 | PA      | $948199.96    | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366210 | PA      | $351142.44    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203588 | PA      | $194956.67    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238472 | PA      | $227616.92    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BGTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091253 | PA      | $1046354.04   | 0.07%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AQDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397436 | PA      | $396335.88    | 0.03%             | 2067-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617A8D71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210789 | PA      | $208238.83    | 0.01%             | 2065-09-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36195XL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310278 | PA      | $310293.28    | 0.02%             | 2067-05-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ALRA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444104 | PA      | $443299.18    | 0.03%             | 2067-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196UJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737865 | PA      | $735653.26    | 0.05%             | 2067-03-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196RRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218694 | PA      | $220711.53    | 0.01%             | 2067-05-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BCD48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526872 | PA      | $502889.04    | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BWQK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481760 | PA      | $459830.43    | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93453 | PA      | $89198.68     | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68700 | PA      | $65573.18     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74918 | PA      | $71742.15     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ATK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50812 | PA      | $48498.65     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ATK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52814 | PA      | $50574.61     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BJUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23590 | PA      | $22516.50     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0RR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364170 | PA      | $348844.74    | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0RS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608007 | PA      | $581660.99    | 0.04%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0RT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416223 | PA      | $396886.46    | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0RU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844971 | PA      | $805716.21    | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245260 | PA      | $246863.25    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447247 | PA      | $450169.93    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549720 | PA      | $562478.47    | 0.04%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1381499 | PA      | $1414425.50   | 0.09%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GCYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563800 | PA      | $553924.49    | 0.04%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0SZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120928 | PA      | $118809.52    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0S27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63223 | PA      | $62115.50     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GQYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393714 | PA      | $386817.46    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GQXB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291877 | PA      | $1269249.45   | 0.08%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617J16T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    730881 | PA      | $752625.81    | 0.05%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771424 | PA      | $792689.41    | 0.05%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36202F3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68645 | PA      | $70387.56     | 0.00%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179MNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70905 | PA      | $72532.88     | 0.00%             | 2042-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36180MYG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329440 | PA      | $304093.51    | 0.02%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36182HFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146496 | PA      | $145619.28    | 0.01%             | 2065-05-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36186JHC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32492 | PA      | $32192.64     | 0.00%             | 2065-05-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36186JHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26279 | PA      | $26059.14     | 0.00%             | 2065-06-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36186JHQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6163 | PA      | $6100.48      | 0.00%             | 2065-06-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36186JHS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20146 | PA      | $19929.52     | 0.00%             | 2065-06-20      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36186JHR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14798 | PA      | $14735.48     | 0.00%             | 2065-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36182HGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56653 | PA      | $56411.38     | 0.00%             | 2065-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36185KDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34946 | PA      | $34690.36     | 0.00%             | 2065-05-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36291FRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1254986 | PA      | $1268678.16   | 0.08%             | 2045-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36291FR67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359574 | PA      | $363497.52    | 0.02%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617A8DZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31713 | PA      | $31428.59     | 0.00%             | 2065-08-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115955 | PA      | $110097.15    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LXV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141699 | PA      | $138464.05    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LKWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24266 | PA      | $23765.02     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LKTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43188 | PA      | $42296.27     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617KQAS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23664 | PA      | $23212.75     | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LKWK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27563 | PA      | $26994.52     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617M1A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200149 | PA      | $195579.63    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MH3D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1683626 | PA      | $1546134.07   | 0.10%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MCUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162006 | PA      | $161444.71    | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148475 | PA      | $148610.64    | 0.01%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617M6FK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86369 | PA      | $84586.50     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MNPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115297 | PA      | $109543.97    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MNPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413870 | PA      | $405327.12    | 0.03%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181182 | PA      | $183178.97    | 0.01%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LNR89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594936 | PA      | $565252.09    | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LNR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    607791 | PA      | $577465.64    | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LE6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154068 | PA      | $147198.87    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LE6Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196548 | PA      | $186741.33    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LE6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213798 | PA      | $203130.27    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JLLB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389746 | PA      | $401340.97    | 0.03%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JLK83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158147 | PA      | $160483.19    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JFF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542765 | PA      | $550781.79    | 0.04%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JVKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55560 | PA      | $56380.59     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JLLA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386822 | PA      | $398330.76    | 0.03%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617KA2C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49850 | PA      | $50492.83     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57315 | PA      | $59020.36     | 0.00%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4VC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42043 | PA      | $43294.18     | 0.00%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90406 | PA      | $92249.70     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83509 | PA      | $84899.52     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118590 | PA      | $120118.99    | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JSCH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47953 | PA      | $48916.29     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JSDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22941 | PA      | $23323.15     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617KGNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17685 | PA      | $17913.24     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617KGPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12350 | PA      | $12528.18     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617KJW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45228 | PA      | $45811.41     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BYLB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70588 | PA      | $69241.65     | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617L6VC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117182 | PA      | $114945.96    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LADV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14189 | PA      | $14371.88     | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LDUA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13590 | PA      | $13764.80     | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617L9UV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45733 | PA      | $44788.85     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LMUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74155 | PA      | $72624.22     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JNML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212700 | PA      | $201954.26    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LMSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111830 | PA      | $106320.64    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183502 | PA      | $174231.90    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LED43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117969 | PA      | $112082.64    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LED50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155917 | PA      | $148039.79    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LNFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38008 | PA      | $36111.22     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084420 | PA      | $1030990.63   | 0.07%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JSVJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222920 | PA      | $211937.00    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198323 | PA      | $188304.13    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617L6V73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216226 | PA      | $205437.54    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LSDJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93471 | PA      | $91542.05     | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LSDU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49753 | PA      | $50347.59     | 0.00%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LSDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168852 | PA      | $168266.88    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204483 | PA      | $194152.35    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89810 | PA      | $85273.20     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44344 | PA      | $47145.23     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50174 | PA      | $53343.95     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34085 | PA      | $36237.81     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36392 | PA      | $38690.50     | 0.00%             | 2048-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12426 | PA      | $13211.33     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617JJ3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44030 | PA      | $46811.22     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30P                                | CUSIP: 3622ABZF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787961 | PA      | $790894.71    | 0.05%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GIIARM                                | CUSIP: 3617HTC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1063840 | PA      | $1079625.17   | 0.07%             | 2068-12-20      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36213GNT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7852 | PA      | $8218.85      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36213GNS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7981 | PA      | $8370.27      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36212CUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40350 | PA      | $42196.89     | 0.00%             | 2031-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36213GNR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19227 | PA      | $20148.98     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36212CTP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10077 | PA      | $10564.30     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36197F2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10298 | PA      | $9852.92      | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36197F2T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54331 | PA      | $51980.51     | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 3620C0ZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457016 | PA      | $1485059.27   | 0.10%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36178WRV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175740 | PA      | $168981.07    | 0.01%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36180DL62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102398 | PA      | $98614.58     | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378YFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2526701 | PA      | $115217.56    | 0.01%             | 2028-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379AAT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1245101 | PA      | $54037.38     | 0.00%             | 2029-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379BZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1196798 | PA      | $39925.18     | 0.00%             | 2029-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1275573 | PA      | $59600.01     | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378HVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8123866 | PA      | $1332833.15   | 0.09%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376CM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3625990 | PA      | $500821.68    | 0.03%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7116543 | PA      | $1304462.27   | 0.08%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17939737 | PA      | $846755.59    | 0.05%             | 2065-04-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2424603 | PA      | $174571.45    | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13656814 | PA      | $684206.39    | 0.04%             | 2065-07-20      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16998642 | PA      | $722442.29    | 0.05%             | 2065-05-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376REE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9948455 | PA      | $181778.17    | 0.01%             | 2065-06-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375USW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8892887 | PA      | $193278.01    | 0.01%             | 2064-12-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15990672 | PA      | $681202.62    | 0.04%             | 2065-08-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20902024 | PA      | $982395.15    | 0.06%             | 2065-05-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375BFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11565828 | PA      | $404341.35    | 0.03%             | 2060-08-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17017832 | PA      | $684116.85    | 0.04%             | 2065-04-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14289393 | PA      | $514418.14    | 0.03%             | 2065-09-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12875673 | PA      | $493138.29    | 0.03%             | 2065-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12727614 | PA      | $482822.06    | 0.03%             | 2065-10-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26068508 | PA      | $823764.84    | 0.05%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379DJU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3520655 | PA      | $210978.77    | 0.01%             | 2029-07-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1968291 | PA      | $392304.62    | 0.03%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14154845 | PA      | $2460536.64   | 0.16%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20324689 | PA      | $721046.79    | 0.05%             | 2066-01-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24254730 | PA      | $955222.31    | 0.06%             | 2064-05-20      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379Q6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5278312 | PA      | $856881.18    | 0.05%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28937761 | PA      | $1087162.76   | 0.07%             | 2064-06-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LU68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22088688 | PA      | $1043291.37   | 0.07%             | 2070-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379EZ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9496960 | PA      | $1468495.83   | 0.09%             | 2044-09-16      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379H3K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10823578 | PA      | $2106817.02   | 0.13%             | 2045-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382AJU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15609284 | PA      | $985092.52    | 0.06%             | 2049-10-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382DL64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17144764 | PA      | $1661575.94   | 0.11%             | 2049-10-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382BFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3952931 | PA      | $641284.07    | 0.04%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382BDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18097589 | PA      | $2609218.06   | 0.17%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382B6A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33460094 | PA      | $3238937.06   | 0.21%             | 2050-01-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382DRV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15922133 | PA      | $1815219.54   | 0.12%             | 2050-03-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381BFZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18787505 | PA      | $2055540.94   | 0.13%             | 2048-12-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381RBC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16165539 | PA      | $1779117.82   | 0.11%             | 2049-02-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381YD92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19575368 | PA      | $3076750.77   | 0.20%             | 2049-09-16      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381R6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14224676 | PA      | $1395681.10   | 0.09%             | 2049-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XXG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12097357 | PA      | $1289578.25   | 0.08%             | 2049-08-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382C5A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18417358 | PA      | $3032486.95   | 0.19%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382EFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38054778 | PA      | $3615203.87   | 0.23%             | 2049-02-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1661651 | PA      | $224837.99    | 0.01%             | 2050-08-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382JPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30165280 | PA      | $4151707.77   | 0.27%             | 2050-09-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31366517 | PA      | $4165787.14   | 0.27%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382GRP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29060371 | PA      | $3564509.33   | 0.23%             | 2050-07-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382EMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43030294 | PA      | $3997083.98   | 0.26%             | 2050-04-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382LYL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4875200 | PA      | $688706.56    | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14387191 | PA      | $668361.44    | 0.04%             | 2068-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378GT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8990933 | PA      | $902959.39    | 0.06%             | 2042-12-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379HVB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7459213 | PA      | $1511684.13   | 0.10%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9626870 | PA      | $774173.65    | 0.05%             | 2049-04-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17133873 | PA      | $758530.95    | 0.05%             | 2069-08-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XAJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11623089 | PA      | $1138714.01   | 0.07%             | 2049-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381B7N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6801679 | PA      | $572701.34    | 0.04%             | 2049-02-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16453651 | PA      | $1707066.30   | 0.11%             | 2049-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9948514 | PA      | $1740592.09   | 0.11%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381A3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8507555 | PA      | $848176.83    | 0.05%             | 2048-11-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934021 | PA      | $428886.40    | 0.03%             | 2049-10-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381AHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11517615 | PA      | $1181642.85   | 0.08%             | 2046-02-16      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4131780 | PA      | $623121.07    | 0.04%             | 2049-10-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381VKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7455302 | PA      | $697741.69    | 0.04%             | 2049-05-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24133409 | PA      | $979816.39    | 0.06%             | 2066-10-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9609967 | PA      | $486633.07    | 0.03%             | 2066-11-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8308262 | PA      | $289958.34    | 0.02%             | 2067-03-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17066378 | PA      | $520469.06    | 0.03%             | 2064-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11137524 | PA      | $357514.53    | 0.02%             | 2067-04-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14104211 | PA      | $462890.48    | 0.03%             | 2067-06-20      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11949837 | PA      | $456185.01    | 0.03%             | 2067-05-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8281017 | PA      | $658430.88    | 0.04%             | 2067-09-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6173150 | PA      | $204701.65    | 0.01%             | 2066-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12417773 | PA      | $653174.85    | 0.04%             | 2067-11-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9606562 | PA      | $492336.31    | 0.03%             | 2068-01-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6908234 | PA      | $937126.18    | 0.06%             | 2040-01-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LLJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16527631 | PA      | $715244.97    | 0.05%             | 2068-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12698142 | PA      | $704350.06    | 0.05%             | 2068-02-20      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38377WKG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3745254 | PA      | $11760.10     | 0.00%             | 2040-12-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    868329 | PA      | $151654.33    | 0.01%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609554 | PA      | $125705.76    | 0.01%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375CMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1909939 | PA      | $325394.43    | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376XF24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10257307 | PA      | $897514.32    | 0.06%             | 2040-03-20      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5469984 | PA      | $1121346.72   | 0.07%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2557990 | PA      | $524694.96    | 0.03%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378YP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1976037 | PA      | $324430.35    | 0.02%             | 2044-01-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6319391 | PA      | $883790.15    | 0.06%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376MBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1289350 | PA      | $56602.47     | 0.00%             | 2029-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $48589415.00  | 3.11%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66000000 | PA      | $65534482.20  | 4.20%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44000000 | PA      | $41638014.00  | 2.67%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73000000 | PA      | $67063968.50  | 4.30%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                           | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    750000 | PA      | $750523.50    | 0.05%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                                   | GOVERNMENT BOND                       | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    270000 | PA      | $210937.50    | 0.01%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                             | GOVERNMENT BOND                       | CUSIP: V7691DAZ9<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    310000 | PA      | $297454.22    | 0.02%             | 2028-03-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                            | GOVERNMENT BOND                       | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $176044.40    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORIENTAL REPUBLIC OF URUGUAY                                                    | GOVERNMENT BOND                       | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    330000 | PA      | $332943.63    | 0.02%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                            | GOVERNMENT BOND                       | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $180901.80    | 0.01%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                         | GOVERNMENT BOND                       | CUSIP: X7360WBP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    420000 | PA      | $345345.00    | 0.02%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    420000 | PA      | $357184.22    | 0.02%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                           | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    920000 | PA      | $754278.28    | 0.05%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                              | GOVERNMENT BOND                       | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    290000 | PA      | $242512.50    | 0.02%             | 2033-01-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                            | GOVERNMENT BOND                       | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    200000 | PA      | $175500.00    | 0.01%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                                               | GOVERNMENT BOND                       | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    530000 | PA      | $470375.00    | 0.03%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | GOVERNMENT BOND                       | CUSIP: 25714PEN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    460000 | PA      | $424254.28    | 0.03%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                       | GOVERNMENT BOND                       | CUSIP: V73789AD7<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    780000 | PA      | $754650.00    | 0.05%             | 2028-03-03      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                                   | GOVERNMENT BOND                       | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    288000 | PA      | $254192.54    | 0.02%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       864 | NC      | $122472000.00 | 7.84%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      1878 | NC      | $205156829.07 | 13.14%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       298 | NC      | $38702750.00  | 2.48%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       618 | NC      | $127090734.68 | 8.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       653 | NC      | $79145640.63  | 5.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      1043 | NC      | $119439796.88 | 7.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31394UN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172625 | PA      | $207961.36    | 0.01%             | 2035-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125847 | PA      | $181509.63    | 0.01%             | 2036-07-25      | Floating      | 12.87%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8960 | PA      | $8171.25      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274351 | PA      | $345353.42    | 0.02%             | 2037-04-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31394V2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122353 | PA      | $134998.91    | 0.01%             | 2036-03-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203276 | PA      | $225860.01    | 0.01%             | 2035-03-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KF43 MORTGAGE TRUST                                                  | GOVT CMO                              | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2579818 | PA      | $2417624.92   | 0.15%             | 2028-01-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 116140000 | NC      | $46456.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29000000 | NC      | $109040.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4415900 | NC      | $175929.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2735200 | NC      | $67832.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5322000 | NC      | $1915.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 279982000 | NC      | $100793.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 331558000 | NC      | $5424288.88   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6156000 | NC      | $100712.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 373366000 | NC      | $4133161.62   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  46360000 | NC      | $316175.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19681000 | NC      | $458370.49    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36400000 | NC      | $924560.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8072000 | NC      | $380756.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1261000 | NC      | $35257.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7248000 | NC      | $420166.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 177792000 | NC      | $579601.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  99045000 | NC      | $1589672.25   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    656000 | NC      | $31907.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1361000 | NC      | $27655.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1364000 | NC      | $30649.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13634000 | NC      | $164971.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2348000 | NC      | $28316.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3704000 | NC      | $27854.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20359000 | NC      | $44586.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10784000 | NC      | $179122.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    631000 | NC      | $2612.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17276000 | NC      | $285226.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2569000 | NC      | $33910.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6419500 | NC      | $6034.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6419500 | NC      | $7960.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8152000 | NC      | $39455.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1072000 | NC      | $578.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13104000 | NC      | $90024.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22010000 | NC      | $5062.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    999000 | NC      | $3776.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27376000 | NC      | $46539.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8475000 | NC      | $40849.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7042500 | NC      | $86974.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7042500 | NC      | $89017.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  28031000 | NC      | $19341.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  50717300 | NC      | $62889.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2133000 | NC      | $2772.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 236429000 | NC      | $248250.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17388000 | NC      | $16692.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2896000 | NC      | $405.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22022000 | NC      | $16956.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 193293000 | NC      | $1813088.34   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  87435000 | NC      | $669752.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2189000 | NC      | $17161.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5330000 | NC      | $57617.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8094000 | NC      | $52044.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3416000 | NC      | $9974.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3119000 | NC      | $23673.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    897000 | NC      | $4359.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  45662000 | NC      | $89954.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7473000 | NC      | $13451.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9048000 | NC      | $42435.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1116000 | NC      | $12342.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7889000 | NC      | $71158.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17984000 | NC      | $106105.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1840000 | NC      | $7746.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22391000 | NC      | $10075.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26227000 | NC      | $55601.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  43608000 | NC      | $690750.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1325000 | NC      | $38199.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16057000 | NC      | $200873.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  43599700 | NC      | $725499.01    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  42467300 | NC      | $47563.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22459600 | NC      | $278723.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11830800 | NC      | $67435.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4343700 | NC      | $41482.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10500000 | NC      | $27510.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16940000 | NC      | $167028.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  88089000 | NC      | $127729.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4953000 | NC      | $18573.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4138000 | NC      | $39435.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  84786000 | NC      | $928406.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4541000 | NC      | $95179.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11121598 | NC      | $43596.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2445000 | NC      | $74865.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14158000 | NC      | $348428.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6394000 | NC      | $153328.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26238000 | NC      | $576186.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6890000 | NC      | $158401.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8208800 | NC      | $232555.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  59165000 | NC      | $811743.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9986409 | NC      | $230486.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4750000 | NC      | $37430.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2850000 | NC      | $35910.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10090000 | NC      | $125822.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10090000 | NC      | $122391.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  45473000 | NC      | $608883.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9417000 | NC      | $108578.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  43724000 | NC      | $559667.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20060000 | NC      | $257570.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11680000 | NC      | $44734.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7904000 | NC      | $79435.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30282000 | NC      | $318566.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4148000 | NC      | $104861.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37041000 | NC      | $159646.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 248665000 | NC      | $6276304.60   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8296000 | NC      | $216193.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 111313000 | NC      | $2039254.16   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5000000 | NC      | $96950.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  92799000 | NC      | $524314.35    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 252187000 | NC      | $1066751.01   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9144800 | NC      | $361036.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $72940.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 190247000 | NC      | $1337436.41   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15796000 | NC      | $925961.52    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3416000 | NC      | $253467.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6640400 | NC      | $444773.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36263000 | NC      | $1080637.40   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11992500 | NC      | $584514.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  23985100 | NC      | $717394.34    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32836600 | NC      | $257438.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1794600 | NC      | $101448.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3182300 | NC      | $156314.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2358700 | NC      | $115364.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24310861 | NC      | $2360827.71   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 165097300 | NC      | $1484224.73   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11440000 | NC      | $1249476.80   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35701000 | NC      | $2214890.04   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16788000 | NC      | $496421.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17000000 | NC      | $1193740.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  62453000 | NC      | $414687.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11196700 | NC      | $265921.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  32836200 | NC      | $5232776.83   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99JX879L2<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   9000000 | NC      | $3048480.00   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11819000 | NC      | $1046454.26   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10552000 | NC      | $1547556.32   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 100453000 | NC      | $29307162.75  | 1.88%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 149706000 | NC      | $5458280.76   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  60378000 | NC      | $2200174.32   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30500000 | NC      | $2689490.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  89191000 | NC      | $13083427.79  | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  60760000 | NC      | $17749818.80  | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10724000 | NC      | $2949100.00   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25659000 | NC      | $2233359.36   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5755500 | NC      | $356150.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9319000 | NC      | $2290982.96   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  28734000 | NC      | $7353605.28   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15082000 | NC      | $3778644.28   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10573700 | NC      | $855200.86    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36345700 | NC      | $7685298.26   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  34930000 | NC      | $1212071.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5893000 | NC      | $1350263.09   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14992000 | NC      | $1691547.36   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  28705000 | NC      | $1980932.05   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7804700 | NC      | $921110.69    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  42663100 | NC      | $5502686.64   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  44234900 | NC      | $5726207.81   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  23320000 | NC      | $2663843.60   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 262368000 | NC      | $6939633.60   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  73776000 | NC      | $2931120.48   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9862000 | NC      | $673180.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16169000 | NC      | $2676777.95   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  31791000 | NC      | $866940.57    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19619000 | NC      | $2350160.01   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3831000 | NC      | $211777.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15844000 | NC      | $619341.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  59312200 | NC      | $1859437.47   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  73266300 | NC      | $1948150.92   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17669000 | NC      | $1566533.54   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3660800 | NC      | $201307.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  57507000 | NC      | $2023671.33   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14553000 | NC      | $951329.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 170074100 | NC      | $5054602.25   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14414200 | NC      | $2579132.81   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  44246000 | NC      | $1184465.42   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  53045000 | NC      | $1269366.85   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 353160000 | NC      | $6155578.80   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 177215500 | NC      | $2029117.48   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Interest Rate Swap                    | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        | 800000000 | NC      | $4504000.00   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Interest Rate Swap                    | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        | 600000000 | NC      | $10080000.00  | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  63839800 | NC      | $1820711.10   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  48439000 | NC      | $1849401.02   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  42331800 | NC      | $3069902.14   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36155100 | NC      | $1978045.52   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36155100 | NC      | $1962498.83   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  34053000 | NC      | $2006062.23   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  65748000 | NC      | $4094785.44   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  33296300 | NC      | $2208543.58   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6886700 | NC      | $219410.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10807500 | NC      | $476502.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9879100 | NC      | $738561.52    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  16744200 | NC      | $1348577.87   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6865200 | NC      | $566379.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 109421000 | NC      | $2703792.91   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  55227000 | NC      | $2616655.26   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8532300 | NC      | $164844.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1469000 | NC      | $117960.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    377996 | NC      | $139631.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1075000 | NC      | $189415.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2169000 | NC      | $382177.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2264000 | NC      | $521399.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    460000 | NC      | $73738.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1583000 | NC      | $285256.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    410000 | NC      | $32923.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    324000 | NC      | $57088.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    373000 | NC      | $65722.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     82000 | NC      | $18884.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     43000 | NC      | $3655.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    130000 | NC      | $11050.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     87000 | NC      | $7395.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   3959441 | NC      | $577682.46    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1494395 | NC      | $365379.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    291000 | NC      | $42602.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     39000 | NC      | $3315.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1089000 | NC      | $193624.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |  11174000 | NC      | $2224743.40   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    346000 | NC      | $29410.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    209000 | NC      | $16782.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1146000 | NC      | $360990.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1012000 | NC      | $178314.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    108000 | NC      | $18813.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2551500 | NC      | $444471.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    951000 | NC      | $165664.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    607000 | NC      | $48742.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    526000 | NC      | $93522.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    536304 | NC      | $191406.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    787000 | NC      | $126156.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1921031 | NC      | $685615.80    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    778000 | NC      | $137083.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1065000 | NC      | $189357.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1138000 | NC      | $182421.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    152000 | NC      | $26478.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $13761.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    158000 | NC      | $27523.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1652000 | NC      | $293725.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $5770.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2176000 | NC      | $392115.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    957000 | NC      | $170154.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    367000 | NC      | $66133.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   4414000 | NC      | $795402.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   3841000 | NC      | $692148.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    592000 | NC      | $106678.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    961000 | NC      | $173172.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   2500000 | NC      | $450500.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    812000 | NC      | $161669.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1714000 | NC      | $341257.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1559000 | NC      | $310396.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   4321000 | NC      | $768273.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     31117 | NC      | $4540.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $585.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $732.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $1763.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    205000 | NC      | $64575.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    347000 | NC      | $62529.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   2192000 | NC      | $394998.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    658000 | NC      | $169369.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     74000 | NC      | $13334.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    571000 | NC      | $146975.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2639000 | NC      | $679278.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $15444.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   3987000 | NC      | $793811.70    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1742000 | NC      | $346832.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1524000 | NC      | $392277.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1516000 | NC      | $390218.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    715000 | NC      | $142356.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    506000 | NC      | $88145.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1517186 | NC      | $221357.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   4574000 | NC      | $364090.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2649000 | NC      | $477349.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1174000 | NC      | $204510.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   3666000 | NC      | $1154790.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    107000 | NC      | $19024.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    319000 | NC      | $56718.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1134000 | NC      | $357210.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   2946000 | NC      | $927990.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    935500 | NC      | $162964.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1925000 | NC      | $383267.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2528000 | NC      | $771292.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2162000 | NC      | $430454.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    250000 | NC      | $52350.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1245000 | NC      | $392175.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2161000 | NC      | $430255.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $11288.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    619407 | NC      | $221066.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    471000 | NC      | $82048.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $8015.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    960515 | NC      | $342807.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    563000 | NC      | $98074.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    190024 | NC      | $70194.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    181138 | NC      | $66912.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   3602000 | NC      | $717158.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1519853 | NC      | $221746.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    244937 | NC      | $35736.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    243000 | NC      | $43205.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1504294 | NC      | $219476.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1931933 | NC      | $281869.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    365000 | NC      | $63583.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $2649.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    168000 | NC      | $29265.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    626000 | NC      | $50267.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    541842 | NC      | $132480.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    270921 | NC      | $66240.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    122471 | NC      | $29944.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    559161 | NC      | $136714.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    438148 | NC      | $161851.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    538000 | NC      | $175710.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    112000 | NC      | $21134.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   2186000 | NC      | $412498.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   2780000 | NC      | $158182.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    287000 | NC      | $16330.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1003000 | NC      | $327579.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    605000 | NC      | $114163.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2910000 | NC      | $165579.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    853000 | NC      | $278589.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    938000 | NC      | $306350.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1459000 | NC      | $275313.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    847000 | NC      | $159828.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    157000 | NC      | $8933.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    130000 | NC      | $24531.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    929000 | NC      | $292635.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    732000 | NC      | $239071.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    488000 | NC      | $153720.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    347873 | NC      | $124155.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    926000 | NC      | $291690.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    369000 | NC      | $116235.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    448000 | NC      | $141120.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    448000 | NC      | $141120.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    258000 | NC      | $78715.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    150000 | NC      | $45765.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    148000 | NC      | $45154.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1268769 | NC      | $452823.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1041000 | NC      | $217985.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    173000 | NC      | $52782.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $38747.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    481000 | NC      | $100721.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    481000 | NC      | $100721.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    895000 | NC      | $281925.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $7322.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2600000 | NC      | $849160.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2628887 | NC      | $971110.79    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    490000 | NC      | $92463.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    432000 | NC      | $90460.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    651412 | NC      | $240631.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2185000 | NC      | $457539.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     41341 | NC      | $6031.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     80016 | NC      | $11674.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    488000 | NC      | $86766.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    285000 | NC      | $41724.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    113800 | NC      | $16603.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    159000 | NC      | $27920.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1281000 | NC      | $227761.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    151585 | NC      | $22116.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    481000 | NC      | $90764.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2222657 | NC      | $324285.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    221377 | NC      | $32298.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    807000 | NC      | $143484.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    265000 | NC      | $47117.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    313000 | NC      | $56402.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1736000 | NC      | $312827.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    659000 | NC      | $118751.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   4115000 | NC      | $741523.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     75570 | NC      | $11025.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    397411 | NC      | $57982.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2031000 | NC      | $365986.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S.A.                                                            | PERPETUAL BONDS                       | CUSIP: 225313AD7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    440000 | PA      | $439560.00    | 0.03%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | PERPETUAL BONDS                       | CUSIP: 539439AG4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    730000 | PA      | $724590.70    | 0.05%             | N/A             | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | PERPETUAL BONDS                       | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2517000 | PA      | $2508190.50   | 0.16%             | N/A             | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1593000 | PA      | $1330441.74   | 0.09%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | PERPETUAL BONDS                       | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1306000 | PA      | $1251428.84   | 0.08%             | N/A             | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | PERPETUAL BONDS                       | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2026168.00   | 0.13%             | N/A             | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                             | PERPETUAL BONDS                       | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3082000 | PA      | $2650302.69   | 0.17%             | N/A             | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1567000 | PA      | $1444578.13   | 0.09%             | N/A             | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1403000 | PA      | $1150319.70   | 0.07%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | PERPETUAL BONDS                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4210000 | PA      | $3843309.00   | 0.25%             | N/A             | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | PERPETUAL BONDS                       | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    965000 | PA      | $789378.36    | 0.05%             | N/A             | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| DP WORLD SALAAM                                                                 | PERPETUAL BONDS                       | CUSIP: N/A<br>LEI: 549300SUYBT9X88E9435       | Long             | DBT              | CORP              | KY        |    310000 | PA      | $310000.00    | 0.02%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | RA               | CORP              | US        |  64958000 | PA      | $64958000.00  | 4.16%             |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                               | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        | 170097316 | NS      | $170097315.88 | 10.89%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class     | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  46049000 | NS      | $46049000.00  | 2.95%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  58363700 | NC      | $-1273495.93  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  41997900 | NC      | $-117174.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  41997900 | NC      | $-177231.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  16558800 | NC      | $-634698.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  16558800 | NC      | $15730.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  21881900 | NC      | $-61488.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  21881900 | NC      | $-191466.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  10940800 | NC      | $-334350.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  10940800 | NC      | $-69255.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  41450200 | NC      | $-367248.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  41450200 | NC      | $-180722.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  40206700 | NC      | $-324066.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  40206700 | NC      | $-133888.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  29559000 | NC      | $-463780.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  29559000 | NC      | $15075.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  85436600 | NC      | $-256309.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  29902800 | NC      | $97184.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  29902800 | NC      | $116321.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  85436600 | NC      | $-146950.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  29902800 | NC      | $64590.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  29902800 | NC      | $85522.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  49507100 | NC      | $-134659.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  49507100 | NC      | $-67329.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6678900 | NC      | $868.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6678900 | NC      | $-357187.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5702000 | NC      | $-453309.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5702000 | NC      | $-14654.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   5702000 | NC      | $-393266.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   5702000 | NC      | $-24176.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1179600 | NC      | $-51017.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1179600 | NC      | $-78242.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  19218800 | NC      | $-1666462.15  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  19218800 | NC      | $2656806.91   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15357200 | NC      | $-585109.32   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15357200 | NC      | $568369.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  40009500 | NC      | $-1339117.96  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  40009500 | NC      | $2462584.72   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |  30040600 | NC      | $-1030993.39  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |  30040600 | NC      | $2046966.48   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  56013300 | NC      | $-1824353.18  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  56013300 | NC      | $3330550.82   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3001800 | NC      | $122143.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3001800 | NC      | $-79577.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  30792400 | NC      | $420932.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  21554700 | NC      | $-840848.85   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  27212800 | NC      | $292809.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  27212800 | NC      | $-334445.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  61584900 | NC      | $-2369171.10  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 123169700 | NC      | $1481731.49   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7183900 | NC      | $267959.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7183900 | NC      | $-200574.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  41524500 | NC      | $-2050895.06  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  41524500 | NC      | $2206611.93   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 126213700 | NC      | $-826699.74   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 126213700 | NC      | $1716506.32   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 144600800 | NC      | $-1140900.31  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 144600800 | NC      | $2540636.06   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 147213700 | NC      | $5627979.75   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 147213700 | NC      | $-2853001.51  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  36109900 | NC      | $1335344.10   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  36109900 | NC      | $-2221119.95  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  62686100 | NC      | $-2447892.20  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  62686100 | NC      | $1102021.64   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9726100 | NC      | $331660.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9726100 | NC      | $-561293.23   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22986200 | NC      | $917838.97    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22986200 | NC      | $-772796.04   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15753700 | NC      | $-1183417.94  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15753700 | NC      | $2536503.24   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7042000 | NC      | $1102425.10   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7042000 | NC      | $-524840.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  18266500 | NC      | $-1344414.40  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  18266500 | NC      | $2928485.28   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  96522000 | NC      | $731636.76    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  96522000 | NC      | $920819.88    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  38222600 | NC      | $243095.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  38222600 | NC      | $267940.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  27456100 | NC      | $-520842.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  27456100 | NC      | $-602112.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  38370100 | NC      | $-324994.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  38370100 | NC      | $-242115.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  41044100 | NC      | $-155967.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  33520700 | NC      | $-433422.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  33520700 | NC      | $36537.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |  50000000 | NC      | $249500.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  58363700 | NC      | $2367231.67   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Total Return Swap                     | CUSIP: 99MK129K6<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | US        |   9100000 | NC      | $7988344.00   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Total Return Swap                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   6389000 | NC      | $6692988.62   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12500000 | PA      | $12465987.88  | 0.80%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $11558720.93  | 0.74%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9221000 | PA      | $9179805.18   | 0.59%             | 2023-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                                               | VAR.RT. CORP. BONDS                   | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   1038000 | PA      | $927712.50    | 0.06%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    617000 | PA      | $608994.34    | 0.04%             | 2027-08-05      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 251526BN8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    470000 | PA      | $419030.88    | 0.03%             | 2032-12-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | VAR.RT. CORP. BONDS                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2704752.92   | 0.17%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    490000 | PA      | $470974.24    | 0.03%             | 2028-08-09      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                 | VAR.RT. CORP. BONDS                   | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $190178.64    | 0.01%             | 2025-12-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 48123UAB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1638000 | PA      | $1294020.00   | 0.08%             | 2047-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3260000 | PA      | $2773038.67   | 0.18%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1352378.19   | 0.09%             | 2026-04-22      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5040000 | PA      | $4372460.42   | 0.28%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | VAR.RT. CORP. BONDS                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5957000 | PA      | $5234257.03   | 0.34%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD                                   | VAR.RT. CORP. BONDS                   | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   2345000 | PA      | $1808487.45   | 0.12%             | 2035-11-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    450000 | PA      | $405961.13    | 0.03%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | VAR.RT. CORP. BONDS                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3320000 | PA      | $2641587.12   | 0.17%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2031000 | PA      | $1540084.23   | 0.10%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $2473380.11   | 0.16%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    345000 | PA      | $304918.26    | 0.02%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 53944YAQ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3772000 | PA      | $2715112.80   | 0.17%             | 2046-12-14      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 05578QAH6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1077000 | PA      | $862205.21    | 0.06%             | 2037-01-14      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4930000 | PA      | $4296170.01   | 0.28%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC/THE                                            | VAR.RT. CORP. BONDS                   | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   4305000 | PA      | $4162539.71   | 0.27%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1361657.33   | 0.09%             | 2048-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer