# EDGAR Filing Document

**Accession Number:** 0000029440
**File Stem:** 0001193125-25-191213
**Filing Date:** 2025-8
**Character Count:** 629543
**Document Hash:** bfae15fab35b553faabd6ee2a943e054
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-191213.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001193125-25-191213

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DODGE & COX FUNDS
- **CENTRAL INDEX KEY:** 0000029440

**ORGANIZATION NAME:**
- **EIN:** 946067274
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00173
- **FILM NUMBER:** 251273103

**BUSINESS ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104
- **BUSINESS PHONE:** 4159811710

**MAIL ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DODGE & COX BALANCED FUND/CA
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Dodge & Cox Income Fund (Series ID: S000011205)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030878 | Class I      | DODIX           |
| C000235737 | Class X      | DOXIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Dodge & Cox Funds

- **b. Investment Company Act file number:** 811-00173

- **c. CIK number of Registrant:** 0000029440

- **d. LEI of Registrant:** 549300R3H2V5UI5MR803

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

  - **Street Address 1:** 555 California Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94104

  - **Telephone number:** 415-981-1710

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

- **a. Name of Series:** Dodge & Cox Income Fund

- **b. EDGAR series identifier (if any):** S000011205

- **c. LEI of Series:** 5493009DXXXVQJ40VE42

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $96746811581.37

**Total Liabilities:** $203133576.10

**Net Assets:** $96543678005.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 67583.920000000000 | **1-Year:** 2407796.130000000000 | **5-Year:** 16395707.240000000000 | **10-Year:** 24216633.900000000000 | **30-Year:** 10427197.520000000000

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

- **3-Month:** 1181.400000000000 | **1-Year:** 100848.910000000000 | **5-Year:** 695342.660000000000 | **10-Year:** 1057371.090000000000 | **30-Year:** 853949.880000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030878 | 0.32%                | -0.71%               | 1.82%                |
| Class ID C000235737 | 0.32%                | -0.71%               | 1.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1013536.78              | $-115737571.07                             |
| Month 2  | $-24049624.84            | $-849096449.51                             |
| Month 3  | $-10380512.23            | $1293551704.19                             |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T, Inc.                                         | AT&T, Inc. 4.30 02/15/2030                                         | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7255000 | PA      | $7231397.45    | 0.01%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc. 2.75 06/01/2031                                         | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  213067000 | PA      | $193188846.05  | 0.20%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                         | AT&T, Inc. 2.55 12/01/2033                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   62712000 | PA      | $52484049.70   | 0.05%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                  | American Electric Power Co., Inc. 5.699 08/15/2025                 | CUSIP: 02557TAD1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  131194000 | PA      | $131297635.39  | 0.14%             | 2025-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 2.875 09/15/2029                             | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    6837000 | PA      | $6437752.63    | 0.01%             | 2029-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 2.25 05/15/2030                              | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   56601000 | PA      | $51095963.53   | 0.05%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 5.15 06/15/2029                              | CUSIP: 036752AY9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   22784000 | PA      | $23434046.66   | 0.02%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 4.75 02/15/2030                              | CUSIP: 036752BB8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |  148020000 | PA      | $149774704.57  | 0.16%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                              | Elevance Health, Inc. 4.50 10/30/2026                              | CUSIP: 036752BG7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   24930000 | PA      | $25011009.04   | 0.03%             | 2026-10-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 6.343 08/02/2030                      | CUSIP: 054989AA6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   36040000 | PA      | $38835950.40   | 0.04%             | 2030-08-02      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 6.421 08/02/2033                      | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   71455000 | PA      | $77601604.83   | 0.08%             | 2033-08-02      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 2.259 03/25/2028                      | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   62534000 | PA      | $59163952.07   | 0.06%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 2.726 03/25/2031                      | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   71080000 | PA      | $64011053.48   | 0.07%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 4.742 03/16/2032                      | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  277215000 | PA      | $275606013.65  | 0.29%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                       | British American Tobacco PLC 7.75 10/19/2032                       | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   39365000 | PA      | $45498282.33   | 0.05%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 4.375 05/12/2026                                    | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  159599000 | PA      | $159235206.85  | 0.16%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                   | Burlington Northern Santa Fe LLC 3.442 06/16/2028                  | CUSIP: 05581JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   55624053 | PA      | $53546683.79   | 0.06%             | 2028-06-16      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 4.375 09/28/2025                                    | CUSIP: 05581KAA9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   96752000 | PA      | $96560484.25   | 0.10%             | 2025-09-28      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 4.625 03/13/2027                                    | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  292220000 | PA      | $292046666.78  | 0.30%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.25 10/22/2026                              | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  159829000 | PA      | $159537930.61  | 0.17%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.593 07/21/2028                             | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   39225000 | PA      | $38622884.87   | 0.04%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.419 12/20/2028                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   82224000 | PA      | $80372626.33   | 0.08%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 2.496 02/13/2031                             | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   85980000 | PA      | $78530832.95   | 0.08%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 2.572 10/20/2032                             | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19411000 | PA      | $17108099.34   | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 3.846 03/08/2037                             | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  420071000 | PA      | $384404481.08  | 0.40%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.948 07/22/2028                             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   34480000 | PA      | $34877290.63   | 0.04%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.015 07/22/2033                             | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   16565000 | PA      | $16758947.16   | 0.02%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 6.204 11/10/2028                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   42885000 | PA      | $44629475.60   | 0.05%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.202 04/25/2029                             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24930000 | PA      | $25477512.16   | 0.03%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 5.288 04/25/2034                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24795000 | PA      | $25291736.83   | 0.03%             | 2034-04-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.979 01/24/2029                             | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  121005000 | PA      | $122731002.01  | 0.13%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                              | Bank of America Corp. 4.623 05/09/2029                             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  125490000 | PA      | $126286375.85  | 0.13%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 8.75 09/01/2030                               | CUSIP: 06423AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   80937000 | PA      | $95736124.06   | 0.10%             | 2030-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.20 05/12/2026                                       | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   55538000 | PA      | $55788455.28   | 0.06%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 4.836 05/09/2028                                      | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  100074000 | PA      | $100224694.43  | 0.10%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.088 06/20/2030                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   95044000 | PA      | $95502026.54   | 0.10%             | 2030-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 3.564 09/23/2035                                      | CUSIP: 06738EBP9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   21975000 | PA      | $20216467.55   | 0.02%             | 2035-09-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.501 08/09/2028                                      | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   72215000 | PA      | $73653027.41   | 0.08%             | 2028-08-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.304 08/09/2026                                      | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   12500000 | PA      | $12503483.75   | 0.01%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.829 05/09/2027                                      | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  132870000 | PA      | $134222851.78  | 0.14%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 6.49 09/13/2029                                       | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   73380000 | PA      | $77582010.31   | 0.08%             | 2029-09-13      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.674 03/12/2028                                      | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   35000000 | PA      | $35663811.05   | 0.04%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                       | Barclays PLC 5.69 03/12/2030                                       | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   55000000 | PA      | $56909814.50   | 0.06%             | 2030-03-12      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.25 01/21/2029                                           | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  124995000 | PA      | $131253653.39  | 0.14%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.375 11/21/2030                                          | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  193410000 | PA      | $205537300.20  | 0.21%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 6.50 11/21/2033                                           | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  167421000 | PA      | $179518037.84  | 0.19%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 4.25 12/15/2025                                           | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   44030000 | PA      | $43906059.51   | 0.05%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                           | Bayer AG 4.375 12/15/2028                                          | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4485000 | PA      | $4443236.35    | 0.00%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.588 08/12/2035                                    | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   33275000 | PA      | $29319707.23   | 0.03%             | 2035-08-12      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.906 11/19/2035                                    | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   37450000 | PA      | $37771270.82   | 0.04%             | 2035-11-19      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.871 04/19/2032                                    | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   24300000 | PA      | $21771193.28   | 0.02%             | 2032-04-19      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 2.591 01/20/2028                                    | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   52976000 | PA      | $51420521.87   | 0.05%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.497 05/20/2030                                    | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   10000000 | PA      | $10268171.10   | 0.01%             | 2030-05-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.786 01/13/2033                                    | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  190725000 | PA      | $198411967.05  | 0.21%             | 2033-01-13      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA 5.085 05/09/2031                                    | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  102025000 | PA      | $103019483.59  | 0.11%             | 2031-05-09      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                            | BMW Vehicle Owner Trust 4.56 09/25/2029                            | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  140000000 | PA      | $141198764.00  | 0.15%             | 2029-09-25      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                            | BMW Vehicle Owner Trust 4.66 12/27/2032                            | CUSIP: 096924AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42777000 | PA      | $43454224.08   | 0.05%             | 2032-12-27      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.65 02/01/2026                            | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   45870000 | PA      | $45572630.29   | 0.05%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 4.50 12/01/2028                            | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  105172000 | PA      | $104341985.73  | 0.11%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.40 06/21/2029                            | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   96153000 | PA      | $91161421.81   | 0.09%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 2.90 03/15/2030                            | CUSIP: 10112RBC7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   67330000 | PA      | $61860431.29   | 0.06%             | 2030-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 3.25 01/30/2031                            | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  253569000 | PA      | $232361738.94  | 0.24%             | 2031-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 6.75 12/01/2027                            | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   28600000 | PA      | $30032641.78   | 0.03%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                            | Boston Properties, Inc. 6.50 01/15/2034                            | CUSIP: 10112RBH6<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  110743000 | PA      | $118559811.27  | 0.12%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.25 02/01/2031                       | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   42380000 | PA      | $39590271.66   | 0.04%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.50 06/01/2033                       | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  358231000 | PA      | $327433988.40  | 0.34%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.50 05/01/2032                       | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  192473000 | PA      | $179239095.44  | 0.19%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.25 01/15/2034                       | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   82325000 | PA      | $73284644.78   | 0.08%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 4.375 10/15/2028                                   | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   97130000 | PA      | $97246784.26   | 0.10%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 7.875 05/15/2027                                   | CUSIP: 125523AX8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   26368000 | PA      | $27935742.14   | 0.03%             | 2027-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 2.40 03/15/2030                                    | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   95009000 | PA      | $86697564.23   | 0.09%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| The Cigna Group                                    | The Cigna Group 5.00 05/15/2029                                    | CUSIP: 125523CT5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   30910000 | PA      | $31607328.05   | 0.03%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 4.30 03/25/2028                                   | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  119550000 | PA      | $119059454.07  | 0.12%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 3.25 08/15/2029                                   | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   12941000 | PA      | $12299443.84   | 0.01%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 3.75 04/01/2030                                   | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   94694000 | PA      | $90839731.67   | 0.09%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 4.125 04/01/2040                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   24029000 | PA      | $20061210.17   | 0.02%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 1.875 02/28/2031                                  | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   21776000 | PA      | $18639940.03   | 0.02%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 2.125 09/15/2031                                  | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   14950000 | PA      | $12788489.23   | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.125 02/21/2030                                  | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  133451000 | PA      | $135860042.77  | 0.14%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.25 01/30/2031                                   | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10223959.60   | 0.01%             | 2031-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.40 06/01/2029                                   | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   79035000 | PA      | $81340107.15   | 0.08%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 5.55 06/01/2031                                   | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   38990000 | PA      | $40502912.98   | 0.04%             | 2031-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 6.75 12/10/2054                                   | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22660000 | PA      | $22709343.74   | 0.02%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                   | CVS Health Corp. 7.00 03/10/2055                                   | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  175294000 | PA      | $180800026.61  | 0.19%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.50 04/01/2034                             | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  113011000 | PA      | $131056189.64  | 0.14%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.55 04/01/2039                             | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   39695000 | PA      | $47573735.05   | 0.05%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.30 10/01/2039                             | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  216400000 | PA      | $250279454.16  | 0.26%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| State of California GO                             | State of California GO 7.625 03/01/2040                            | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   33650000 | PA      | $40278178.47   | 0.04%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 4.20 10/29/2025                        | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  135507000 | PA      | $135314073.26  | 0.14%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 3.75 07/28/2026                        | CUSIP: 14040HBK0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   11785000 | PA      | $11669596.09   | 0.01%             | 2026-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 4.927 05/10/2028                       | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   93637000 | PA      | $94322468.72   | 0.10%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 6.312 06/08/2029                       | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   71854000 | PA      | $75425094.94   | 0.08%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 7.624 10/30/2031                       | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  108529000 | PA      | $122621019.63  | 0.13%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 5.70 02/01/2030                        | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   36495000 | PA      | $37751340.01   | 0.04%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp. 5.463 07/26/2030                       | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   92110000 | PA      | $94782681.26   | 0.10%             | 2030-07-26      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 5.45 11/19/2029                                    | CUSIP: 151290BV4<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   76952000 | PA      | $77163464.10   | 0.08%             | 2029-11-19      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 5.20 09/17/2030                                    | CUSIP: 151290BX0<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |  213887000 | PA      | $213384643.60  | 0.22%             | 2030-09-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                    | Cemex SAB de CV 3.875 07/11/2031                                   | CUSIP: 151290BZ5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   96015000 | PA      | $88513924.14   | 0.09%             | 2031-07-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.908 07/23/2025                      | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   50074000 | PA      | $50070330.58   | 0.05%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.484 10/23/2045                      | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  404362000 | PA      | $400658391.83  | 0.42%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.375 05/01/2047                      | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   87814000 | PA      | $76214693.53   | 0.08%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.75 04/01/2048                       | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  221316000 | PA      | $201254304.37  | 0.21%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 5.125 07/01/2049                      | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   64354000 | PA      | $53507959.61   | 0.06%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.80 03/01/2050                       | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27568000 | PA      | $22056282.07   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 4.40 04/01/2033                       | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   40285000 | PA      | $37931240.51   | 0.04%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 4.45 09/29/2027                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   45814000 | PA      | $45857969.53   | 0.05%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 4.412 03/31/2031                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   88110000 | PA      | $87174906.19   | 0.09%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 7.875% 10/30/40                                    | CUSIP: 173080201<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16796323 | NS      | $496665591.48  | 0.51%             | 2040-10-30      | Variable      | 10.91%                | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc. 6.174 05/25/2034                                   | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   95165000 | PA      | $99621468.46   | 0.10%             | 2034-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 5.625 02/26/2044                 | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  105130000 | PA      | $77564889.82   | 0.08%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 5.00 06/15/2045                  | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   85825000 | PA      | $57824891.56   | 0.06%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 5.20 05/15/2049                  | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   82050000 | PA      | $54878993.99   | 0.06%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 3.125 04/15/2031                 | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   94380000 | PA      | $77402671.72   | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 7.75 11/07/2036                  | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  129210000 | PA      | $126167104.50  | 0.13%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 8.375 11/07/2054                 | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   53800000 | PA      | $51058890.00   | 0.05%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 7.375 04/25/2030                 | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  148800000 | PA      | $153834012.62  | 0.16%             | 2030-04-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                  | Colombia Government International 8.50 04/25/2035                  | CUSIP: 195325ES0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   79250000 | PA      | $82220400.95   | 0.09%             | 2035-04-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 2.65 02/01/2030                                      | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   51410000 | PA      | $47756738.57   | 0.05%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 3.40 04/01/2030                                      | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   32175000 | PA      | $30851058.60   | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                      | Comcast Corp. 4.95 05/15/2032                                      | CUSIP: 20030NER8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   41895000 | PA      | $42637442.66   | 0.04%             | 2032-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 3.35 09/15/2026                              | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |  161501000 | PA      | $158996708.97  | 0.16%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 3.50 08/15/2027                              | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   39848000 | PA      | $39080277.67   | 0.04%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 1.80 10/01/2030                              | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   25863000 | PA      | $22117026.10   | 0.02%             | 2030-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 5.45 09/15/2028                              | CUSIP: 224044CR6<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   64945000 | PA      | $66681905.32   | 0.07%             | 2028-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                              | Cox Enterprises, Inc. 5.70 06/15/2033                              | CUSIP: 224044CS4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   39365000 | PA      | $39849099.75   | 0.04%             | 2033-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 4.194 04/01/2031                                      | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   22300000 | PA      | $21837034.83   | 0.02%             | 2031-04-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.537 08/12/2033                                      | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   32787000 | PA      | $35661981.21   | 0.04%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.327 12/22/2027                                      | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   46075000 | PA      | $47306773.66   | 0.05%             | 2027-12-22      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.246 09/22/2029                                      | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   39775000 | PA      | $41785550.28   | 0.04%             | 2029-09-22      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 6.301 09/22/2034                                      | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   68310000 | PA      | $73361500.59   | 0.08%             | 2034-09-22      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                            | Dell Technologies, Inc. 6.02 06/15/2026                            | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10831000 | PA      | $10933369.63   | 0.01%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                            | Dell Technologies, Inc. 6.10 07/15/2027                            | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37195000 | PA      | $38441298.07   | 0.04%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.75 07/15/2026                                    | CUSIP: 254063AU4<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   20631000 | PA      | $20939943.86   | 0.02%             | 2026-07-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.75 05/15/2027                                    | CUSIP: 254063AW0<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   12958000 | PA      | $13548580.93   | 0.01%             | 2027-05-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                    | Dillard's, Inc. 7.00 12/01/2028                                    | CUSIP: 254067AN1<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   27710000 | PA      | $29219627.22   | 0.03%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 3.375 04/01/2030                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  108187000 | PA      | $102812920.04  | 0.11%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 1.45 04/15/2026                              | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   30450000 | PA      | $29720417.39   | 0.03%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 5.00 06/15/2030                              | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  123117000 | PA      | $125647113.45  | 0.13%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                              | Dominion Energy, Inc. 4.60 05/15/2028                              | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   28030000 | PA      | $28214662.48   | 0.03%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.76965 07/26/2066                   | CUSIP: 26827XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10453015 | PA      | $10503759.17   | 0.01%             | 2066-07-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.45517 11/27/2073                   | CUSIP: 26828PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  159405427 | PA      | $159662819.09  | 0.17%             | 2073-11-27      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.61965 12/27/2066                   | CUSIP: 26828WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24889264 | PA      | $25013199.97   | 0.03%             | 2066-12-27      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.56965 11/25/2069                   | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4202229 | PA      | $4216928.16    | 0.00%             | 2069-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                      | ECMC Group Student Loan Trust 5.25517 04/25/2074                   | CUSIP: 26829WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  385653120 | PA      | $381938702.29  | 0.40%             | 2074-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                         | Elanco Animal Health, Inc. 6.65 08/28/2028                         | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |  124426000 | PA      | $129430164.87  | 0.13%             | 2028-08-28      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 6.80 09/15/2037                                           | CUSIP: 29268BAC5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   77977000 | PA      | $85920894.40   | 0.09%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 6.00 10/07/2039                                           | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  120077000 | PA      | $123452509.76  | 0.13%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 5.00 06/15/2032                                           | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7150000 | PA      | $7168474.38    | 0.01%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                           | Enel SPA 7.50 10/14/2032                                           | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   17497000 | PA      | $19947038.60   | 0.02%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 01/01/2035                                   | CUSIP: 31283H5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965439 | PA      | $993992.25     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 12/01/2032                                   | CUSIP: 31283H6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     699307 | PA      | $731269.89     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 02/01/2035                                   | CUSIP: 31283H6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1571637 | PA      | $1630911.90    | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 7.00 04/01/2031                                   | CUSIP: 31283HY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202481 | PA      | $213691.61     | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 03/01/2034                                   | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2035150 | PA      | $2083830.08    | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.362 12/01/2050                                       | CUSIP: 31288Q2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63414058 | PA      | $58439762.71   | 0.06%             | 2050-12-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.72 02/01/2049                                        | CUSIP: 31288QBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2245882 | PA      | $2315835.81    | 0.00%             | 2049-02-01      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.268 01/01/2049                                       | CUSIP: 31288QFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50669109 | PA      | $49191375.87   | 0.05%             | 2049-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.287 09/01/2050                                       | CUSIP: 31288QLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22884808 | PA      | $21125623.74   | 0.02%             | 2050-09-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 1.851 08/01/2051                                       | CUSIP: 31288QPW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  176898365 | PA      | $165904884.85  | 0.17%             | 2051-08-01      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.179 11/01/2050                                       | CUSIP: 31288QQ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57707768 | PA      | $52974668.93   | 0.05%             | 2050-11-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.303 05/01/2052                                       | CUSIP: 31288QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31750299 | PA      | $28759529.17   | 0.03%             | 2052-05-01      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.024 05/01/2052                                       | CUSIP: 31288QRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   87169325 | PA      | $78594028.71   | 0.08%             | 2052-05-01      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 1.971 04/01/2052                                       | CUSIP: 31288QRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90695276 | PA      | $81293715.46   | 0.08%             | 2052-04-01      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.335 06/01/2052                                       | CUSIP: 31288QSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12079511 | PA      | $11408668.59   | 0.01%             | 2052-06-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.186 09/01/2052                                       | CUSIP: 31288QUJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40655778 | PA      | $40111372.41   | 0.04%             | 2052-09-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.121 10/01/2052                                       | CUSIP: 31288QUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50964037 | PA      | $49599938.16   | 0.05%             | 2052-10-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.52 06/01/2053                                        | CUSIP: 31288QW63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30546028 | PA      | $30056596.66   | 0.03%             | 2053-06-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.518 04/01/2053                                       | CUSIP: 31288QWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45256287 | PA      | $44541888.83   | 0.05%             | 2053-04-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.618 08/01/2053                                       | CUSIP: 31288QX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23887359 | PA      | $23597494.13   | 0.02%             | 2053-08-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.771 08/01/2053                                       | CUSIP: 31288QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33074925 | PA      | $32813038.05   | 0.03%             | 2053-08-01      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.127 01/01/2053                                       | CUSIP: 31288QZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  172572192 | PA      | $169842018.57  | 0.18%             | 2053-01-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2026                                   | CUSIP: 3128CUKS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93045 | PA      | $96191.79      | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2034                                   | CUSIP: 3128CUXL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4969084 | PA      | $4924711.83    | 0.01%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2034                                   | CUSIP: 3128CUXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3966020 | PA      | $3928091.02    | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2030                                   | CUSIP: 3128E5JT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1528090 | PA      | $1531296.65    | 0.00%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2031                                   | CUSIP: 3128E5RY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     729915 | PA      | $733976.49     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2031                                   | CUSIP: 3128E5VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1571053 | PA      | $1578573.74    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.437 09/01/2033                                       | CUSIP: 3128JLEY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830675 | PA      | $850261.10     | 0.00%             | 2033-09-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.551 08/01/2034                                       | CUSIP: 3128JMBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166023 | PA      | $171364.75     | 0.00%             | 2034-08-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.672 01/01/2037                                       | CUSIP: 3128JNN84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297223 | PA      | $303284.59     | 0.00%             | 2037-01-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.659 03/01/2035                                       | CUSIP: 3128JRL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191355 | PA      | $197845.42     | 0.00%             | 2035-03-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.996 08/01/2035                                       | CUSIP: 3128JRLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188165 | PA      | $192455.59     | 0.00%             | 2035-08-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.868 04/01/2036                                       | CUSIP: 3128JRQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     467221 | PA      | $483241.73     | 0.00%             | 2036-04-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 12/01/2033                                   | CUSIP: 3128LXFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22789 | PA      | $23618.53      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 06/01/2035                                   | CUSIP: 3128M42Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32704 | PA      | $34055.55      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2037                                   | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7886 | PA      | $8363.65       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 03/01/2038                                   | CUSIP: 3128M6FT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1404786 | PA      | $1475357.42    | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2040                                   | CUSIP: 3128M73B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2281953 | PA      | $2278858.45    | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2039                                   | CUSIP: 3128M7HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2428669 | PA      | $2426123.57    | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 7.00 11/01/2038                                   | CUSIP: 3128M7RY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341046 | PA      | $359928.74     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 07/01/2035                                   | CUSIP: 3128M7Z33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194695 | PA      | $1222500.04    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 12/01/2038                                   | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8674751 | PA      | $8963539.67    | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 03/01/2038                                   | CUSIP: 3128M8FY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381624 | PA      | $400794.77     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 01/01/2038                                   | CUSIP: 3128M8HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194468 | PA      | $1253466.05    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2041                                   | CUSIP: 3128M8P81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7568934 | PA      | $7549337.13    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 02/01/2039                                   | CUSIP: 3128M8T38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1390480 | PA      | $1459137.41    | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2041                                   | CUSIP: 3128M8VS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3987318 | PA      | $3969615.85    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2044                                   | CUSIP: 3128M96L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4702258 | PA      | $4621884.52    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2042                                   | CUSIP: 3128M9D74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2452039 | PA      | $2438883.55    | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2042                                   | CUSIP: 3128M9GQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4067372 | PA      | $4058513.39    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                   | CUSIP: 3128M9UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1572909 | PA      | $1568837.32    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2043                                   | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1655712 | PA      | $1627586.07    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2044                                   | CUSIP: 3128M9YZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3255852 | PA      | $3204224.63    | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2044                                   | CUSIP: 3128MADW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3399411 | PA      | $3327994.58    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2044                                   | CUSIP: 3128MAEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2875392 | PA      | $2830974.66    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2044                                   | CUSIP: 3128MAEP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34549512 | PA      | $33987370.29   | 0.04%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2026                                   | CUSIP: 3128MDQL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9745 | PA      | $9733.10       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 5.50 09/01/2034                                   | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164379 | PA      | $169037.49     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2039                                   | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1586321 | PA      | $1584658.70    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                   | CUSIP: 3128MJPY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1269728 | PA      | $1264090.65    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2044                                   | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6936919 | PA      | $6799782.97    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2044                                   | CUSIP: 3128MJVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     926125 | PA      | $907434.53     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2044                                   | CUSIP: 3128MJVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1711418 | PA      | $1673704.54    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2046                                   | CUSIP: 3128MJX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8043386 | PA      | $7866146.25    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 03/01/2046                                   | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13175130 | PA      | $12504092.75   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 05/01/2046                                   | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5770962 | PA      | $5476442.20    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2046                                   | CUSIP: 3128MJYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2583785 | PA      | $2451248.83    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                   | CUSIP: 3128MT6K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1309.77       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.509 01/01/2035                                       | CUSIP: 3128NCDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48876 | PA      | $49516.90      | 0.00%             | 2035-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.451 10/01/2035                                       | CUSIP: 3128NCM43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269879 | PA      | $273703.16     | 0.00%             | 2035-10-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2033                                   | CUSIP: 3128P75F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1031429 | PA      | $1038263.00    | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 01/01/2034                                   | CUSIP: 3128P75K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3046333 | PA      | $3066481.82    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 06/01/2034                                   | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8995337 | PA      | $8904252.40    | 0.01%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 07/01/2034                                   | CUSIP: 3128P76E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7369640 | PA      | $7293459.49    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 07/01/2034                                   | CUSIP: 3128P76Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2309625 | PA      | $2284857.09    | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 10/01/2034                                   | CUSIP: 3128P77G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5216174 | PA      | $5164242.46    | 0.01%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2034                                   | CUSIP: 3128P77M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2204325 | PA      | $2181952.81    | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2030                                   | CUSIP: 3128P7NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2116411 | PA      | $2123170.22    | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2030                                   | CUSIP: 3128P7PH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350512 | PA      | $351740.95     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2030                                   | CUSIP: 3128P7PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1228456 | PA      | $1232892.70    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2031                                   | CUSIP: 3128P7QX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497243 | PA      | $499405.46     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2031                                   | CUSIP: 3128P7RB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5491346 | PA      | $5516950.45    | 0.01%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2031                                   | CUSIP: 3128P7RQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7449753 | PA      | $7401208.34    | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 12/01/2034                                   | CUSIP: 3128P8AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1682545 | PA      | $1665118.48    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 01/01/2036                                   | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4718972 | PA      | $4580902.67    | 0.00%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 07/01/2035                                   | CUSIP: 3128P8BJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9064335 | PA      | $8811909.60    | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 09/01/2035                                   | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1757970 | PA      | $1707806.09    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 10/01/2035                                   | CUSIP: 3128P8BW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11902902 | PA      | $11539356.62   | 0.01%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 11/01/2035                                   | CUSIP: 3128P8BZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3471936 | PA      | $3371038.25    | 0.00%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.62 08/01/2035                                        | CUSIP: 3128QJGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583568 | PA      | $598169.05     | 0.00%             | 2035-08-01      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.56 01/01/2036                                        | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     541846 | PA      | $560719.74     | 0.00%             | 2036-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.074 01/01/2036                                       | CUSIP: 3128QLRM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465657 | PA      | $470090.54     | 0.00%             | 2036-01-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.496 12/01/2036                                       | CUSIP: 3128QPM33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265180 | PA      | $270064.61     | 0.00%             | 2036-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.476 03/01/2037                                       | CUSIP: 3128QS6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502458 | PA      | $513120.22     | 0.00%             | 2037-03-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.57 04/01/2037                                        | CUSIP: 3128QSDN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312591 | PA      | $317642.83     | 0.00%             | 2037-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.479 04/01/2037                                       | CUSIP: 3128QSDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322333 | PA      | $331721.91     | 0.00%             | 2037-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.625 05/01/2037                                       | CUSIP: 3128QSFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118975 | PA      | $121807.10     | 0.00%             | 2037-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.265 07/01/2037                                       | CUSIP: 3128QSJZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     852940 | PA      | $877019.86     | 0.00%             | 2037-07-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.999 01/01/2038                                       | CUSIP: 3128QSUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119829 | PA      | $123387.81     | 0.00%             | 2038-01-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.934 05/01/2038                                       | CUSIP: 3128QTDJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110409 | PA      | $113203.01     | 0.00%             | 2038-05-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.379 01/01/2036                                       | CUSIP: 3128S4AX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258228 | PA      | $265918.10     | 0.00%             | 2036-01-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.497 09/01/2035                                       | CUSIP: 3128S4DL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328176 | PA      | $335343.91     | 0.00%             | 2035-09-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.339 08/01/2036                                       | CUSIP: 3128S4EP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460112 | PA      | $464841.84     | 0.00%             | 2036-08-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.654 02/01/2038                                       | CUSIP: 3128S4Q83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161196 | PA      | $162556.66     | 0.00%             | 2038-02-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.418 06/01/2038                                       | CUSIP: 3128S4TM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295772 | PA      | $301174.20     | 0.00%             | 2038-06-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.747 04/01/2038                                       | CUSIP: 3128S4TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43081 | PA      | $43863.51      | 0.00%             | 2038-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.743 04/01/2038                                       | CUSIP: 3128S4TP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822987 | PA      | $849415.71     | 0.00%             | 2038-04-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.563 10/01/2038                                       | CUSIP: 3128S4ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63884 | PA      | $64594.91      | 0.00%             | 2038-10-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.707 11/01/2039                                       | CUSIP: 3128S5V43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144683 | PA      | $146863.24     | 0.00%             | 2039-11-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                   | CUSIP: 3128UNCE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4392 | PA      | $4548.50       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 09/01/2037                                   | CUSIP: 3128UNCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172547 | PA      | $176259.06     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 11/01/2037                                   | CUSIP: 3128UNDW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3496 | PA      | $3583.76       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.00 06/01/2038                                   | CUSIP: 3128UNGL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80308 | PA      | $81053.05      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 6.50 10/01/2038                                   | CUSIP: 3128UNGP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166285 | PA      | $169907.04     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2041                                   | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2865798 | PA      | $2857494.17    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 03/01/2041                                   | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995211 | PA      | $990178.14     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.168 10/01/2038                                       | CUSIP: 31300LH24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     521539 | PA      | $534258.23     | 0.00%             | 2038-10-01      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.118 08/01/2045                                       | CUSIP: 31300M2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3251514 | PA      | $3344312.11    | 0.00%             | 2045-08-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.204 09/01/2045                                       | CUSIP: 31300M2U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     788139 | PA      | $809736.87     | 0.00%             | 2045-09-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.754 01/01/2044                                       | CUSIP: 31300MGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     852056 | PA      | $878945.63     | 0.00%             | 2044-01-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.531 07/01/2043                                       | CUSIP: 31300MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247858 | PA      | $255605.72     | 0.00%             | 2043-07-01      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.633 04/01/2044                                       | CUSIP: 31300MKL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     670083 | PA      | $693949.68     | 0.00%             | 2044-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.575 05/01/2044                                       | CUSIP: 31300MLG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13252078 | PA      | $13680647.13   | 0.01%             | 2044-05-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.627 04/01/2044                                       | CUSIP: 31300MMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     567461 | PA      | $581683.25     | 0.00%             | 2044-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.978 06/01/2044                                       | CUSIP: 31300MMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1310310 | PA      | $1350161.97    | 0.00%             | 2044-06-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.495 08/01/2044                                       | CUSIP: 31300MN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277802 | PA      | $283260.57     | 0.00%             | 2044-08-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.309 07/01/2044                                       | CUSIP: 31300MNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     794539 | PA      | $815776.45     | 0.00%             | 2044-07-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.139 11/01/2044                                       | CUSIP: 31300MR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     646296 | PA      | $667398.13     | 0.00%             | 2044-11-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.675 11/01/2044                                       | CUSIP: 31300MR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1209483 | PA      | $1245718.72    | 0.00%             | 2044-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.064 10/01/2044                                       | CUSIP: 31300MRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2026642 | PA      | $2087987.07    | 0.00%             | 2044-10-01      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.441 09/01/2044                                       | CUSIP: 31300MRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     542131 | PA      | $554038.06     | 0.00%             | 2044-09-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.565 08/01/2043                                       | CUSIP: 31300MS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2527605 | PA      | $2617651.69    | 0.00%             | 2043-08-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.932 08/01/2044                                       | CUSIP: 31300MSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1380975 | PA      | $1425065.27    | 0.00%             | 2044-08-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.99 11/01/2044                                        | CUSIP: 31300MSZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2862919 | PA      | $2948152.52    | 0.00%             | 2044-11-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.482 01/01/2045                                       | CUSIP: 31300MTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1731543 | PA      | $1778873.65    | 0.00%             | 2045-01-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.587 02/01/2045                                       | CUSIP: 31300MUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1044661 | PA      | $1077843.69    | 0.00%             | 2045-02-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.834 01/01/2045                                       | CUSIP: 31300MVS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1618902 | PA      | $1667859.04    | 0.00%             | 2045-01-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.596 05/01/2045                                       | CUSIP: 31300MYJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2871995 | PA      | $2959151.74    | 0.00%             | 2045-05-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.368 08/01/2045                                       | CUSIP: 31300MZW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45569 | PA      | $46377.20      | 0.00%             | 2045-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 02/01/2048                                   | CUSIP: 31323FAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29887350 | PA      | $26993553.19   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.348 10/01/2043                                       | CUSIP: 31326F4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222612 | PA      | $229460.21     | 0.00%             | 2043-10-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.61 01/01/2044                                        | CUSIP: 31326GMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     539616 | PA      | $554492.84     | 0.00%             | 2044-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.495 02/01/2044                                       | CUSIP: 31326GQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2036400 | PA      | $2103765.49    | 0.00%             | 2044-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.351 12/01/2044                                       | CUSIP: 31326H3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1952929 | PA      | $2008981.23    | 0.00%             | 2044-12-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.377 11/01/2044                                       | CUSIP: 31326H4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1075650 | PA      | $1106814.63    | 0.00%             | 2044-11-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.385 12/01/2044                                       | CUSIP: 31326H5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2095615 | PA      | $2155702.26    | 0.00%             | 2044-12-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.255 12/01/2044                                       | CUSIP: 31326H6N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175556 | PA      | $178979.53     | 0.00%             | 2044-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.329 12/01/2044                                       | CUSIP: 31326H7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1507774 | PA      | $1548423.73    | 0.00%             | 2044-12-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.467 01/01/2045                                       | CUSIP: 31326H7M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478655 | PA      | $492254.34     | 0.00%             | 2045-01-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.505 07/01/2044                                       | CUSIP: 31326HC44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272982 | PA      | $278454.24     | 0.00%             | 2044-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.37 06/01/2044                                        | CUSIP: 31326HEL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428739 | PA      | $438555.06     | 0.00%             | 2044-06-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.36 08/01/2044                                        | CUSIP: 31326HMR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     903313 | PA      | $934046.88     | 0.00%             | 2044-08-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.233 09/01/2044                                       | CUSIP: 31326HQE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037049 | PA      | $1069596.75    | 0.00%             | 2044-09-01      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.232 09/01/2044                                       | CUSIP: 31326HTD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676535 | PA      | $694938.99     | 0.00%             | 2044-09-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.024 10/01/2044                                       | CUSIP: 31326HUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487138 | PA      | $501827.25     | 0.00%             | 2044-10-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.411 11/01/2044                                       | CUSIP: 31326HUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1068350 | PA      | $1098004.23    | 0.00%             | 2044-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.195 10/01/2044                                       | CUSIP: 31326HUT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692470 | PA      | $1741292.22    | 0.00%             | 2044-10-01      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.017 11/01/2044                                       | CUSIP: 31326HWG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1718433 | PA      | $1771136.79    | 0.00%             | 2044-11-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.762 10/01/2044                                       | CUSIP: 31326HWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2195458 | PA      | $2261633.29    | 0.00%             | 2044-10-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.876 11/01/2044                                       | CUSIP: 31326HWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1808133 | PA      | $1862492.43    | 0.00%             | 2044-11-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.619 11/01/2044                                       | CUSIP: 31326HX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684966 | PA      | $705887.62     | 0.00%             | 2044-11-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.484 11/01/2044                                       | CUSIP: 31326HXC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2959371 | PA      | $3044579.17    | 0.00%             | 2044-11-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.592 11/01/2044                                       | CUSIP: 31326HXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1002993 | PA      | $1033095.62    | 0.00%             | 2044-11-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.696 10/01/2044                                       | CUSIP: 31326HXT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1836955 | PA      | $1891108.72    | 0.00%             | 2044-10-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.28 11/01/2044                                        | CUSIP: 31326HYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1334214 | PA      | $1370102.32    | 0.00%             | 2044-11-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.245 12/01/2044                                       | CUSIP: 31326HZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316249 | PA      | $322215.49     | 0.00%             | 2044-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.347 08/01/2045                                       | CUSIP: 31326J6W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1002126 | PA      | $1031145.72    | 0.00%             | 2045-08-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.416 01/01/2045                                       | CUSIP: 31326JCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1124116 | PA      | $1156989.41    | 0.00%             | 2045-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.60 01/01/2045                                        | CUSIP: 31326JCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     968079 | PA      | $997051.86     | 0.00%             | 2045-01-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.505 06/01/2045                                       | CUSIP: 31326JYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279170 | PA      | $286869.79     | 0.00%             | 2045-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.43 05/01/2046                                        | CUSIP: 31326K4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1216430 | PA      | $1251592.24    | 0.00%             | 2046-05-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.205 06/01/2047                                       | CUSIP: 31326L3Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405870 | PA      | $414627.67     | 0.00%             | 2047-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.38 08/01/2047                                        | CUSIP: 31326MDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157364 | PA      | $160156.29     | 0.00%             | 2047-08-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.14 10/01/2047                                        | CUSIP: 31326MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138056 | PA      | $142187.53     | 0.00%             | 2047-10-01      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 7.00 11/01/2037                                   | CUSIP: 3132A16F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3027 | PA      | $3263.21       | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 07/01/2042                                   | CUSIP: 3132AAXY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2550535 | PA      | $2537660.50    | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2042                                   | CUSIP: 3132D9JB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34129509 | PA      | $30383852.88   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 06/01/2050                                   | CUSIP: 3132DMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68511968 | PA      | $59916418.19   | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                   | CUSIP: 3132DN6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59015663 | PA      | $49438960.14   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3132DNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15467311 | PA      | $14024854.45   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3132DNMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30909783 | PA      | $28210531.27   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3132DNN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16367566 | PA      | $14940754.35   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3132DNP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26172881 | PA      | $23816553.64   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2052                                   | CUSIP: 3132DNPF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49283265 | PA      | $41332183.83   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3132DNQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  130675285 | PA      | $119284487.92  | 0.12%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3132DNRK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24349841 | PA      | $22227349.74   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3132DNRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31719076 | PA      | $28761922.79   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 12/01/2052                                   | CUSIP: 3132DPQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82320167 | PA      | $74207454.62   | 0.08%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                   | CUSIP: 3132DQDA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24538430 | PA      | $20530685.73   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2052                                   | CUSIP: 3132DQKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  414238108 | PA      | $346854943.17  | 0.36%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 03/01/2053                                   | CUSIP: 3132DS4F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  287308912 | PA      | $267289364.45  | 0.28%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 02/01/2053                                   | CUSIP: 3132DS4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   87540028 | PA      | $81440420.84   | 0.08%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2053                                   | CUSIP: 3132DSAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79714697 | PA      | $71902562.52   | 0.07%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2053                                   | CUSIP: 3132DTMF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   89754318 | PA      | $80847062.66   | 0.08%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 01/01/2054                                   | CUSIP: 3132DUNX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  952685148 | PA      | $912634159.70  | 0.95%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2054                                   | CUSIP: 3132DVGK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41228959 | PA      | $39549293.71   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 02/01/2054                                   | CUSIP: 3132DVJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   95794016 | PA      | $91711368.12   | 0.09%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 11/01/2050                                   | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  257982932 | PA      | $217021831.07  | 0.22%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 02/01/2051                                   | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  224915752 | PA      | $189672056.60  | 0.20%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 02/01/2052                                   | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18385427 | PA      | $16634079.13   | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  682050655 | PA      | $615208783.83  | 0.64%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 06/01/2052                                   | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  244033460 | PA      | $227395507.48  | 0.24%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  818391158 | PA      | $738145360.14  | 0.76%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 03/01/2052                                   | CUSIP: 3132DWDF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40876256 | PA      | $37046736.67   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 04/01/2052                                   | CUSIP: 3132DWDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  178014705 | PA      | $160339470.09  | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 1699113149 | PA      | $1532602269.47 | 1.59%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 10/01/2052                                   | CUSIP: 3132DWE41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  272119016 | PA      | $245407024.25  | 0.25%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 10/01/2052                                   | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 1349427850 | PA      | $1257210285.56 | 1.30%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                   | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  222979451 | PA      | $200850377.54  | 0.21%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 08/01/2052                                   | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  352378898 | PA      | $328334859.95  | 0.34%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 08/01/2052                                   | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45604434 | PA      | $43702992.93   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 09/01/2052                                   | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  581539857 | PA      | $524485795.70  | 0.54%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 09/01/2052                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  839605719 | PA      | $782316003.37  | 0.81%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 09/01/2052                                   | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29974461 | PA      | $28725736.61   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 11/01/2052                                   | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  122071688 | PA      | $113729670.35  | 0.12%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 11/01/2052                                   | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  334058156 | PA      | $320165438.68  | 0.33%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 12/01/2052                                   | CUSIP: 3132DWFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  121933749 | PA      | $113588599.27  | 0.12%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2052                                   | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  287554721 | PA      | $275596059.16  | 0.29%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 03/01/2053                                   | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43388844 | PA      | $41539648.94   | 0.04%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                   | CUSIP: 3132GDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3342884 | PA      | $3325980.05    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                   | CUSIP: 3132GDF80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1307096 | PA      | $1300890.07    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2041                                   | CUSIP: 3132GDMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3028286 | PA      | $2996730.20    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2041                                   | CUSIP: 3132GFE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2170111 | PA      | $2165161.62    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 08/01/2041                                   | CUSIP: 3132GGA47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398089 | PA      | $395830.49     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2035                                   | CUSIP: 3132J4DJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52873724 | PA      | $52312026.98   | 0.05%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 3.50 12/01/2035                                   | CUSIP: 3132J4JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7654506 | PA      | $7439617.93    | 0.01%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2047                                   | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10360798 | PA      | $10045393.93   | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2047                                   | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21839431 | PA      | $21169508.01   | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 06/01/2035                                   | CUSIP: 3132LPAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4134414 | PA      | $4098430.36    | 0.00%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 10/01/2035                                   | CUSIP: 3132LPT25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1728142 | PA      | $1711034.27    | 0.00%             | 2035-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2044                                   | CUSIP: 3132M6D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1785368 | PA      | $1751911.09    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 06/01/2047                                   | CUSIP: 3132WNJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20415007 | PA      | $19923070.07   | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2047                                   | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3686054 | PA      | $3593997.70    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2045                                   | CUSIP: 31335A4C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4439132 | PA      | $4426272.63    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2045                                   | CUSIP: 31335A5Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1475255 | PA      | $1448828.12    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2045                                   | CUSIP: 31335A6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17237298 | PA      | $17197988.71   | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 02/01/2045                                   | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2931150 | PA      | $2852396.98    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 11/01/2044                                   | CUSIP: 31335ACP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1337148 | PA      | $1311536.68    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2044                                   | CUSIP: 31335AE20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10365132 | PA      | $10176594.62   | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2044                                   | CUSIP: 31335AGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10218953 | PA      | $10044266.20   | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 05/01/2042                                   | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5619459 | PA      | $5606642.71    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 12/01/2045                                   | CUSIP: 31335AM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7287318 | PA      | $7150783.55    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 11/01/2045                                   | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2805901 | PA      | $2753871.95    | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 07/01/2042                                   | CUSIP: 31335BAP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12943594 | PA      | $12910087.22   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 04/01/2046                                   | CUSIP: 31335BAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11986837 | PA      | $11781984.11   | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 09/01/2047                                   | CUSIP: 31335BJ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20425530 | PA      | $19962784.64   | 0.02%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.50 10/01/2047                                   | CUSIP: 31335BJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15521599 | PA      | $15179564.72   | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2047                                   | CUSIP: 31335BK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7561011 | PA      | $7144872.06    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 11/01/2045                                   | CUSIP: 31335BLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3122359 | PA      | $2932161.51    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 09/01/2047                                   | CUSIP: 31335BLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4817192 | PA      | $4567304.47    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 12/01/2046                                   | CUSIP: 31335BNE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15302322 | PA      | $14522913.95   | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                   | Freddie Mac Gold 4.00 01/01/2046                                   | CUSIP: 31335BNF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17716026 | PA      | $16830317.41   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                   | CUSIP: 3133A6K91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15960415 | PA      | $13410834.26   | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                   | CUSIP: 3133A6MB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24550288 | PA      | $20644771.00   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 04/01/2052                                   | CUSIP: 3133B9Z49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   88744646 | PA      | $80216145.52   | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133BA3Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19629534 | PA      | $17707009.38   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133BB4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47127026 | PA      | $42511009.58   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133BBPQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16493135 | PA      | $14869097.63   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133BBTU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5140027 | PA      | $4629692.65    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133BCWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30193834 | PA      | $27223060.88   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133BED26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29349025 | PA      | $26471185.16   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133BETX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20947008 | PA      | $18892021.95   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 07/01/2052                                   | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35473890 | PA      | $31997353.72   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                   | CUSIP: 3133BJAS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16089135 | PA      | $14543278.34   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 10/01/2052                                   | CUSIP: 3133BNCS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59351937 | PA      | $55252099.09   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 11/01/2052                                   | CUSIP: 3133BQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54017242 | PA      | $50328907.23   | 0.05%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2050                                   | CUSIP: 3133KH4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43661855 | PA      | $36716248.94   | 0.04%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 06/01/2050                                   | CUSIP: 3133KH6P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30762441 | PA      | $24700341.37   | 0.03%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                   | CUSIP: 3133KJ2N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   95349624 | PA      | $76630561.71   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                   | CUSIP: 3133KJ3C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  192309349 | PA      | $154173091.48  | 0.16%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                   | CUSIP: 3133KJE81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  158561602 | PA      | $133349796.66  | 0.14%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 06/01/2050                                   | CUSIP: 3133KJF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55313037 | PA      | $46518099.07   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                   | CUSIP: 3133KJJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  115118579 | PA      | $92243429.29   | 0.10%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  107113287 | PA      | $90081959.29   | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41435816 | PA      | $34847389.74   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61819230 | PA      | $51956132.36   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                   | CUSIP: 3133KJL75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22381066 | PA      | $17942880.25   | 0.02%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 07/01/2050                                   | CUSIP: 3133KJL91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15027705 | PA      | $12055327.42   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23129916 | PA      | $19437363.10   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJNF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23743007 | PA      | $19969639.86   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 08/01/2050                                   | CUSIP: 3133KJRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  135502330 | PA      | $113866514.85  | 0.12%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 07/01/2050                                   | CUSIP: 3133KJRX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41593028 | PA      | $34979586.78   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 08/01/2050                                   | CUSIP: 3133KJSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74064279 | PA      | $59361832.80   | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 08/01/2050                                   | CUSIP: 3133KJSN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74833776 | PA      | $60123811.95   | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                   | CUSIP: 3133KJWP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  158541914 | PA      | $127101684.61  | 0.13%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 09/01/2050                                   | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106385859 | PA      | $85309859.57   | 0.09%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                   | CUSIP: 3133KKCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  412471176 | PA      | $332518039.35  | 0.34%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                   | CUSIP: 3133KKD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21281704 | PA      | $17069918.66   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 10/01/2050                                   | CUSIP: 3133KKEA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  116414115 | PA      | $93645947.19   | 0.10%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                   | CUSIP: 3133KKQQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  503504113 | PA      | $405026185.78  | 0.42%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                   | CUSIP: 3133KKSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  582912787 | PA      | $469356695.57  | 0.49%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.00 12/01/2050                                   | CUSIP: 3133KKVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100641145 | PA      | $80957019.93   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 02/01/2051                                   | CUSIP: 3133KLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9009145 | PA      | $7577049.21    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 11/01/2051                                   | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41350546 | PA      | $34711889.75   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 12/01/2051                                   | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61519638 | PA      | $51474505.03   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.00 01/01/2052                                   | CUSIP: 3133KNK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  183770564 | PA      | $160869270.88  | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 03/01/2052                                   | CUSIP: 3133KNX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16155292 | PA      | $13515286.68   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133KPCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40190307 | PA      | $36541370.84   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133KPD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35341959 | PA      | $31859247.22   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 05/01/2052                                   | CUSIP: 3133KPFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12180221 | PA      | $11037151.54   | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133KPK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64254656 | PA      | $58415781.23   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133KPK31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  102666987 | PA      | $93033568.38   | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 06/01/2052                                   | CUSIP: 3133KPLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51405954 | PA      | $46865904.35   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                   | CUSIP: 3133KPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12282554 | PA      | $11165471.47   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                   | CUSIP: 3133KPP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16164545 | PA      | $14646601.61   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 3.50 08/01/2052                                   | CUSIP: 3133KPP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21667559 | PA      | $19584796.80   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 10/01/2041                                   | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22186314 | PA      | $19804333.40   | 0.02%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 01/01/2042                                   | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45377435 | PA      | $40439689.53   | 0.04%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 2.50 05/01/2051                                   | CUSIP: 3133USKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  174718884 | PA      | $145906445.29  | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.767 05/01/2046                                       | CUSIP: 31347AJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13516190 | PA      | $13912699.01   | 0.01%             | 2046-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.16 04/01/2045                                        | CUSIP: 31347AKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687373 | PA      | $710986.46     | 0.00%             | 2045-04-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.67 07/01/2046                                        | CUSIP: 31347AMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1182813 | PA      | $1217806.78    | 0.00%             | 2046-07-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 7.343 09/01/2046                                       | CUSIP: 31347ANA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2984690 | PA      | $3076102.75    | 0.00%             | 2046-09-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 02/01/2034                                        | CUSIP: 31349SMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     743474 | PA      | $761432.98     | 0.00%             | 2034-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.375 04/01/2035                                       | CUSIP: 31349TY62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64537 | PA      | $65974.63      | 0.00%             | 2035-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.527 11/01/2034                                       | CUSIP: 31349UFB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343378 | PA      | $352837.31     | 0.00%             | 2034-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 02/01/2035                                        | CUSIP: 31349ULK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191824 | PA      | $198313.30     | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 11/01/2040                                         | CUSIP: 31358S7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31276 | PA      | $31811.41      | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 02/01/2041                                         | CUSIP: 31359S6X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44750 | PA      | $47166.63      | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 07/01/2041                                         | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633898 | PA      | $642343.98     | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2041                                         | CUSIP: 31359SX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17057 | PA      | $17337.33      | 0.00%             | 2041-06-19      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 06/01/2041                                         | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100876 | PA      | $103254.37     | 0.00%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 10/01/2028                                         | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188569 | PA      | $190976.67     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 09/01/2028                                         | CUSIP: 31359UZK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28316 | PA      | $28621.07      | 0.00%             | 2028-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2042                                         | CUSIP: 3136A4LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2714804 | PA      | $2621772.39    | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2042                                         | CUSIP: 3136A6EY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4797372 | PA      | $4666011.96    | 0.00%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2042                                         | CUSIP: 3136A9XM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251406 | PA      | $266975.13     | 0.00%             | 2042-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2042                                         | CUSIP: 3136AACB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12862815 | PA      | $11923371.29   | 0.01%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 12/01/2042                                         | CUSIP: 3136AAQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36473055 | PA      | $32989995.02   | 0.03%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2043                                         | CUSIP: 3136ACLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10214555 | PA      | $9655787.44    | 0.01%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 07/01/2043                                         | CUSIP: 3136AFBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10754144 | PA      | $9800099.73    | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2042                                         | CUSIP: 3136AGF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6224790 | PA      | $6183241.19    | 0.01%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.96965 09/25/2043                                      | CUSIP: 3136AGFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7977856 | PA      | $7901555.46    | 0.01%             | 2043-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2044                                         | CUSIP: 3136AKB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28786377 | PA      | $27582758.50   | 0.03%             | 2044-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 10/01/2044                                         | CUSIP: 3136ALGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36830388 | PA      | $33364850.86   | 0.03%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 11/01/2044                                         | CUSIP: 3136ALRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46596304 | PA      | $42193992.62   | 0.04%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2048                                         | CUSIP: 3136B1N75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4241156 | PA      | $3899481.48    | 0.00%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 08/01/2048                                         | CUSIP: 3136B2UG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4111528 | PA      | $3698909.18    | 0.00%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.585 06/01/2035                                        | CUSIP: 31371MDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122695 | PA      | $125279.17     | 0.00%             | 2035-06-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.282 07/01/2035                                        | CUSIP: 31371MET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318196 | PA      | $325386.58     | 0.00%             | 2035-07-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2037                                         | CUSIP: 31371NNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882738 | PA      | $944544.46     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 02/01/2038                                         | CUSIP: 31374CL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558979 | PA      | $585909.17     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2036                                         | CUSIP: 31374CNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3477597 | PA      | $3468971.42    | 0.00%             | 2036-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 11/01/2028                                         | CUSIP: 31374TE39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185567 | PA      | $189963.79     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 12/01/2028                                         | CUSIP: 31374TGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141402 | PA      | $144603.57     | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 04/01/2043                                        | CUSIP: 3137B1TU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10289123 | PA      | $10032106.90   | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 06/01/2043                                        | CUSIP: 3137B34X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28573066 | PA      | $26780248.63   | 0.03%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                        | CUSIP: 3137B6GK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16617753 | PA      | $16539898.69   | 0.02%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                        | CUSIP: 3137B6GQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10280257 | PA      | $10237378.03   | 0.01%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 12/01/2043                                        | CUSIP: 3137B6MM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28236335 | PA      | $28086795.29   | 0.03%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.50 03/01/2044                                        | CUSIP: 3137B8LR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5679017 | PA      | $5648897.54    | 0.01%             | 2044-03-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 06/01/2044                                        | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17919968 | PA      | $16349019.65   | 0.02%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 08/01/2044                                        | CUSIP: 3137BCVJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17627281 | PA      | $16368190.76   | 0.02%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 09/01/2044                                        | CUSIP: 3137BDSC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38008571 | PA      | $33479085.95   | 0.03%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 12/01/2044                                        | CUSIP: 3137BFJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11167664 | PA      | $10225164.97   | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.00 02/01/2045                                        | CUSIP: 3137BGEM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37205223 | PA      | $32700046.09   | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 02/01/2045                                        | CUSIP: 3137BGLN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5980425 | PA      | $5515111.91    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.095902 01/01/2031                                    | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  114648416 | PA      | $4514143.80    | 0.00%             | 2031-01-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.464034 03/01/2026                                    | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100788259 | PA      | $706102.39     | 0.00%             | 2026-03-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.362409 05/01/2026                                    | CUSIP: 3137BQYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33199674 | PA      | $241882.86     | 0.00%             | 2026-05-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 2.50 09/01/2046                                        | CUSIP: 3137BS4N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20937696 | PA      | $17916821.89   | 0.02%             | 2046-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.401228 12/01/2026                                    | CUSIP: 3137BUX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  282165024 | PA      | $1020026.56    | 0.00%             | 2026-12-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 02/01/2047                                        | CUSIP: 3137BUXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19400996 | PA      | $17714081.06   | 0.02%             | 2047-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.724992 03/01/2027                                    | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  356111735 | PA      | $2970684.10    | 0.00%             | 2027-03-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 03/01/2047                                        | CUSIP: 3137BY6K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14220578 | PA      | $12884405.74   | 0.01%             | 2047-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.793812 04/01/2027                                    | CUSIP: 3137F1G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  430665198 | PA      | $4500623.58    | 0.00%             | 2027-04-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 07/01/2047                                        | CUSIP: 3137F1SB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2685394 | PA      | $2440533.65    | 0.00%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.866999 06/01/2027                                    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  344141234 | PA      | $3874892.64    | 0.00%             | 2027-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 09/01/2047                                        | CUSIP: 3137FAW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10676424 | PA      | $9857997.28    | 0.01%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.696905 07/01/2027                                    | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  441630473 | PA      | $4216908.57    | 0.00%             | 2027-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.467085 09/01/2027                                    | CUSIP: 3137FBU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   87738354 | PA      | $594901.14     | 0.00%             | 2027-09-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.449004 11/01/2027                                    | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  185645029 | PA      | $1255368.81    | 0.00%             | 2027-11-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.406811 11/01/2027                                    | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  239738603 | PA      | $1295859.07    | 0.00%             | 2027-11-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.425515 11/01/2032                                    | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  349015143 | PA      | $5344782.99    | 0.01%             | 2032-11-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 08/01/2048                                        | CUSIP: 3137FGY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9667660 | PA      | $9053963.52    | 0.01%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.685439 01/01/2029                                    | CUSIP: 3137FL6R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  498813681 | PA      | $8508015.55    | 0.01%             | 2029-01-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.704858 03/01/2029                                    | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  248757811 | PA      | $4625029.60    | 0.00%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.926165 03/01/2034                                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  169880005 | PA      | $7855149.50    | 0.01%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.851582 04/01/2029                                    | CUSIP: 3137FLYX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  469370371 | PA      | $10787304.54   | 0.01%             | 2029-04-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.078259 05/01/2029                                    | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  211925955 | PA      | $6455285.78    | 0.01%             | 2029-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.009357 06/01/2029                                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  311061937 | PA      | $9186498.87    | 0.01%             | 2029-06-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.0822 06/01/2029                                      | CUSIP: 3137FNAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  215889683 | PA      | $6761513.76    | 0.01%             | 2029-06-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.243283 07/01/2029                                    | CUSIP: 3137FNBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  516910060 | PA      | $19215511.17   | 0.02%             | 2029-07-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.213519 07/01/2029                                    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  235704961 | PA      | $8758065.65    | 0.01%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 1.261666 08/01/2029                                    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  457219836 | PA      | $18209328.65   | 0.02%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.997803 09/01/2029                                    | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  496281898 | PA      | $15338832.76   | 0.02%             | 2029-09-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.941149 10/01/2029                                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  191088056 | PA      | $5774642.84    | 0.01%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only              | Freddie Mac 0.938689 10/01/2029                                    | CUSIP: 3137FQKE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  535545671 | PA      | $15870895.97   | 0.02%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.50 10/01/2050                                        | CUSIP: 3137FWXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12176520 | PA      | $10674948.95   | 0.01%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 04/01/2032                                         | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79273 | PA      | $83578.20      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 07/01/2032                                         | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5640 | PA      | $5946.23       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2033                                         | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323388 | PA      | $1379025.54    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 05/01/2033                                         | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7154457 | PA      | $7316951.97    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2033                                         | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349215 | PA      | $357436.13     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2041                                         | CUSIP: 3138A3TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3411793 | PA      | $3296645.35    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2041                                         | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25466348 | PA      | $25369184.11   | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.811 01/01/2036                                        | CUSIP: 3138AFT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655148 | PA      | $1706812.98    | 0.00%             | 2036-01-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2041                                         | CUSIP: 3138ANCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3711313 | PA      | $3582581.73    | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2041                                         | CUSIP: 3138AXAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1031499 | PA      | $1022577.97    | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2041                                         | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249860 | PA      | $247159.25     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.713 04/01/2042                                        | CUSIP: 3138EEZP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1124116 | PA      | $1165996.65    | 0.00%             | 2042-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.323 11/01/2037                                        | CUSIP: 3138EGES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189777 | PA      | $191994.99     | 0.00%             | 2037-11-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.187 10/01/2038                                        | CUSIP: 3138EHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723847 | PA      | $742165.75     | 0.00%             | 2038-10-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.417 06/01/2039                                        | CUSIP: 3138EJBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75702 | PA      | $77708.68      | 0.00%             | 2039-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 02/01/2039                                         | CUSIP: 3138EJBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621223 | PA      | $657357.25     | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2038                                         | CUSIP: 3138EKA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222930 | PA      | $239900.51     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 09/01/2038                                         | CUSIP: 3138EKES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1869492 | PA      | $1959802.45    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.192 08/01/2037                                        | CUSIP: 3138EKL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20359 | PA      | $20881.10      | 0.00%             | 2037-08-01      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.758 02/01/2043                                        | CUSIP: 3138EKPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645682 | PA      | $666101.63     | 0.00%             | 2043-02-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2043                                         | CUSIP: 3138ELFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3416367 | PA      | $3382567.36    | 0.00%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.845 09/01/2043                                        | CUSIP: 3138ELRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176830 | PA      | $179595.24     | 0.00%             | 2043-09-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.441 02/01/2043                                        | CUSIP: 3138ELRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297839 | PA      | $306484.01     | 0.00%             | 2043-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.586 11/01/2042                                        | CUSIP: 3138ELSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642003 | PA      | $662221.98     | 0.00%             | 2042-11-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2052                                         | CUSIP: 3138ELTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2236481 | PA      | $2156767.89    | 0.00%             | 2052-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2031                                         | CUSIP: 3138ELTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19897622 | PA      | $19935992.60   | 0.02%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2031                                         | CUSIP: 3138ELX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396805 | PA      | $395807.42     | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.902 11/01/2043                                        | CUSIP: 3138ELZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1621787 | PA      | $1668380.92    | 0.00%             | 2043-11-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.411 05/01/2044                                        | CUSIP: 3138EM2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3770008 | PA      | $3893083.54    | 0.00%             | 2044-05-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.542 05/01/2044                                        | CUSIP: 3138EM2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838132 | PA      | $864990.83     | 0.00%             | 2044-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 07/01/2037                                         | CUSIP: 3138EM6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2147862 | PA      | $2169443.88    | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2032                                         | CUSIP: 3138EMBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952617 | PA      | $953726.58     | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2034                                         | CUSIP: 3138EMCP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2331072 | PA      | $2337298.72    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.541 11/01/2043                                        | CUSIP: 3138EMD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1924727 | PA      | $1985136.48    | 0.00%             | 2043-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.599 04/01/2044                                        | CUSIP: 3138EMUN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2039741 | PA      | $2105159.91    | 0.00%             | 2044-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.537 04/01/2044                                        | CUSIP: 3138EMWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033913 | PA      | $1066868.26    | 0.00%             | 2044-04-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.711 04/01/2044                                        | CUSIP: 3138EN3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2936162 | PA      | $3045592.97    | 0.00%             | 2044-04-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2044                                         | CUSIP: 3138EN7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3258251 | PA      | $3187147.61    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2041                                         | CUSIP: 3138ENBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3765794 | PA      | $3757228.63    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2041                                         | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11824441 | PA      | $11662709.94   | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.028 07/01/2044                                        | CUSIP: 3138ENCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153706 | PA      | $155528.20     | 0.00%             | 2044-07-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.85 07/01/2044                                         | CUSIP: 3138END71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1047827 | PA      | $1080276.47    | 0.00%             | 2044-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.908 07/01/2044                                        | CUSIP: 3138ENDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118167 | PA      | $1150344.73    | 0.00%             | 2044-07-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.018 05/01/2038                                        | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19571653 | PA      | $20268011.38   | 0.02%             | 2038-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.236 08/01/2044                                        | CUSIP: 3138ENFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1131939 | PA      | $1165514.96    | 0.00%             | 2044-08-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.335 08/01/2044                                        | CUSIP: 3138ENH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2421034 | PA      | $2493982.74    | 0.00%             | 2044-08-01      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.34 09/01/2044                                         | CUSIP: 3138ENJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937783 | PA      | $969163.71     | 0.00%             | 2044-09-01      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2044                                         | CUSIP: 3138ENM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1696779 | PA      | $1667093.80    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.095 10/01/2044                                        | CUSIP: 3138ENNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1770618 | PA      | $1826544.97    | 0.00%             | 2044-10-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.57 10/01/2044                                         | CUSIP: 3138ENNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277331 | PA      | $283199.25     | 0.00%             | 2044-10-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2034                                         | CUSIP: 3138ENQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19672192 | PA      | $19370652.73   | 0.02%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.911 09/01/2044                                        | CUSIP: 3138ENQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448449 | PA      | $2539294.41    | 0.00%             | 2044-09-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2031                                         | CUSIP: 3138ENQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578532 | PA      | $1578830.94    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2030                                         | CUSIP: 3138ENQQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13714139 | PA      | $13690872.63   | 0.01%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2041                                         | CUSIP: 3138ENQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38239803 | PA      | $38070563.24   | 0.04%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.743 10/01/2044                                        | CUSIP: 3138ENT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1287794 | PA      | $1328131.54    | 0.00%             | 2044-10-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2032                                         | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9411289 | PA      | $9324832.76    | 0.01%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.213 10/01/2044                                        | CUSIP: 3138ENTW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2724739 | PA      | $2809541.31    | 0.00%             | 2044-10-01      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.185 10/01/2044                                        | CUSIP: 3138ENUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117307 | PA      | $1150943.83    | 0.00%             | 2044-10-01      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.841 11/01/2044                                        | CUSIP: 3138ENVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996840 | PA      | $1028171.25    | 0.00%             | 2044-11-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.545 11/01/2044                                        | CUSIP: 3138ENVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1889767 | PA      | $1947522.69    | 0.00%             | 2044-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2033                                         | CUSIP: 3138ENWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2445174 | PA      | $2425283.49    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.525 11/01/2044                                        | CUSIP: 3138ENX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2837743 | PA      | $2923720.18    | 0.00%             | 2044-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2029                                         | CUSIP: 3138ENY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151293 | PA      | $151018.38     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.247 12/01/2044                                        | CUSIP: 3138ENYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2245284 | PA      | $2310795.02    | 0.00%             | 2044-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2032                                         | CUSIP: 3138ENZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10050531 | PA      | $9958155.60    | 0.01%             | 2032-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2034                                         | CUSIP: 3138ENZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9348121 | PA      | $9208694.55    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.298 08/01/2045                                        | CUSIP: 3138EP4H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723120 | PA      | $744067.38     | 0.00%             | 2045-08-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.819 08/01/2045                                        | CUSIP: 3138EP4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032920 | PA      | $1062824.42    | 0.00%             | 2045-08-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                         | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23934442 | PA      | $23443300.84   | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.498 02/01/2045                                        | CUSIP: 3138EPBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1163054 | PA      | $1199373.40    | 0.00%             | 2045-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.556 01/01/2045                                        | CUSIP: 3138EPCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1102194 | PA      | $1135506.26    | 0.00%             | 2045-01-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.949 10/01/2043                                        | CUSIP: 3138EPMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3008475 | PA      | $3111391.43    | 0.00%             | 2043-10-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                         | CUSIP: 3138EPQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2354441 | PA      | $2318341.98    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2044                                         | CUSIP: 3138EPUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7467156 | PA      | $7318053.62    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2035                                         | CUSIP: 3138EPV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17785036 | PA      | $17525250.60   | 0.02%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                         | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8533025 | PA      | $8380209.36    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2035                                         | CUSIP: 3138EPZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2915995 | PA      | $2867688.61    | 0.00%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2029                                         | CUSIP: 3138EQAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4792623 | PA      | $4734610.57    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2045                                         | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27588025 | PA      | $27196106.31   | 0.03%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                         | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1891704 | PA      | $1877977.87    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2037                                         | CUSIP: 3138ER5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27811534 | PA      | $27268639.45   | 0.03%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.668 03/01/2045                                        | CUSIP: 3138ERDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15249945 | PA      | $15722710.80   | 0.02%             | 2045-03-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                         | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18033196 | PA      | $17875345.36   | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.607 07/01/2046                                        | CUSIP: 3138ERGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94820 | PA      | $97175.81      | 0.00%             | 2046-07-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2042                                         | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12265471 | PA      | $12078814.23   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2044                                         | CUSIP: 3138ERUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15226600 | PA      | $15163820.39   | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2045                                         | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $110.17        | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.015 10/01/2045                                        | CUSIP: 3138ETBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1953351 | PA      | $2012350.93    | 0.00%             | 2045-10-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.653 04/01/2046                                        | CUSIP: 3138ETF76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4029407 | PA      | $4153978.97    | 0.00%             | 2046-04-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.175 11/01/2045                                        | CUSIP: 3138ETFJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1832625 | PA      | $1888600.14    | 0.00%             | 2045-11-01      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.603 04/01/2046                                        | CUSIP: 3138ETGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156019 | PA      | $1193003.38    | 0.00%             | 2046-04-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.58 04/01/2046                                         | CUSIP: 3138ETHF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115648 | PA      | $117322.77     | 0.00%             | 2046-04-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2045                                         | CUSIP: 3138ETHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8690101 | PA      | $8523787.11    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2044                                         | CUSIP: 3138ETLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3018588 | PA      | $2931019.03    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.578 05/01/2046                                        | CUSIP: 3138ETM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686084 | PA      | $707968.88     | 0.00%             | 2046-05-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.466 04/01/2045                                        | CUSIP: 3138ETNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4410796 | PA      | $4559652.14    | 0.00%             | 2045-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2036                                         | CUSIP: 3138ETSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2371153 | PA      | $2329006.27    | 0.00%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2042                                         | CUSIP: 3138ETT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5558235 | PA      | $5537031.19    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.489 06/01/2046                                        | CUSIP: 3138ETTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267278 | PA      | $275655.96     | 0.00%             | 2046-06-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2034                                         | CUSIP: 3138ETY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15475677 | PA      | $15339840.24   | 0.02%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.425 02/01/2044                                        | CUSIP: 3138LSRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85014 | PA      | $86839.45      | 0.00%             | 2044-02-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.357 09/01/2042                                        | CUSIP: 3138M9Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214681 | PA      | $219856.42     | 0.00%             | 2042-09-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.216 12/01/2042                                        | CUSIP: 3138MFRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1155152 | PA      | $1190576.76    | 0.00%             | 2042-12-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2034                                         | CUSIP: 3138WAYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1735200 | PA      | $1716674.22    | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2029                                         | CUSIP: 3138WBB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2004251 | PA      | $1978849.61    | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2044                                         | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6431589 | PA      | $6303186.10    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                         | CUSIP: 3138WDK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592045 | PA      | $585060.11     | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2044                                         | CUSIP: 3138WDRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6110907 | PA      | $5980090.36    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2045                                         | CUSIP: 3138WFP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15265563 | PA      | $14484128.90   | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2045                                         | CUSIP: 3138WFP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15640764 | PA      | $14835245.77   | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2035                                         | CUSIP: 3138WGCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2220872 | PA      | $2195398.35    | 0.00%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2036                                         | CUSIP: 3138WGGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593813 | PA      | $1542937.77    | 0.00%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2036                                         | CUSIP: 3138WGZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1921348 | PA      | $1867354.66    | 0.00%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2047                                         | CUSIP: 3138WJ6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27700225 | PA      | $26998762.81   | 0.03%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2047                                         | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7701360 | PA      | $7514273.13    | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2047                                         | CUSIP: 3138WJY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20306296 | PA      | $19821374.30   | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2047                                         | CUSIP: 3138WLC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668772 | PA      | $650548.93     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.177 09/01/2043                                        | CUSIP: 3138WNH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841604 | PA      | $867075.14     | 0.00%             | 2043-09-01      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.10 09/01/2043                                         | CUSIP: 3138WNJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115731 | PA      | $118473.10     | 0.00%             | 2043-09-01      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.31 05/01/2043                                         | CUSIP: 3138WTP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263264 | PA      | $272812.51     | 0.00%             | 2043-05-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.19 09/01/2044                                         | CUSIP: 3138WUZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275731 | PA      | $282985.74     | 0.00%             | 2044-09-01      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.22 06/01/2043                                         | CUSIP: 3138WXXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181914 | PA      | $185138.28     | 0.00%             | 2043-06-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 09/01/2028                                         | CUSIP: 3138X6ND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2894100 | PA      | $2860922.86    | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.326 12/01/2043                                        | CUSIP: 3138X8TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424380 | PA      | $436441.32     | 0.00%             | 2043-12-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.505 02/01/2044                                        | CUSIP: 3138XDS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048908 | PA      | $1084722.30    | 0.00%             | 2044-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.562 02/01/2044                                        | CUSIP: 3138XEZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716179 | PA      | $742551.72     | 0.00%             | 2044-02-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.513 04/01/2044                                        | CUSIP: 3138XQEU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398460 | PA      | $408466.36     | 0.00%             | 2044-04-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.427 07/01/2044                                        | CUSIP: 3138XRP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1030500 | PA      | $1061072.39    | 0.00%             | 2044-07-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.34 07/01/2044                                         | CUSIP: 3138XRQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240176 | PA      | $245334.37     | 0.00%             | 2044-07-01      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.09 09/01/2044                                         | CUSIP: 3138XRQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158952 | PA      | $162861.76     | 0.00%             | 2044-09-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.59 04/01/2044                                         | CUSIP: 3138XTSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028259 | PA      | $1061971.34    | 0.00%             | 2044-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.362 08/01/2044                                        | CUSIP: 3138XVBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     956702 | PA      | $985275.42     | 0.00%             | 2044-08-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.269 09/01/2044                                        | CUSIP: 3138XXHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534373 | PA      | $547580.75     | 0.00%             | 2044-09-01      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.325 09/01/2044                                        | CUSIP: 3138XXHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813316 | PA      | $839177.69     | 0.00%             | 2044-09-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.837 10/01/2044                                        | CUSIP: 3138XYRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2621942 | PA      | $2703452.22    | 0.00%             | 2044-10-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.465 07/01/2044                                        | CUSIP: 3138XYUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214872 | PA      | $1252351.31    | 0.00%             | 2044-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.08 11/01/2044                                         | CUSIP: 3138Y22P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170337 | PA      | $174639.93     | 0.00%             | 2044-11-01      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.33 08/01/2044                                         | CUSIP: 3138Y2M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787871 | PA      | $813613.96     | 0.00%             | 2044-08-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.58 10/01/2044                                         | CUSIP: 3138Y3LY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178658 | PA      | $182584.08     | 0.00%             | 2044-10-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.455 12/01/2044                                        | CUSIP: 3138Y3YX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200515 | PA      | $206899.97     | 0.00%             | 2044-12-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.912 10/01/2044                                        | CUSIP: 3138Y4ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     868708 | PA      | $895802.79     | 0.00%             | 2044-10-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.829 11/01/2044                                        | CUSIP: 3138Y4SY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520004 | PA      | $536332.35     | 0.00%             | 2044-11-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.449 12/01/2044                                        | CUSIP: 3138Y4TC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319264 | PA      | $329028.17     | 0.00%             | 2044-12-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2032                                         | CUSIP: 3138Y5D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1331121 | PA      | $1320901.73    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.477 12/01/2044                                        | CUSIP: 3138Y5V86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455158 | PA      | $464825.37     | 0.00%             | 2044-12-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.465 12/01/2044                                        | CUSIP: 3138Y7F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523285 | PA      | $537903.86     | 0.00%             | 2044-12-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.465 03/01/2045                                        | CUSIP: 3138Y7GG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604381 | PA      | $620577.44     | 0.00%             | 2045-03-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 04/01/2046                                         | CUSIP: 3138Y7JJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406161 | PA      | $416123.92     | 0.00%             | 2046-04-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 04/01/2046                                         | CUSIP: 3138Y7JN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41241 | PA      | $42240.09      | 0.00%             | 2046-04-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.166 10/01/2044                                        | CUSIP: 3138Y7MW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996119 | PA      | $1028457.14    | 0.00%             | 2044-10-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.077 10/01/2044                                        | CUSIP: 3138Y7MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910938 | PA      | $941183.11     | 0.00%             | 2044-10-01      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.972 10/01/2044                                        | CUSIP: 3138Y7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1875449 | PA      | $1936629.00    | 0.00%             | 2044-10-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.60 11/01/2044                                         | CUSIP: 3138Y7P48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742764 | PA      | $770684.44     | 0.00%             | 2044-11-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.57 10/01/2044                                         | CUSIP: 3138Y7V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102545 | PA      | $105426.04     | 0.00%             | 2044-10-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2045                                         | CUSIP: 3138Y9NZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9069752 | PA      | $8615765.83    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.317 12/01/2044                                        | CUSIP: 3138YDC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1235805 | PA      | $1273531.40    | 0.00%             | 2044-12-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.572 04/01/2045                                        | CUSIP: 3138YDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484804 | PA      | $500019.05     | 0.00%             | 2045-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2045                                         | CUSIP: 3138YWJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3834889 | PA      | $3635793.25    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2033                                         | CUSIP: 31391U3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182718 | PA      | $1222762.99    | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2041                                         | CUSIP: 3139216A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     552988 | PA      | $563580.59     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 12/01/2031                                         | CUSIP: 31392A4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321829 | PA      | $333123.33     | 0.00%             | 2031-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 03/01/2045                                         | CUSIP: 31392BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116608 | PA      | $118349.44     | 0.00%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2042                                         | CUSIP: 31392DF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     738070 | PA      | $733040.83     | 0.00%             | 2042-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2032                                         | CUSIP: 31392DGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712354 | PA      | $722956.31     | 0.00%             | 2032-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 06/01/2042                                         | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     531055 | PA      | $554592.49     | 0.00%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 10/01/2032                                         | CUSIP: 31392EH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49204 | PA      | $50625.99      | 0.00%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 07/01/2042                                         | CUSIP: 31392FDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1458678 | PA      | $1552063.24    | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 06/01/2042                                         | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1616131 | PA      | $1656053.39    | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.12896 12/01/2042                                      | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     983855 | PA      | $985723.81     | 0.00%             | 2042-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2042                                         | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384579 | PA      | $1406384.82    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 07/01/2042                                         | CUSIP: 31392JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3015422 | PA      | $3151190.58    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.614459 07/01/2032                                    | CUSIP: 31392MEM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88663 | PA      | $83315.43      | 0.00%             | 2032-07-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 06/01/2032                                        | CUSIP: 31392PBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27030 | PA      | $28257.15      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.34709 07/01/2033                                     | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1118419 | PA      | $1077737.65    | 0.00%             | 2033-07-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 09/01/2043                                        | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34345 | PA      | $35499.28      | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.57717 10/01/2042                                      | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     726327 | PA      | $779052.80     | 0.00%             | 2042-10-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 03/01/2033                                        | CUSIP: 31393NDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879445 | PA      | $911101.13     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.00 05/01/2033                                        | CUSIP: 31393QXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424073 | PA      | $413311.39     | 0.00%             | 2033-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2044                                         | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     417661 | PA      | $429464.00     | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 02/01/2044                                         | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43324 | PA      | $44915.40      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 03/01/2044                                         | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     631895 | PA      | $655045.84     | 0.00%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 06/01/2044                                         | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     485836 | PA      | $498549.87     | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.81965 07/25/2044                                      | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |     593688 | PA      | $560938.47     | 0.00%             | 2044-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 08/01/2044                                         | CUSIP: 31394BZ72<br>LEI: 549300KIT83OL5QXFU28 | Long             | ABS-MBS          | USGSE             | US        |     199138 | PA      | $207593.49     | 0.00%             | 2044-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 10/01/2044                                         | CUSIP: 31394CB50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2053619 | PA      | $2081549.57    | 0.00%             | 2044-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 11/01/2033                                        | CUSIP: 31394MC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3163165 | PA      | $3286102.29    | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 10/01/2043                                        | CUSIP: 31394PPQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2361582 | PA      | $2423069.82    | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2045                                         | CUSIP: 31395B5G4<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      86854 | PA      | $89066.38      | 0.00%             | 2045-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2045                                         | CUSIP: 31395B5H2<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     538136 | PA      | $557495.08     | 0.00%             | 2045-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.50 12/01/2045                                         | CUSIP: 31395B5J8<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |       7923 | PA      | $8177.80       | 0.00%             | 2045-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 8.00 12/01/2045                                         | CUSIP: 31395B5K5<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     464471 | PA      | $481198.50     | 0.00%             | 2045-12-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 05/01/2037                                         | CUSIP: 31396VM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541133 | PA      | $554790.28     | 0.00%             | 2037-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.01605 08/01/2047                                      | CUSIP: 31396XD27<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    1889861 | PA      | $1990890.63    | 0.00%             | 2047-08-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.23268 08/01/2047                                      | CUSIP: 31396XD35<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     602881 | PA      | $630794.07     | 0.00%             | 2047-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.00 08/01/2034                                        | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1613693 | PA      | $1649764.42    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 6.50 06/01/2032                                        | CUSIP: 31397HAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     613857 | PA      | $640901.49     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.50 06/01/2037                                        | CUSIP: 31397JFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260885 | PA      | $263202.56     | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 03/01/2037                                         | CUSIP: 31397LCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221916 | PA      | $232834.52     | 0.00%             | 2037-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 05/01/2039                                         | CUSIP: 31397NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1972373 | PA      | $2103483.00    | 0.00%             | 2039-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 06/01/2039                                         | CUSIP: 31397NZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034779 | PA      | $1091372.97    | 0.00%             | 2039-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 5.00 03/01/2038                                        | CUSIP: 31397RYP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     768791 | PA      | $788286.76     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2041                                         | CUSIP: 31397UZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2270849 | PA      | $2226128.88    | 0.00%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 11/01/2040                                         | CUSIP: 31398N2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7254562 | PA      | $7606807.42    | 0.01%             | 2040-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2034                                         | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138027 | PA      | $142800.59     | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2034                                         | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477627 | PA      | $489403.85     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2034                                         | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5460154 | PA      | $5659666.33    | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2034                                         | CUSIP: 31402CY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7340410 | PA      | $7594937.29    | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.943 10/01/2033                                        | CUSIP: 31402DF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238699 | PA      | $244832.81     | 0.00%             | 2033-10-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.226 08/01/2034                                        | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338912 | PA      | $342961.64     | 0.00%             | 2034-08-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2032                                         | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2960346 | PA      | $3100302.44    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.706 07/01/2035                                        | CUSIP: 31402RKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129243 | PA      | $130546.11     | 0.00%             | 2035-07-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 06/01/2033                                         | CUSIP: 31402RQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10475 | PA      | $10819.03      | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.471 08/01/2035                                        | CUSIP: 31402RQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309251 | PA      | $317098.46     | 0.00%             | 2035-08-01      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.114 10/01/2035                                        | CUSIP: 31402RTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319012 | PA      | $325476.04     | 0.00%             | 2035-10-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.048 01/01/2036                                        | CUSIP: 31403DAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581704 | PA      | $596641.03     | 0.00%             | 2036-01-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 06/01/2035                                         | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772600 | PA      | $803791.71     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2034                                         | CUSIP: 31403DWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992825 | PA      | $1026837.27    | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.056 09/01/2034                                        | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224772 | PA      | $229539.98     | 0.00%             | 2034-09-01      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.39 10/01/2034                                         | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238086 | PA      | $240418.59     | 0.00%             | 2034-10-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.647 01/01/2035                                        | CUSIP: 31406DGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213455 | PA      | $218623.32     | 0.00%             | 2035-01-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.235 04/01/2035                                        | CUSIP: 31406M5J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285444 | PA      | $289523.87     | 0.00%             | 2035-04-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.248 10/01/2035                                        | CUSIP: 31406WKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158305 | PA      | $162041.79     | 0.00%             | 2035-10-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.386 07/01/2035                                        | CUSIP: 31407BVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49771 | PA      | $50500.71      | 0.00%             | 2035-07-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.966 07/01/2035                                        | CUSIP: 31407BWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119171 | PA      | $120265.33     | 0.00%             | 2035-07-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 04/01/2036                                         | CUSIP: 31407HUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92403 | PA      | $96024.39      | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.125 08/01/2035                                        | CUSIP: 31407JTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412157 | PA      | $417966.58     | 0.00%             | 2035-08-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.046 08/01/2035                                        | CUSIP: 31407JZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210184 | PA      | $211872.75     | 0.00%             | 2035-08-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2035                                         | CUSIP: 31407K5T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90355 | PA      | $92962.19      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2035                                         | CUSIP: 31407KQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117066 | PA      | $120446.71     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2035                                         | CUSIP: 31407NQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143708 | PA      | $147800.56     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.517 09/01/2035                                        | CUSIP: 31407RR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68116 | PA      | $69372.08      | 0.00%             | 2035-09-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.719 01/01/2036                                        | CUSIP: 31408AMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319549 | PA      | $325106.31     | 0.00%             | 2036-01-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2036                                         | CUSIP: 31409EFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98329 | PA      | $102621.49     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.195 11/01/2035                                        | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264975 | PA      | $271974.29     | 0.00%             | 2035-11-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.366 12/01/2046                                        | CUSIP: 3140FGNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086682 | PA      | $1120176.96    | 0.00%             | 2046-12-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 07/01/2040                                         | CUSIP: 3140FXAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3455919 | PA      | $3487136.19    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2056                                         | CUSIP: 3140FXDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22982436 | PA      | $21423063.56   | 0.02%             | 2056-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2056                                         | CUSIP: 3140FXDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25330301 | PA      | $24458756.58   | 0.03%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2056                                         | CUSIP: 3140FXDY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23007629 | PA      | $22216021.02   | 0.02%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2041                                         | CUSIP: 3140FXGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15794755 | PA      | $15506215.07   | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2062                                         | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  125658787 | PA      | $99748400.05   | 0.10%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.901 06/01/2047                                        | CUSIP: 3140GPKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1049487 | PA      | $1079504.66    | 0.00%             | 2047-06-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.397 07/01/2047                                        | CUSIP: 3140GQYU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3286732 | PA      | $3385779.96    | 0.00%             | 2047-07-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.17 06/01/2047                                         | CUSIP: 3140GT3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058009 | PA      | $1090691.17    | 0.00%             | 2047-06-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.485 07/01/2047                                        | CUSIP: 3140GT3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525671 | PA      | $541199.99     | 0.00%             | 2047-07-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.36 08/01/2047                                         | CUSIP: 3140GT5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553964 | PA      | $568265.29     | 0.00%             | 2047-08-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.36 08/01/2047                                         | CUSIP: 3140GT5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223291 | PA      | $229790.16     | 0.00%             | 2047-08-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.34 08/01/2047                                         | CUSIP: 3140GTZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930425 | PA      | $958844.79     | 0.00%             | 2047-08-01      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.414 11/01/2047                                        | CUSIP: 3140GYNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413740 | PA      | $426491.50     | 0.00%             | 2047-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.53 11/01/2047                                         | CUSIP: 3140H1LF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291181 | PA      | $1328742.84    | 0.00%             | 2047-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 01/01/2048                                         | CUSIP: 3140H6BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252844 | PA      | $261579.61     | 0.00%             | 2048-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.61 01/01/2048                                         | CUSIP: 3140H6CV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441033 | PA      | $456779.87     | 0.00%             | 2048-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2048                                         | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28360186 | PA      | $27574753.63   | 0.03%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.434 08/01/2048                                        | CUSIP: 3140HNYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827202 | PA      | $847851.88     | 0.00%             | 2048-08-01      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.236 08/01/2047                                        | CUSIP: 3140J53D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1558068 | PA      | $1605743.67    | 0.00%             | 2047-08-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2045                                         | CUSIP: 3140J5FD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5098119 | PA      | $5083383.19    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2046                                         | CUSIP: 3140J5GQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7533664 | PA      | $7502601.74    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2044                                         | CUSIP: 3140J5JW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10659340 | PA      | $10615390.40   | 0.01%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2043                                         | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17033826 | PA      | $16782052.02   | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 05/01/2047                                         | CUSIP: 3140J5ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10860412 | PA      | $10580897.30   | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.766 10/01/2047                                        | CUSIP: 3140J6AQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     942494 | PA      | $971361.86     | 0.00%             | 2047-10-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2046                                         | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9036896 | PA      | $8503707.52    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2047                                         | CUSIP: 3140J7XQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42732897 | PA      | $40541093.27   | 0.04%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.054 03/01/2048                                        | CUSIP: 3140J82E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1625985 | PA      | $1620200.32    | 0.00%             | 2048-03-01      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.578 04/01/2048                                        | CUSIP: 3140J8H71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933839 | PA      | $962496.57     | 0.00%             | 2048-04-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.532 05/01/2048                                        | CUSIP: 3140J8HN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8411861 | PA      | $8671081.62    | 0.01%             | 2048-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.789 11/01/2048                                        | CUSIP: 3140J97J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121344 | PA      | $1151626.51    | 0.00%             | 2048-11-01      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2033                                         | CUSIP: 3140J9KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86966263 | PA      | $85782657.08   | 0.09%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.426 10/01/2048                                        | CUSIP: 3140J9TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1196782 | PA      | $1227536.90    | 0.00%             | 2048-10-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2048                                         | CUSIP: 3140J9VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6802514 | PA      | $6616921.90    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.662 01/01/2050                                        | CUSIP: 3140JA4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1952214 | PA      | $1922569.15    | 0.00%             | 2050-01-01      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 12/01/2048                                         | CUSIP: 3140JAKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19027434 | PA      | $19010085.83   | 0.02%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.393 04/01/2049                                        | CUSIP: 3140JAWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967532 | PA      | $987572.15     | 0.00%             | 2049-04-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.749 08/01/2049                                        | CUSIP: 3140JAX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5280032 | PA      | $5395918.99    | 0.01%             | 2049-08-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.631 08/01/2049                                        | CUSIP: 3140JAYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9813958 | PA      | $9576696.31    | 0.01%             | 2049-08-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.601 08/01/2049                                        | CUSIP: 3140JAYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2349444 | PA      | $2393616.49    | 0.00%             | 2049-08-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.331 09/01/2049                                        | CUSIP: 3140JAYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7453547 | PA      | $7197206.64    | 0.01%             | 2049-09-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.045 09/01/2049                                        | CUSIP: 3140JAYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10946951 | PA      | $11314484.48   | 0.01%             | 2049-09-01      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.328 10/01/2049                                        | CUSIP: 3140JAZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1370863 | PA      | $1383664.53    | 0.00%             | 2049-10-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.162 12/01/2050                                        | CUSIP: 3140JBVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21621491 | PA      | $19914252.36   | 0.02%             | 2050-12-01      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.036 05/01/2052                                        | CUSIP: 3140JBWE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  135828996 | PA      | $123160350.45  | 0.13%             | 2052-05-01      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.489 07/01/2053                                        | CUSIP: 3140JCB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34705150 | PA      | $34230965.77   | 0.04%             | 2053-07-01      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.279 07/01/2053                                        | CUSIP: 3140JCBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4610832 | PA      | $4508129.36    | 0.00%             | 2053-07-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.693 04/01/2053                                        | CUSIP: 3140JCBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34576348 | PA      | $34635889.70   | 0.04%             | 2053-04-01      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 06/01/2041                                         | CUSIP: 3140KYGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105376198 | PA      | $90884741.65   | 0.09%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 08/01/2041                                         | CUSIP: 3140L0N29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   97720829 | PA      | $84250471.86   | 0.09%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 11/01/2041                                         | CUSIP: 3140LYNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72515597 | PA      | $62496602.98   | 0.06%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2042                                         | CUSIP: 3140M2KG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33165911 | PA      | $29536322.33   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140MA4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128621011 | PA      | $116016113.34  | 0.12%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140MAZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18003961 | PA      | $16413952.39   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                         | CUSIP: 3140MFYF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73415988 | PA      | $68421895.32   | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140MJ7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26796541 | PA      | $24379274.96   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140MJ7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32250036 | PA      | $29261482.75   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140MKFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32050169 | PA      | $28896952.59   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2052                                         | CUSIP: 3140MKFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14622491 | PA      | $13622063.04   | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140MP6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75194473 | PA      | $67821539.20   | 0.07%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140MQA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34310534 | PA      | $30933898.19   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140MQAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67269366 | PA      | $60680451.02   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140MQDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21999215 | PA      | $19843346.99   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2048                                         | CUSIP: 3140Q9JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36522 | PA      | $35513.54      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                         | CUSIP: 3140QD4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58802972 | PA      | $47171338.67   | 0.05%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QD4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89396367 | PA      | $75174698.65   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QD5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61666411 | PA      | $51856450.86   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                         | CUSIP: 3140QD5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60577871 | PA      | $48595499.55   | 0.05%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QD5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  141753505 | PA      | $119203346.38  | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QD6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72262531 | PA      | $60719130.25   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QD6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24757505 | PA      | $20807585.42   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2050                                         | CUSIP: 3140QDBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9934353 | PA      | $8851738.66    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                         | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35193660 | PA      | $29599341.21   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                         | CUSIP: 3140QDV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104797318 | PA      | $88133818.48   | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 06/01/2050                                         | CUSIP: 3140QDZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89196734 | PA      | $71619057.23   | 0.07%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                         | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6735850 | PA      | $5397356.01    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 07/01/2050                                         | CUSIP: 3140QEC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   95759137 | PA      | $76730790.31   | 0.08%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QEDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38501673 | PA      | $32356856.69   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QEGY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  137262954 | PA      | $115345999.79  | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 07/01/2050                                         | CUSIP: 3140QEHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  146454391 | PA      | $123178678.36  | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                         | CUSIP: 3140QEJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  139658764 | PA      | $117463019.82  | 0.12%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                         | CUSIP: 3140QEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24687007 | PA      | $20765361.41   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                         | CUSIP: 3140QEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  119795340 | PA      | $100765265.82  | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 08/01/2050                                         | CUSIP: 3140QENL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  106810995 | PA      | $85629170.18   | 0.09%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                         | CUSIP: 3140QEVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  131098562 | PA      | $105425344.52  | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                         | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23944565 | PA      | $19191326.09   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                         | CUSIP: 3140QEVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53813913 | PA      | $45228888.34   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                         | CUSIP: 3140QEWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   97139740 | PA      | $78116738.70   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                         | CUSIP: 3140QEWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   87264108 | PA      | $73401811.92   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 09/01/2050                                         | CUSIP: 3140QEWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98119514 | PA      | $78681213.08   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                         | CUSIP: 3140QEXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44579963 | PA      | $37602407.03   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                         | CUSIP: 3140QF7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138992344 | PA      | $111808534.06  | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2050                                         | CUSIP: 3140QFSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80787158 | PA      | $67909724.96   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                         | CUSIP: 3140QGAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104168291 | PA      | $83795556.42   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                         | CUSIP: 3140QGAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  181165602 | PA      | $145312088.72  | 0.15%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 12/01/2050                                         | CUSIP: 3140QGLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  168686376 | PA      | $135694785.96  | 0.14%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2051                                         | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138755211 | PA      | $111617125.84  | 0.12%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2051                                         | CUSIP: 3140QGQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  170362942 | PA      | $137042930.33  | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2051                                         | CUSIP: 3140QGRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85457727 | PA      | $71894562.55   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                         | CUSIP: 3140QGYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93601390 | PA      | $75294409.81   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                         | CUSIP: 3140QGZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38144403 | PA      | $30684102.56   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2052                                         | CUSIP: 3140QM3N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  149177228 | PA      | $119588106.65  | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 01/01/2052                                         | CUSIP: 3140QM3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  202766160 | PA      | $162017980.27  | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                         | CUSIP: 3140QM4H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  187655186 | PA      | $157879065.23  | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                         | CUSIP: 3140QM4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  149450096 | PA      | $125338182.31  | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2051                                         | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18610335 | PA      | $15572398.79   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                         | CUSIP: 3140QMZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  191073245 | PA      | $160754718.81  | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 05/01/2052                                         | CUSIP: 3140QN6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   97646633 | PA      | $85478389.71   | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140QN7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  106988762 | PA      | $97267263.35   | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                         | CUSIP: 3140QNE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44815118 | PA      | $37582076.65   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2052                                         | CUSIP: 3140QNNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21590233 | PA      | $18063948.73   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140QNV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  111392046 | PA      | $100946437.24  | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140QPAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62967470 | PA      | $57248265.04   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140QPAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39923549 | PA      | $36178807.95   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140QPHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77182864 | PA      | $69942861.01   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140QPHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59554185 | PA      | $53830848.03   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                         | CUSIP: 3140QPRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11608179 | PA      | $10554267.72   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                         | CUSIP: 3140QPRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65426565 | PA      | $59138270.56   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 08/01/2052                                         | CUSIP: 3140QPY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53982452 | PA      | $48835030.81   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140QQBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  112861675 | PA      | $101795499.89  | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2052                                         | CUSIP: 3140QQKX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  124263365 | PA      | $115784573.54  | 0.12%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                         | CUSIP: 3140QQLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  191625292 | PA      | $183541944.87  | 0.19%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                         | CUSIP: 3140QQMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16753719 | PA      | $16056958.90   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2053                                         | CUSIP: 3140W0H40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36489758 | PA      | $34967115.80   | 0.04%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2054                                         | CUSIP: 3140W0KU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88346899 | PA      | $84747637.21   | 0.09%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2053                                         | CUSIP: 3140W0P33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24518094 | PA      | $22093464.39   | 0.02%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2054                                         | CUSIP: 3140W0PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  239721499 | PA      | $229710513.45  | 0.24%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2054                                         | CUSIP: 3140W0PM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  193018065 | PA      | $184914122.71  | 0.19%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2053                                         | CUSIP: 3140W0WT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75689103 | PA      | $72535937.19   | 0.08%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                         | CUSIP: 3140W12K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  141788842 | PA      | $132114407.62  | 0.14%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                         | CUSIP: 3140X62F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31996709 | PA      | $26888150.01   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2050                                         | CUSIP: 3140X62L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71574822 | PA      | $60194114.01   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2050                                         | CUSIP: 3140X7S75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39457938 | PA      | $33166756.41   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2050                                         | CUSIP: 3140X7VW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36064508 | PA      | $30406636.00   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2050                                         | CUSIP: 3140X8VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6776500 | PA      | $5715850.05    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                         | CUSIP: 3140X9TB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17595829 | PA      | $14155061.43   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 02/01/2051                                         | CUSIP: 3140X9UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  190626657 | PA      | $153344547.58  | 0.16%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2051                                         | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  595222551 | PA      | $541978036.43  | 0.56%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 08/01/2051                                         | CUSIP: 3140XCDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27416822 | PA      | $23025965.00   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2051                                         | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55680051 | PA      | $46785523.36   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 09/01/2041                                         | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39100859 | PA      | $34608613.74   | 0.04%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 12/01/2051                                         | CUSIP: 3140XD6L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  135555021 | PA      | $114059119.42  | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2051                                         | CUSIP: 3140XDRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81870884 | PA      | $68511964.34   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2041                                         | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46763407 | PA      | $41428848.97   | 0.04%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2051                                         | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66318379 | PA      | $59860458.81   | 0.06%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                         | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  188274259 | PA      | $157524794.93  | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 01/01/2052                                         | CUSIP: 3140XFMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83150011 | PA      | $69739653.08   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 02/01/2052                                         | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  184428349 | PA      | $154902183.86  | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2052                                         | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6649018 | PA      | $6013625.43    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140XGMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18006982 | PA      | $16371295.50   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 04/01/2052                                         | CUSIP: 3140XGPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8628718 | PA      | $7219185.65    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.00 04/01/2052                                         | CUSIP: 3140XGVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   97668355 | PA      | $85825192.60   | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 3140XGWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  136571307 | PA      | $124171065.48  | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140XHCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104045275 | PA      | $94590788.36   | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 3140XHCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  100530828 | PA      | $91100603.29   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140XHLS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93285734 | PA      | $84815709.02   | 0.09%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140XHLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  127905452 | PA      | $115907306.38  | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 3140XHLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63996144 | PA      | $57989780.01   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                         | CUSIP: 3140XHVP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11360266 | PA      | $10354790.12   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                         | CUSIP: 3140XHXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15545452 | PA      | $14086092.13   | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 03/01/2052                                         | CUSIP: 3140XK2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23687512 | PA      | $19928988.12   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2052                                         | CUSIP: 3140XKG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  349117639 | PA      | $314453693.13  | 0.33%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2053                                         | CUSIP: 3140XKVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89412197 | PA      | $80624174.78   | 0.08%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2053                                         | CUSIP: 3140XLP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28502181 | PA      | $26557383.36   | 0.03%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2053                                         | CUSIP: 3140XNKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  319657645 | PA      | $288109545.29  | 0.30%             | 2053-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2053                                         | CUSIP: 3140XNLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23397494 | PA      | $22426065.71   | 0.02%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2053                                         | CUSIP: 3140XPTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  229738434 | PA      | $213730884.86  | 0.22%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2053                                         | CUSIP: 3140XPTM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  147927882 | PA      | $137620605.72  | 0.14%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 12/01/2053                                         | CUSIP: 3140XQJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  175388178 | PA      | $157991676.89  | 0.16%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2053                                         | CUSIP: 3140XREK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32183534 | PA      | $30852415.44   | 0.03%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 02/01/2054                                         | CUSIP: 3140XRP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 1232440125 | PA      | $1179810322.34 | 1.22%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2051                                         | CUSIP: 3140XRPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4829206 | PA      | $4459792.66    | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 12/01/2053                                         | CUSIP: 3140XRR49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  225277262 | PA      | $215637465.36  | 0.22%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2054                                         | CUSIP: 3140XRR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  289464871 | PA      | $277295808.39  | 0.29%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 02/01/2048                                         | CUSIP: 3140XTCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11666872 | PA      | $10611612.09   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.598 12/01/2036                                        | CUSIP: 31410F3F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208621 | PA      | $213324.73     | 0.00%             | 2036-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 03/01/2037                                         | CUSIP: 31410F6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20877 | PA      | $22149.56      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 02/01/2035                                         | CUSIP: 31410FT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209907 | PA      | $214523.85     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.552 01/01/2037                                        | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417918 | PA      | $427572.35     | 0.00%             | 2037-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.554 11/01/2036                                        | CUSIP: 31410FWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362151 | PA      | $369654.10     | 0.00%             | 2036-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.742 07/01/2034                                        | CUSIP: 31410FWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272556 | PA      | $276736.42     | 0.00%             | 2034-07-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.975 04/01/2037                                        | CUSIP: 31410G6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136193 | PA      | $137692.78     | 0.00%             | 2037-04-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2035                                         | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519411 | PA      | $530858.41     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 04/01/2035                                         | CUSIP: 31410GJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12769 | PA      | $13283.00      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 11/01/2037                                         | CUSIP: 31410GRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740814 | PA      | $783185.98     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 03/01/2036                                         | CUSIP: 31410GTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1533015 | PA      | $1587672.55    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2037                                         | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161830 | PA      | $171428.19     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2035                                         | CUSIP: 31410KAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2046736 | PA      | $2112328.76    | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2037                                         | CUSIP: 31410KUK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906436 | PA      | $962487.83     | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2035                                         | CUSIP: 31410LP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1632606 | PA      | $1608049.00    | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.915 02/01/2037                                        | CUSIP: 31411GTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371101 | PA      | $382846.49     | 0.00%             | 2037-02-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 12/01/2036                                         | CUSIP: 31411HGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175077 | PA      | $180599.82     | 0.00%             | 2036-12-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.12 01/01/2035                                         | CUSIP: 31412WYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261628 | PA      | $263214.34     | 0.00%             | 2035-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.793 05/01/2038                                        | CUSIP: 31414DSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384541 | PA      | $395959.52     | 0.00%             | 2038-05-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.636 09/01/2038                                        | CUSIP: 31414FUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27650 | PA      | $28243.43      | 0.00%             | 2038-09-01      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 10/01/2035                                         | CUSIP: 31415VYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277547 | PA      | $286440.67     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 08/01/2037                                         | CUSIP: 31416B2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709539 | PA      | $734188.41     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2036                                         | CUSIP: 31416B6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572140 | PA      | $585243.73     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.298 10/01/2038                                        | CUSIP: 31416BKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153378 | PA      | $157504.57     | 0.00%             | 2038-10-01      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.794 10/01/2038                                        | CUSIP: 31416BKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148236 | PA      | $151184.50     | 0.00%             | 2038-10-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 05/01/2036                                         | CUSIP: 31416BR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2250622 | PA      | $2333620.15    | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 12/01/2038                                         | CUSIP: 31416CC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529702 | PA      | $558311.71     | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2036                                         | CUSIP: 31416CF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7807909 | PA      | $7978081.31    | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2039                                         | CUSIP: 31416MZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1213835 | PA      | $1211074.64    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 04/01/2039                                         | CUSIP: 31416NC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1742143 | PA      | $1738181.10    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2025                                         | CUSIP: 31416WTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $876.80        | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 10/01/2037                                         | CUSIP: 31417E6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98782 | PA      | $103426.08     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2035                                         | CUSIP: 31417FDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1756187 | PA      | $1748211.33    | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 06/01/2031                                         | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1148568 | PA      | $1152441.05    | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2031                                         | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7956985 | PA      | $7991206.73    | 0.01%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2031                                         | CUSIP: 31417Y4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11666566 | PA      | $11707693.41   | 0.01%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2031                                         | CUSIP: 31417Y4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598493 | PA      | $593931.79     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2031                                         | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2272814 | PA      | $2255334.74    | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2029                                         | CUSIP: 31417YAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57214 | PA      | $57300.55      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 05/01/2029                                         | CUSIP: 31417YCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123517 | PA      | $123447.92     | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2029                                         | CUSIP: 31417YDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138678 | PA      | $138623.74     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2030                                         | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258607 | PA      | $256834.72     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2030                                         | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1526503 | PA      | $1516061.35    | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2030                                         | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2372642 | PA      | $2355503.70    | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 01/01/2031                                         | CUSIP: 31417YV46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3243200 | PA      | $3254727.53    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2033                                         | CUSIP: 31418A2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11965275 | PA      | $11841918.76   | 0.01%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2034                                         | CUSIP: 31418A6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19028174 | PA      | $18828395.90   | 0.02%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 02/01/2034                                         | CUSIP: 31418A6K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17438123 | PA      | $17252182.44   | 0.02%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2033                                         | CUSIP: 31418AY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1433995 | PA      | $1419518.63    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2033                                         | CUSIP: 31418AZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20904375 | PA      | $20693084.83   | 0.02%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2034                                         | CUSIP: 31418BAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21910003 | PA      | $21671840.89   | 0.02%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 04/01/2034                                         | CUSIP: 31418BB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13447596 | PA      | $13301434.50   | 0.01%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 05/01/2034                                         | CUSIP: 31418BC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15781878 | PA      | $15603956.72   | 0.02%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2034                                         | CUSIP: 31418BFA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8203156 | PA      | $8107374.06    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2034                                         | CUSIP: 31418BFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25055662 | PA      | $24763307.80   | 0.03%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2034                                         | CUSIP: 31418BG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13920145 | PA      | $13754965.68   | 0.01%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2034                                         | CUSIP: 31418BH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18672421 | PA      | $18476172.82   | 0.02%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2034                                         | CUSIP: 31418BJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16859468 | PA      | $16679089.01   | 0.02%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2034                                         | CUSIP: 31418BLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16890132 | PA      | $16702748.39   | 0.02%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 01/01/2035                                         | CUSIP: 31418BLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8754103 | PA      | $8655213.71    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 03/01/2035                                         | CUSIP: 31418BN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4257620 | PA      | $4210479.80    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2035                                         | CUSIP: 31418BS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1319957 | PA      | $1306136.23    | 0.00%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2045                                         | CUSIP: 31418BVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804561 | PA      | $763124.57     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2035                                         | CUSIP: 31418BWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5509765 | PA      | $5345467.75    | 0.01%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 12/01/2035                                         | CUSIP: 31418BXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5903837 | PA      | $5838582.60    | 0.01%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 03/01/2037                                         | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48373000 | PA      | $47165539.22   | 0.05%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 02/01/2037                                         | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2149751 | PA      | $2075506.83    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2037                                         | CUSIP: 31418CJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3184466 | PA      | $3074414.39    | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2047                                         | CUSIP: 31418CQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177984 | PA      | $168189.36     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2047                                         | CUSIP: 31418CR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404097 | PA      | $380219.24     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2047                                         | CUSIP: 31418CSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368939 | PA      | $347136.19     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 11/01/2041                                         | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30646527 | PA      | $27330839.93   | 0.03%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.00 03/01/2049                                         | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089030 | PA      | $1084332.07    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2031                                         | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6311367 | PA      | $6263055.26    | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.00 03/01/2042                                         | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85425446 | PA      | $73374974.41   | 0.08%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 04/01/2052                                         | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5961565 | PA      | $5377325.95    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 06/01/2052                                         | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  838537963 | PA      | $756362802.21  | 0.78%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 06/01/2052                                         | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  321613576 | PA      | $299686117.21  | 0.31%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 05/01/2052                                         | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 3243883477 | PA      | $2925983253.30 | 3.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 07/01/2052                                         | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 1027135642 | PA      | $926477396.45  | 0.96%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 07/01/2052                                         | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31005750 | PA      | $28891746.75   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2052                                         | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26207738 | PA      | $25114101.60   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 2.50 06/01/2042                                         | CUSIP: 31418EED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16973932 | PA      | $15111134.18   | 0.02%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 08/01/2052                                         | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  153757543 | PA      | $143266180.15  | 0.15%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2052                                         | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57233046 | PA      | $54846735.58   | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 09/01/2052                                         | CUSIP: 31418EHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  405520018 | PA      | $365714221.52  | 0.38%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2052                                         | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  738498527 | PA      | $688107648.78  | 0.71%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2052                                         | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  173324401 | PA      | $166103772.10  | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 10/01/2052                                         | CUSIP: 31418EJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55671132 | PA      | $50206560.97   | 0.05%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2052                                         | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  589443778 | PA      | $548311112.49  | 0.57%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 10/01/2052                                         | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81525191 | PA      | $78131795.47   | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 11/01/2052                                         | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70688225 | PA      | $63669618.93   | 0.07%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 11/01/2052                                         | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  217483739 | PA      | $202610604.90  | 0.21%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 11/01/2052                                         | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9063329 | PA      | $8686410.12    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 3.50 01/01/2053                                         | CUSIP: 31418ENU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64038893 | PA      | $57725031.85   | 0.06%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 07/01/2053                                         | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  125192965 | PA      | $119947268.47  | 0.12%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 08/01/2039                                         | CUSIP: 31418MEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15763 | PA      | $16491.76      | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.00 11/01/2034                                         | CUSIP: 31418MFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52284 | PA      | $54179.27      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2038                                         | CUSIP: 31418MGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3610343 | PA      | $3726051.93    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 04/01/2037                                         | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4198810 | PA      | $4296983.35    | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2039                                         | CUSIP: 31418MK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150110 | PA      | $154498.61     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.714 12/01/2039                                        | CUSIP: 31418MRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275448 | PA      | $282433.61     | 0.00%             | 2039-12-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 08/01/2037                                         | CUSIP: 31418MRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657921 | PA      | $673368.84     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 09/01/2039                                         | CUSIP: 31418MWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     617659 | PA      | $632955.80     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 06/01/2036                                         | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2984352 | PA      | $3086548.09    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 07/01/2035                                         | CUSIP: 31418NA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1141506 | PA      | $1166689.27    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 5.50 11/01/2039                                         | CUSIP: 31418NCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     949699 | PA      | $975524.87     | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 03/01/2040                                         | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2586172 | PA      | $2579228.73    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 08/01/2040                                         | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8213804 | PA      | $8093424.69    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 09/01/2038                                         | CUSIP: 31419AAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626544 | PA      | $2745297.51    | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 6.50 01/01/2039                                         | CUSIP: 31419AP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2537340 | PA      | $2650764.30    | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 7.00 02/01/2039                                         | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55253 | PA      | $58694.02      | 0.00%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.50 09/01/2040                                         | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16262920 | PA      | $16210899.94   | 0.02%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 09/01/2030                                         | CUSIP: 31419ERS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118686 | PA      | $117900.04     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae 4.00 10/01/2040                                         | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3554808 | PA      | $3434089.25    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 12/01/2052                                   | CUSIP: 31427MMU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  247549582 | PA      | $237236760.92  | 0.25%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.00 04/01/2053                                   | CUSIP: 31427NNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   73418843 | PA      | $68405420.86   | 0.07%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                   | Freddie Mac Pool 4.50 05/01/2053                                   | CUSIP: 31427NWG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  109413262 | PA      | $104859104.56  | 0.11%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.904 07/01/2052                                       | CUSIP: 3142BAKD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7095405 | PA      | $6940435.15    | 0.01%             | 2052-07-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 3.95 06/01/2055                                        | CUSIP: 3142BGWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45895046 | PA      | $44449154.24   | 0.05%             | 2055-06-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac 4.066 09/01/2052                                       | CUSIP: 3142BNJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27678365 | PA      | $26895496.96   | 0.03%             | 2052-09-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 5.10 04/15/2029                       | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  180290000 | PA      | $182579989.49  | 0.19%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.96 05/15/2030                       | CUSIP: 34531QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15510000 | PA      | $15803759.40   | 0.02%             | 2030-05-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.76 07/15/2029                       | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8329000 | PA      | $8317405.20    | 0.01%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.11 07/15/2030                       | CUSIP: 34532UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4694000 | PA      | $4694040.37    | 0.00%             | 2030-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.45 10/15/2029                       | CUSIP: 34535KAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  210587000 | PA      | $211222235.69  | 0.22%             | 2029-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.61 08/15/2029                       | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   66768000 | PA      | $67436174.08   | 0.07%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 4.66 09/15/2030                       | CUSIP: 34535VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15500000 | PA      | $15721522.90   | 0.02%             | 2030-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 3.375 11/13/2025                         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  228727000 | PA      | $227203682.75  | 0.24%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 2.70 08/10/2026                          | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  230939000 | PA      | $224847279.51  | 0.23%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 2.90 02/10/2029                          | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13639094.85   | 0.01%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.95 05/28/2027                          | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   63005000 | PA      | $62587399.08   | 0.06%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 7.35 11/04/2027                          | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  126915000 | PA      | $131807816.93  | 0.14%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.95 03/06/2026                          | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   18575000 | PA      | $18754137.11   | 0.02%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.80 05/12/2028                          | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  183238000 | PA      | $189381024.63  | 0.20%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.798 11/07/2028                         | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   26051000 | PA      | $26989963.75   | 0.03%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.125 11/05/2026                         | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   91015000 | PA      | $90790793.65   | 0.09%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.054 11/05/2031                         | CUSIP: 345397G31<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6369000 | PA      | $6336146.15    | 0.01%             | 2031-11-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.918 03/20/2028                         | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   51375000 | PA      | $51896404.88   | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 6.532 03/19/2032                         | CUSIP: 345397G98<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   61075000 | PA      | $62021532.41   | 0.06%             | 2032-03-19      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.134 08/04/2025                         | CUSIP: 345397XL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   77673000 | PA      | $77592729.61   | 0.08%             | 2025-08-04      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.389 01/08/2026                         | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   31215000 | PA      | $31075492.67   | 0.03%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 5.113 05/03/2029                         | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5605000 | PA      | $5480509.03    | 0.01%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                          | Ford Motor Credit Co. LLC 4.542 08/01/2026                         | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   22235000 | PA      | $22082374.51   | 0.02%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust    | Freddie Mac Seasoned Credit Risk Transfer Trust 4.50 06/01/2057    | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8228165 | PA      | $7931689.78    | 0.01%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 7.00 05/01/2028                                         | CUSIP: 36225BTK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3010 | PA      | $3011.10       | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.00 01/01/2035                                         | CUSIP: 3622A2TT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1582857 | PA      | $1558571.74    | 0.00%             | 2035-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                          | GSMPS Mortgage Loan Trust 8.50 06/01/2034                          | CUSIP: 36242DJU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1241214 | PA      | $1248315.07    | 0.00%             | 2034-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.28 04/16/2030 | CUSIP: 362549AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31942000 | PA      | $32113886.29   | 0.03%             | 2030-04-16      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.42 05/16/2031 | CUSIP: 362549AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6866000 | PA      | $6929916.97    | 0.01%             | 2031-05-16      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 4.80 08/14/2029                   | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   69115000 | PA      | $70128017.17   | 0.07%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 5.857 03/15/2030                  | CUSIP: 36267VAH6<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   21550000 | PA      | $22759625.21   | 0.02%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc. 5.905 11/22/2032                  | CUSIP: 36267VAK9<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |  147710000 | PA      | $157015893.96  | 0.16%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.40 08/16/2029 | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   54545000 | PA      | $54702045.96   | 0.06%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 4.44 04/16/2030 | CUSIP: 38014AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8043000 | PA      | $8085994.66    | 0.01%             | 2030-04-16      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 5.727 04/25/2030                     | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   65520000 | PA      | $68203317.87   | 0.07%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 4.692 10/23/2030                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   45824000 | PA      | $45961635.13   | 0.05%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 4.937 04/23/2028                     | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  113920000 | PA      | $114807881.09  | 0.12%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 5.218 04/23/2031                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  109250000 | PA      | $111999980.91  | 0.12%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                      | The Goldman Sachs Group, Inc. 3.615 03/15/2028                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  342915000 | PA      | $338126939.58  | 0.35%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.06617 12/20/2067                                      | CUSIP: 38375U2C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14242650 | PA      | $14339588.26   | 0.01%             | 2067-12-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09943 01/20/2068                                      | CUSIP: 38375U3Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7287933 | PA      | $7340733.63    | 0.01%             | 2068-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09943 12/20/2067                                      | CUSIP: 38375U4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16422035 | PA      | $16536337.01   | 0.02%             | 2067-12-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97754 02/20/2068                                      | CUSIP: 38375U5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34625478 | PA      | $34770028.54   | 0.04%             | 2068-02-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.95754 01/20/2068                                      | CUSIP: 38375U5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14571069 | PA      | $14651083.14   | 0.02%             | 2068-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93754 12/20/2067                                      | CUSIP: 38375U6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23087768 | PA      | $23214174.00   | 0.02%             | 2067-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93754 01/20/2068                                      | CUSIP: 38375U6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44467414 | PA      | $44717930.29   | 0.05%             | 2068-01-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.02754 02/20/2068                                      | CUSIP: 38375U6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15509496 | PA      | $15620605.84   | 0.02%             | 2068-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97754 02/20/2068                                      | CUSIP: 38375U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21555394 | PA      | $21683482.81   | 0.02%             | 2068-02-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.6774 06/20/2067                                       | CUSIP: 38375UB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34783472 | PA      | $34982367.71   | 0.04%             | 2067-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.96542 08/20/2067                                      | CUSIP: 38375UC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7226598 | PA      | $7278668.51    | 0.01%             | 2067-08-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.58121 09/20/2067                                      | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25155310 | PA      | $25357877.87   | 0.03%             | 2067-09-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.01602 09/20/2067                                      | CUSIP: 38375UK90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11059626 | PA      | $11095387.56   | 0.01%             | 2067-09-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.18281 10/20/2067                                      | CUSIP: 38375UM56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18301758 | PA      | $18432447.10   | 0.02%             | 2067-10-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.16281 10/20/2067                                      | CUSIP: 38375UP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60668244 | PA      | $61098254.95   | 0.06%             | 2067-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.16281 10/20/2067                                      | CUSIP: 38375UQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30665027 | PA      | $30889491.95   | 0.03%             | 2067-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.15281 10/20/2067                                      | CUSIP: 38375UQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9682801 | PA      | $9747663.57    | 0.01%             | 2067-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09602 10/20/2064                                      | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2606206 | PA      | $2607626.29    | 0.00%             | 2064-10-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.73304 11/20/2067                                      | CUSIP: 38375UW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5807925 | PA      | $5840887.78    | 0.01%             | 2067-11-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.75304 11/20/2067                                      | CUSIP: 38375UY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8270889 | PA      | $8317307.79    | 0.01%             | 2067-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.75304 11/20/2067                                      | CUSIP: 38375UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57562573 | PA      | $57913508.55   | 0.06%             | 2067-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.24943 01/20/2067                                      | CUSIP: 38375UYF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26216827 | PA      | $26429822.50   | 0.03%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25602 12/20/2066                                      | CUSIP: 38375UYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2881658 | PA      | $2888967.05    | 0.00%             | 2066-12-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25943 01/20/2067                                      | CUSIP: 38375UYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11366306 | PA      | $11461857.52   | 0.01%             | 2067-01-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.08617 12/20/2067                                      | CUSIP: 38375UZ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14742359 | PA      | $14849905.98   | 0.02%             | 2067-12-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.14185 04/20/2067                                      | CUSIP: 38375UZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8094141 | PA      | $8163369.24    | 0.01%             | 2067-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.12353 02/20/2067                                      | CUSIP: 38376R2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7051709 | PA      | $7114193.15    | 0.01%             | 2067-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.87502 05/20/2067                                      | CUSIP: 38376R2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14108128 | PA      | $14197312.50   | 0.01%             | 2067-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.97502 05/20/2067                                      | CUSIP: 38376R3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6265896 | PA      | $6317029.33    | 0.01%             | 2067-05-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.7774 06/20/2067                                       | CUSIP: 38376R5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6221200 | PA      | $6260411.34    | 0.01%             | 2067-06-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.56121 09/20/2067                                      | CUSIP: 38376R7F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6894965 | PA      | $6950283.77    | 0.01%             | 2067-09-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.07602 04/20/2065                                      | CUSIP: 38376RAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3264760 | PA      | $3264727.05    | 0.00%             | 2065-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.19602 10/20/2066                                      | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12319352 | PA      | $12339459.96   | 0.01%             | 2066-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.24602 11/20/2066                                      | CUSIP: 38376RD94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6836278 | PA      | $6852151.36    | 0.01%             | 2066-11-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04602 07/20/2065                                      | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1697378 | PA      | $1697138.08    | 0.00%             | 2065-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04602 08/20/2065                                      | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1814998 | PA      | $1814171.74    | 0.00%             | 2065-08-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.06602 09/20/2065                                      | CUSIP: 38376RHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529209 | PA      | $529240.93     | 0.00%             | 2065-09-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.18617 12/20/2066                                      | CUSIP: 38376RK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8157485 | PA      | $8222217.11    | 0.01%             | 2066-12-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.19602 11/20/2065                                      | CUSIP: 38376RPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5981413 | PA      | $5990762.62    | 0.01%             | 2065-11-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.24943 01/20/2067                                      | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27723475 | PA      | $27950751.63   | 0.03%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.34602 04/20/2066                                      | CUSIP: 38376RTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5675287 | PA      | $5695829.14    | 0.01%             | 2066-04-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.34602 03/20/2066                                      | CUSIP: 38376RTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4584492 | PA      | $4600789.03    | 0.00%             | 2066-03-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.07353 03/20/2067                                      | CUSIP: 38376RY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1119386 | PA      | $1125804.27    | 0.00%             | 2067-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.22602 09/20/2066                                      | CUSIP: 38376RZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2278156 | PA      | $2282614.73    | 0.00%             | 2066-09-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.61121 09/20/2066                                      | CUSIP: 38376RZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4416028 | PA      | $4454764.89    | 0.00%             | 2066-09-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.50 09/01/2040                                         | CUSIP: 38377KEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5989953 | PA      | $5925412.06    | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 12/01/2044                                         | CUSIP: 38379HFU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5351407 | PA      | $5034155.52    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 02/01/2045                                         | CUSIP: 38379JUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14798481 | PA      | $13933696.53   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 05/01/2045                                         | CUSIP: 38379PVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3625592 | PA      | $3421312.28    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 3.50 05/01/2045                                         | CUSIP: 38379PVY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11834414 | PA      | $11167617.84   | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.99602 03/20/2070                                      | CUSIP: 38380L5R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59756121 | PA      | $59193666.73   | 0.06%             | 2070-03-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 02/20/2068                                      | CUSIP: 38380LAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21337862 | PA      | $21454035.53   | 0.02%             | 2068-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93353 03/20/2068                                      | CUSIP: 38380LAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6903954 | PA      | $6926704.57    | 0.01%             | 2068-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.94353 02/20/2068                                      | CUSIP: 38380LAY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22869909 | PA      | $23004184.98   | 0.02%             | 2068-02-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 03/20/2068                                      | CUSIP: 38380LBA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18817797 | PA      | $18919375.37   | 0.02%             | 2068-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.86185 04/20/2068                                      | CUSIP: 38380LBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11487424 | PA      | $11491498.18   | 0.01%             | 2068-04-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 04/20/2068                                      | CUSIP: 38380LBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18108761 | PA      | $18143252.44   | 0.02%             | 2068-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.87185 03/20/2068                                      | CUSIP: 38380LBQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6524961 | PA      | $6561391.89    | 0.01%             | 2068-03-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.89185 04/20/2068                                      | CUSIP: 38380LBU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19033466 | PA      | $19066427.81   | 0.02%             | 2068-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71502 05/20/2068                                      | CUSIP: 38380LCD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18337957 | PA      | $18342872.02   | 0.02%             | 2068-05-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04602 09/20/2069                                      | CUSIP: 38380LE74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18926791 | PA      | $18798452.01   | 0.02%             | 2069-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.6274 06/20/2068                                       | CUSIP: 38380LET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16607630 | PA      | $16648167.78   | 0.02%             | 2068-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.9671 02/20/2068                                       | CUSIP: 38380LFG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8819446 | PA      | $8860753.29    | 0.01%             | 2068-02-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 6.1671 07/20/2068                                       | CUSIP: 38380LFV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18239551 | PA      | $18364707.15   | 0.02%             | 2068-07-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.33281 10/20/2069                                      | CUSIP: 38380LG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6402070 | PA      | $6454902.27    | 0.01%             | 2069-10-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.43121 08/20/2068                                      | CUSIP: 38380LJJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12416619 | PA      | $12495972.15   | 0.01%             | 2068-08-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93304 10/20/2069                                      | CUSIP: 38380LL84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10638017 | PA      | $10722715.49   | 0.01%             | 2069-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.93281 10/20/2068                                      | CUSIP: 38380LLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29489609 | PA      | $29646293.08   | 0.03%             | 2068-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.75304 11/20/2068                                      | CUSIP: 38380LMC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14160544 | PA      | $14200854.60   | 0.01%             | 2068-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.83304 11/20/2068                                      | CUSIP: 38380LMP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12686401 | PA      | $12778081.01   | 0.01%             | 2068-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04602 11/20/2069                                      | CUSIP: 38380LN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17227541 | PA      | $17144608.97   | 0.02%             | 2069-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09602 11/20/2069                                      | CUSIP: 38380LN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20257806 | PA      | $20193273.02   | 0.02%             | 2069-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04602 12/20/2068                                      | CUSIP: 38380LNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24566357 | PA      | $24387273.24   | 0.03%             | 2068-12-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.94602 06/20/2068                                      | CUSIP: 38380LNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14005691 | PA      | $13973572.95   | 0.01%             | 2068-06-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.94602 11/20/2068                                      | CUSIP: 38380LNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13500016 | PA      | $13471341.55   | 0.01%             | 2068-11-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09602 11/20/2069                                      | CUSIP: 38380LP64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12466366 | PA      | $12303536.10   | 0.01%             | 2069-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.27353 02/20/2069                                      | CUSIP: 38380LQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10844858 | PA      | $10965119.50   | 0.01%             | 2069-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.69602 12/20/2070                                      | CUSIP: 38380QTM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16266441 | PA      | $16543653.20   | 0.02%             | 2070-12-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.92353 02/20/2068                                      | CUSIP: 38380VNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1578950 | PA      | $1587471.26    | 0.00%             | 2068-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 03/20/2068                                      | CUSIP: 38380VPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31425110 | PA      | $31588938.99   | 0.03%             | 2068-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.91353 03/20/2068                                      | CUSIP: 38380VPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14442298 | PA      | $14481503.11   | 0.01%             | 2068-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.09602 11/20/2069                                      | CUSIP: 38382AJ63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62525764 | PA      | $62198697.74   | 0.06%             | 2069-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.03304 11/20/2069                                      | CUSIP: 38382AL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29205460 | PA      | $29598238.83   | 0.03%             | 2069-11-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.40185 03/20/2073                                      | CUSIP: 38382Y2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  138676979 | PA      | $139662278.60  | 0.14%             | 2073-03-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.32185 08/20/2071                                      | CUSIP: 38382Y2W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40172109 | PA      | $40343045.08   | 0.04%             | 2071-08-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.60185 07/20/2071                                      | CUSIP: 38382Y2X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64588751 | PA      | $65348082.54   | 0.07%             | 2071-07-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.93185 02/20/2073                                      | CUSIP: 38382Y2Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30188322 | PA      | $30896787.31   | 0.03%             | 2073-02-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.72185 02/20/2073                                      | CUSIP: 38382Y7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57170127 | PA      | $58002204.23   | 0.06%             | 2073-02-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.75185 08/20/2071                                      | CUSIP: 38382YBD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38225641 | PA      | $38955616.81   | 0.04%             | 2071-08-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.29602 09/20/2071                                      | CUSIP: 38382YGN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6106553 | PA      | $6122256.29    | 0.01%             | 2071-09-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.00185 11/20/2071                                      | CUSIP: 38382YHE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31030039 | PA      | $30830577.74   | 0.03%             | 2071-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.12185 12/20/2071                                      | CUSIP: 38382YKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36303734 | PA      | $36201760.02   | 0.04%             | 2071-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.65185 01/20/2072                                      | CUSIP: 38382YKM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47923038 | PA      | $46946563.02   | 0.05%             | 2072-01-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.85185 02/20/2067                                      | CUSIP: 38382YMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18568032 | PA      | $18531328.54   | 0.02%             | 2067-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.80185 02/20/2067                                      | CUSIP: 38382YMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19802031 | PA      | $19740571.37   | 0.02%             | 2067-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.12185 02/20/2072                                      | CUSIP: 38382YMT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  167912607 | PA      | $167573322.77  | 0.17%             | 2072-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.10185 01/20/2072                                      | CUSIP: 38382YNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  111587521 | PA      | $111812447.85  | 0.12%             | 2072-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.60185 02/20/2068                                      | CUSIP: 38382YNZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   91635625 | PA      | $91051182.02   | 0.09%             | 2068-02-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.71185 08/20/2068                                      | CUSIP: 38382YPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51341921 | PA      | $50871454.06   | 0.05%             | 2068-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.80185 02/20/2068                                      | CUSIP: 38382YPX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28101099 | PA      | $28002129.88   | 0.03%             | 2068-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.80185 01/20/2068                                      | CUSIP: 38382YQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79046600 | PA      | $78802061.61   | 0.08%             | 2068-01-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.80185 02/20/2068                                      | CUSIP: 38382YQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  103359032 | PA      | $102959766.87  | 0.11%             | 2068-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 4.80185 06/20/2068                                      | CUSIP: 38382YQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5772646 | PA      | $5732433.92    | 0.01%             | 2068-06-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.05185 02/20/2072                                      | CUSIP: 38382YQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24341214 | PA      | $24329669.44   | 0.03%             | 2072-02-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.04185 04/20/2072                                      | CUSIP: 38382YQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64977076 | PA      | $64816453.13   | 0.07%             | 2072-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.12827 12/20/2071                                      | CUSIP: 38382YSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92199527 | PA      | $91924155.10   | 0.10%             | 2071-12-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.07827 03/20/2072                                      | CUSIP: 38382YST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51142220 | PA      | $50831147.04   | 0.05%             | 2072-03-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25185 05/20/2072                                      | CUSIP: 38382YSV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  101773600 | PA      | $101862937.04  | 0.11%             | 2072-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25185 05/20/2072                                      | CUSIP: 38382YSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18812536 | PA      | $18832119.95   | 0.02%             | 2072-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.20185 05/20/2072                                      | CUSIP: 38382YSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  177356860 | PA      | $177191723.28  | 0.18%             | 2072-05-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.30185 04/20/2072                                      | CUSIP: 38382YTW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16820820 | PA      | $16870948.01   | 0.02%             | 2072-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.27185 05/20/2072                                      | CUSIP: 38382YTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42558233 | PA      | $42746093.89   | 0.04%             | 2072-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.25185 06/20/2072                                      | CUSIP: 38382YUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  244306663 | PA      | $244507824.97  | 0.25%             | 2072-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.30185 08/20/2071                                      | CUSIP: 38382YYT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38418874 | PA      | $38511955.22   | 0.04%             | 2071-08-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.40185 10/20/2072                                      | CUSIP: 38382YZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  227087277 | PA      | $230353790.88  | 0.24%             | 2072-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 5.65185 09/20/2073                                      | CUSIP: 38383KFL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   74813404 | PA      | $75999099.16   | 0.08%             | 2073-09-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                         | Ginnie Mae 6.40185 09/20/2073                                      | CUSIP: 38383KGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   74666210 | PA      | $77137698.93   | 0.08%             | 2073-09-20      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.25 06/15/2026                               | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10912000 | PA      | $10927147.93   | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 4.125 06/15/2029                              | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  106136000 | PA      | $104281705.37  | 0.11%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 3.125 03/15/2027                              | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   40524000 | PA      | $39677928.18   | 0.04%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.00 03/01/2028                               | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   25600000 | PA      | $25980343.55   | 0.03%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                               | HCA Healthcare, Inc. 5.25 03/01/2030                               | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   58890000 | PA      | $60373694.68   | 0.06%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.50 05/02/2036                                  | CUSIP: 404280AG4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  221642000 | PA      | $240102573.26  | 0.25%             | 2036-05-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.50 09/15/2037                                  | CUSIP: 404280AH2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  187437000 | PA      | $200486988.11  | 0.21%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.80 06/01/2038                                  | CUSIP: 404280AJ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10598000 | PA      | $11719555.08   | 0.01%             | 2038-06-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 3.973 05/22/2030                                 | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   19800000 | PA      | $19282316.92   | 0.02%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.95 03/31/2030                                  | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   63558000 | PA      | $64640117.53   | 0.07%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 2.848 06/04/2031                                 | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  106915000 | PA      | $97705363.28   | 0.10%             | 2031-06-04      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 2.357 08/18/2031                                 | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   32125000 | PA      | $28530821.27   | 0.03%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.762 03/29/2033                                 | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  199080000 | PA      | $194913866.78  | 0.20%             | 2033-03-29      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 4.755 06/09/2028                                 | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   23650000 | PA      | $23739896.02   | 0.02%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 5.21 08/11/2028                                  | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20125000 | PA      | $20409537.92   | 0.02%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 8.113 11/03/2033                                 | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  164826000 | PA      | $190280697.28  | 0.20%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 6.547 06/20/2034                                 | CUSIP: 404280DX4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   19964000 | PA      | $21208564.54   | 0.02%             | 2034-06-20      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 7.399 11/13/2034                                 | CUSIP: 404280EC9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   29200000 | PA      | $32655925.41   | 0.03%             | 2034-11-13      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                  | HSBC Holdings PLC 5.24 05/13/2031                                  | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  141450000 | PA      | $144022593.59  | 0.15%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.15 10/15/2029                 | CUSIP: 437921AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  108812000 | PA      | $109027795.96  | 0.11%             | 2029-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.28 08/15/2031                 | CUSIP: 437921AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24530000 | PA      | $24660158.63   | 0.03%             | 2031-08-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.57 03/21/2029                 | CUSIP: 43813YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34001000 | PA      | $34186057.24   | 0.04%             | 2029-03-21      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.51 11/21/2030                 | CUSIP: 43813YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9463000 | PA      | $9527396.66    | 0.01%             | 2030-11-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.57 09/21/2029                 | CUSIP: 43814VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  349060000 | PA      | $352433420.56  | 0.37%             | 2029-09-21      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.64 05/21/2031                 | CUSIP: 43814VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9360000 | PA      | $9482346.43    | 0.01%             | 2031-05-21      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.33 05/15/2029                 | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   87537000 | PA      | $87739508.10   | 0.09%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                 | Honda Auto Receivables Owner Trust 4.35 12/16/2030                 | CUSIP: 43816DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11350000 | PA      | $11412240.00   | 0.01%             | 2030-12-16      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.41 05/15/2029                     | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26345000 | PA      | $26477583.85   | 0.03%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.44 01/15/2031                     | CUSIP: 448976AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12432000 | PA      | $12524683.05   | 0.01%             | 2031-01-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.32 10/15/2029                     | CUSIP: 44935CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  167498000 | PA      | $168144977.77  | 0.17%             | 2029-10-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.40 04/15/2031                     | CUSIP: 44935CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20422000 | PA      | $20579561.86   | 0.02%             | 2031-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.36 12/17/2029                     | CUSIP: 44935XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   83002000 | PA      | $83555094.62   | 0.09%             | 2029-12-17      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 4.44 06/17/2030                     | CUSIP: 44935XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15857000 | PA      | $16008772.10   | 0.02%             | 2030-06-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| State of Illinois GO                               | State of Illinois GO 5.10 06/01/2033                               | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  620888431 | PA      | $622741596.86  | 0.65%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 3.50 07/26/2026                                | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   49137000 | PA      | $48554836.62   | 0.05%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 3.875 07/26/2029                               | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  249659000 | PA      | $241888343.65  | 0.25%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 6.125 07/27/2027                               | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   87665000 | PA      | $90480678.82   | 0.09%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 5.50 02/01/2030                                | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  167475000 | PA      | $172661635.43  | 0.18%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 5.875 07/01/2034                               | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   63825000 | PA      | $65473973.76   | 0.07%             | 2034-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 4.50 06/30/2028                                | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   39475000 | PA      | $39470279.58   | 0.04%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                                | Imperial Brands PLC 4.25 07/21/2025                                | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  595937000 | PA      | $595735287.24  | 0.62%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.125 12/15/2026                              | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  115262000 | PA      | $115130069.96  | 0.12%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.25 10/01/2027                               | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  129735000 | PA      | $130275149.08  | 0.13%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.739 10/15/2030                              | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9865000 | PA      | $9198530.86    | 0.01%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.493 03/24/2031                              | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  361825000 | PA      | $361370323.47  | 0.37%             | 2031-03-24      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.522 04/22/2031                              | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   66910000 | PA      | $61175495.85   | 0.06%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 2.956 05/13/2031                              | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  167788000 | PA      | $155153585.41  | 0.16%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.586 04/26/2033                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   47980000 | PA      | $47487876.34   | 0.05%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 5.717 09/14/2033                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   74894000 | PA      | $78061834.21   | 0.08%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 5.04 01/23/2028                               | CUSIP: 46647PEA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   46275000 | PA      | $46716188.63   | 0.05%             | 2028-01-23      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co. 4.505 10/22/2028                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   86620000 | PA      | $86879057.03   | 0.09%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 4.85 05/15/2028                                | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   51750000 | PA      | $52526850.82   | 0.05%             | 2028-05-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 5.25 06/15/2030                                | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   72275000 | PA      | $74381019.78   | 0.08%             | 2030-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                | Japan Tobacco, Inc. 5.85 06/15/2035                                | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |   49300000 | PA      | $51552366.64   | 0.05%             | 2035-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.50 02/01/2037                                | CUSIP: 494550AV8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   49931000 | PA      | $52846886.02   | 0.05%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.95 01/15/2038                                | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   76609000 | PA      | $84950698.90   | 0.09%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 6.50 09/01/2039                                | CUSIP: 494550BD7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   71221000 | PA      | $75675313.04   | 0.08%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 5.00 08/15/2042                                | CUSIP: 494550BN5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   75866000 | PA      | $67761879.32   | 0.07%             | 2042-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 4.80 02/01/2033                                | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   25340000 | PA      | $24930278.81   | 0.03%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc. 5.15 06/01/2030                                | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   26000000 | PA      | $26546513.24   | 0.03%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.582 12/10/2025                          | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  115565000 | PA      | $115450885.34  | 0.12%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 7.953 11/15/2033                          | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  153426000 | PA      | $175793813.91  | 0.18%             | 2033-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.818 06/13/2029                          | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  104890000 | PA      | $105835264.48  | 0.11%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.65 03/24/2026                           | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  163010000 | PA      | $162861797.83  | 0.17%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 3.75 03/18/2028                           | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  102790000 | PA      | $101535028.67  | 0.11%             | 2028-03-18      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 4.716 08/11/2026                          | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   17731000 | PA      | $17723607.95   | 0.02%             | 2026-08-11      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC 5.721 06/05/2030                          | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  125347000 | PA      | $130179427.68  | 0.13%             | 2030-06-05      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Macy's, Inc.                                       | Macy's, Inc. 6.70 07/15/2034                                       | CUSIP: 55617LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   54725000 | PA      | $45958777.37   | 0.05%             | 2034-07-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.45 03/01/2027                                         | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   41825000 | PA      | $41969806.52   | 0.04%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.60 03/01/2028                                         | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  129165000 | PA      | $130214962.91  | 0.13%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                         | Mars, Inc. 4.80 03/01/2030                                         | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  174008000 | PA      | $176304893.42  | 0.18%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.85 07/06/2027                                          | CUSIP: 62856RAD7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  193828000 | PA      | $194051483.68  | 0.20%             | 2027-07-06      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 3.032 11/28/2035                                 | CUSIP: 639057AB4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   38731000 | PA      | $34942156.19   | 0.04%             | 2035-11-28      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 1.642 06/14/2027                                 | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  249242000 | PA      | $242568024.53  | 0.25%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 6.016 03/02/2034                                 | CUSIP: 639057AH1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   70360000 | PA      | $74446887.34   | 0.08%             | 2034-03-02      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 5.808 09/13/2029                                 | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  157335000 | PA      | $163398264.52  | 0.17%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 6.475 06/01/2034                                 | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  129970000 | PA      | $136075301.76  | 0.14%             | 2034-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.01965 05/27/2049                      | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12887439 | PA      | $12779005.81   | 0.01%             | 2049-05-27      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.06965 06/26/2056                      | CUSIP: 63939LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35652002 | PA      | $34833118.49   | 0.04%             | 2056-06-26      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.66965 06/25/2065                      | CUSIP: 63939QAA4<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |  172907400 | PA      | $174195317.92  | 0.18%             | 2065-06-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.46965 12/27/2066                      | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  121170994 | PA      | $121041595.93  | 0.13%             | 2066-12-27      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.41965 09/27/2066                      | CUSIP: 63940AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106949065 | PA      | $106782416.49  | 0.11%             | 2066-09-27      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.21965 07/26/2066                      | CUSIP: 63940CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  184616604 | PA      | $182908863.78  | 0.19%             | 2066-07-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.13965 03/25/2067                      | CUSIP: 63940DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   89827644 | PA      | $88712937.21   | 0.09%             | 2067-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.11965 02/25/2070                      | CUSIP: 63940EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  113867410 | PA      | $113296262.63  | 0.12%             | 2070-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.91965 06/25/2065                      | CUSIP: 63940FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27594290 | PA      | $28125157.26   | 0.03%             | 2065-06-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.56965 03/25/2066                      | CUSIP: 63940GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  159114672 | PA      | $156532097.77  | 0.16%             | 2066-03-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.76965 06/25/2065                      | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2077267 | PA      | $2112440.76    | 0.00%             | 2065-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.46965 07/26/2066                      | CUSIP: 63940JAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  214889919 | PA      | $215686881.58  | 0.22%             | 2066-07-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.71965 03/25/2066                      | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  136666341 | PA      | $138037405.33  | 0.14%             | 2066-03-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.56965 07/26/2066                      | CUSIP: 63940NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  170517243 | PA      | $170968892.10  | 0.18%             | 2066-07-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.21965 03/25/2067                      | CUSIP: 63940TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   99682104 | PA      | $98923961.33   | 0.10%             | 2067-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.31965 12/27/2067                      | CUSIP: 63940XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  124001194 | PA      | $123263014.41  | 0.13%             | 2067-12-27      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.09965 06/27/2067                      | CUSIP: 63941NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  107995499 | PA      | $106629387.90  | 0.11%             | 2067-06-27      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.41965 02/27/2068                      | CUSIP: 63941RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  106870023 | PA      | $106449660.67  | 0.11%             | 2068-02-27      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.24965 07/25/2068                      | CUSIP: 63941VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42054966 | PA      | $41659998.16   | 0.04%             | 2068-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.22965 07/25/2068                      | CUSIP: 63941WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36407989 | PA      | $36034330.04   | 0.04%             | 2068-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.46965 06/25/2069                      | CUSIP: 63942FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34202867 | PA      | $34204652.66   | 0.04%             | 2069-06-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.31965 08/26/2069                      | CUSIP: 63942HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60792910 | PA      | $60592408.77   | 0.06%             | 2069-08-26      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 5.01965 12/26/2069                      | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   38402064 | PA      | $37715407.77   | 0.04%             | 2069-12-26      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                         | Navient Student Loan Trust 4.96965 02/25/2070                      | CUSIP: 63942QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48880565 | PA      | $47886636.96   | 0.05%             | 2070-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 5.28645 02/25/2066                       | CUSIP: 64032KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12316281 | PA      | $12289327.66   | 0.01%             | 2066-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 5.31368 10/25/2068                       | CUSIP: 64032VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42302305 | PA      | $42003020.41   | 0.04%             | 2068-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                          | Nelnet Student Loan Trust 5.16965 04/25/2067                       | CUSIP: 64034CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14307176 | PA      | $14212262.34   | 0.01%             | 2067-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                   | New Jersey Turnpike Authority RB 7.414 01/01/2040                  | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   40320000 | PA      | $48184202.30   | 0.05%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                   | New Jersey Turnpike Authority RB 7.102 01/01/2041                  | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |  145657000 | PA      | $166836809.58  | 0.17%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 5.749 09/01/2025                              | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   46060000 | PA      | $46127532.71   | 0.05%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.625 07/15/2027                              | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  137115000 | PA      | $137960172.75  | 0.14%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.90 03/15/2029                               | CUSIP: 65339KCT5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  195965000 | PA      | $199106324.83  | 0.21%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 4.85 02/04/2028                               | CUSIP: 65339KDG2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  157413000 | PA      | $159578516.47  | 0.17%             | 2028-02-04      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                               | NextEra Energy, Inc. 5.05 03/15/2030                               | CUSIP: 65339KDJ6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  206346000 | PA      | $211148185.22  | 0.22%             | 2030-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables Owner Trust 4.34 03/15/2029                | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8288000 | PA      | $8306037.17    | 0.01%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables Owner Trust 4.35 09/15/2031                | CUSIP: 65479WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16509000 | PA      | $16624970.77   | 0.02%             | 2031-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                    | Nordstrom, Inc. 6.95 03/15/2028                                    | CUSIP: 655664AH3<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   19742000 | PA      | $20192295.28   | 0.02%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fibercop SpA                                       | Fibercop SpA 7.20 07/18/2036                                       | CUSIP: 683879AF7<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |   52317000 | PA      | $50987266.14   | 0.05%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fibercop SpA                                       | Fibercop SpA 7.721 06/04/2038                                      | CUSIP: 683879AH3<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |  117004000 | PA      | $116226882.83  | 0.12%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 2.95 04/01/2030                                       | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  102220000 | PA      | $95457866.92   | 0.10%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 4.20 09/27/2029                                       | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   22600000 | PA      | $22444411.43   | 0.02%             | 2029-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                       | Oracle Corp. 4.80 08/03/2028                                       | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   81720000 | PA      | $83062787.08   | 0.09%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.625 06/15/2035                               | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  207456000 | PA      | $174839549.85  | 0.18%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.70 02/16/2032                                | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  732625000 | PA      | $680665623.23  | 0.71%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.50 06/02/2041                                | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   69963000 | PA      | $51967445.97   | 0.05%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.375 01/23/2045                               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  134016000 | PA      | $94926722.38   | 0.10%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.75 09/21/2047                                | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  107825000 | PA      | $78096666.29   | 0.08%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 6.35 02/12/2048                                | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   22250000 | PA      | $15491878.45   | 0.02%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                | Petroleos Mexicanos 7.69 01/23/2050                                | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        | 1077940000 | PA      | $847891650.49  | 0.88%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.625 11/17/2029                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   38760000 | PA      | $40699410.86   | 0.04%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.75 11/17/2032                  | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   33460000 | PA      | $35373835.04   | 0.04%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.125 02/15/2030                 | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   32691000 | PA      | $33633353.71   | 0.03%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.375 02/15/2033                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   77968000 | PA      | $80518846.31   | 0.08%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.50 09/07/2030                  | CUSIP: 718172DD8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   42162000 | PA      | $44072164.17   | 0.05%             | 2030-09-07      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 4.875 02/13/2029                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   50705000 | PA      | $51599639.02   | 0.05%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                  | Philip Morris International, Inc. 5.125 02/13/2031                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   35085000 | PA      | $36135642.78   | 0.04%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.68 01/21/2030                                          | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  210322000 | PA      | $198279443.92  | 0.21%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.027 08/03/2050                                         | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   28141000 | PA      | $18816184.17   | 0.02%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.832 02/08/2051                                         | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   14085000 | PA      | $9060424.43    | 0.01%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.061 07/13/2031                                         | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  552347000 | PA      | $489254357.50  | 0.51%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 3.257 01/19/2027                                         | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   27741000 | PA      | $27158034.54   | 0.03%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.193 01/19/2032                                         | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  133075000 | PA      | $124644664.15  | 0.13%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV 4.987 01/19/2052                                         | CUSIP: 74365PAJ7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  368711000 | PA      | $284496161.36  | 0.29%             | 2052-01-19      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Unum Group                                         | Unum Group 7.25 03/15/2028                                         | CUSIP: 743862AA2<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   18534000 | PA      | $19662968.96   | 0.02%             | 2028-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                          | RTX Corp. 6.00 03/15/2031                                          | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   55935000 | PA      | $60098257.15   | 0.06%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                          | RTX Corp. 6.10 03/15/2034                                          | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   61390000 | PA      | $66369389.56   | 0.07%             | 2034-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                              | Rio Oil Finance Trust 9.75 01/06/2027                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   68725095 | PA      | $70841553.19   | 0.07%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                              | Rio Oil Finance Trust 8.20 04/06/2028                              | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  114077856 | PA      | $118924339.63  | 0.12%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                  | NatWest Group PLC 4.892 05/18/2029                                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   12550000 | PA      | $12675619.73   | 0.01%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US                      | SSC GOVERNMENT MM GVMXX                                            | CUSIP: N/A<br>LEI: 549300BZ5TGIFZUZDZ37       | Long             | STIV             | RF                | US        |  609356486 | NS      | $609356486.06  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.17494 10/25/2064                          | CUSIP: 78442GLK0<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   30043436 | PA      | $29950767.27   | 0.03%             | 2064-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.17494 10/25/2064                          | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   18504726 | PA      | $18447645.90   | 0.02%             | 2064-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.25494 01/25/2040                          | CUSIP: 78442GMT0<br>LEI: 549300MMV4PL4CBOVL89 | Long             | ABS-O            | CORP              | US        |   56867619 | PA      | $56309929.94   | 0.06%             | 2040-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 4.79494 07/25/2040                          | CUSIP: 78442GPH3<br>LEI: 549300L7X3DWAOC00Z83 | Long             | ABS-O            | CORP              | US        |    8926170 | PA      | $8707892.04    | 0.01%             | 2040-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.11494 04/27/2043                          | CUSIP: 78444CAE3<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |   35108251 | PA      | $33146925.10   | 0.03%             | 2043-04-27      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.61965 10/25/2034                          | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |   10109455 | PA      | $10130347.53   | 0.01%             | 2034-10-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                             | SLM Student Loan Trust 5.21965 01/25/2076                          | CUSIP: 78447EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   68445474 | PA      | $67939928.88   | 0.07%             | 2026-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 2.88 09/15/2034   | CUSIP: 78448WAB1<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |     451155 | PA      | $450013.89     | 0.00%             | 2034-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 1.07 01/15/2053   | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20990239 | PA      | $18894184.78   | 0.02%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 4.99 10/16/2056   | CUSIP: 78449HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  142536700 | PA      | $143135140.43  | 0.15%             | 2056-10-16      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 3.60 01/15/2037   | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |   10112741 | PA      | $9967547.48    | 0.01%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 3.50 02/15/2036   | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   12846220 | PA      | $12691494.80   | 0.01%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 6.15 09/15/2053   | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  136521628 | PA      | $143272458.92  | 0.15%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.09 10/16/2056   | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   66310468 | PA      | $66955297.30   | 0.07%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.37 10/15/2058   | CUSIP: 78454XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  125820112 | PA      | $127271245.70  | 0.13%             | 2058-10-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 5.643 05/19/2029                          | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  106172000 | PA      | $110048616.83  | 0.11%             | 2029-05-19      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 5.853 05/19/2034                          | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   35715000 | PA      | $37940447.01   | 0.04%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 6.136 08/24/2034                          | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   80185000 | PA      | $86758504.56   | 0.09%             | 2034-08-24      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corp.                           | The Charles Schwab Corp. 6.196 11/17/2029                          | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  178554000 | PA      | $189455055.60  | 0.20%             | 2029-11-17      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 4.75 07/01/2025                | CUSIP: 83162CPR8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      48211 | PA      | $48209.61      | 0.00%             | 2025-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.11 08/01/2025                | CUSIP: 83162CPS6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |        453 | PA      | $452.79        | 0.00%             | 2025-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 4.76 09/01/2025                | CUSIP: 83162CPU1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      75834 | PA      | $75625.05      | 0.00%             | 2025-09-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.21 01/01/2026                | CUSIP: 83162CQA4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     111269 | PA      | $111071.43     | 0.00%             | 2026-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.35 02/01/2026                | CUSIP: 83162CQB2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      31242 | PA      | $31242.84      | 0.00%             | 2026-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.57 03/01/2026                | CUSIP: 83162CQD8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     143218 | PA      | $143062.50     | 0.00%             | 2026-03-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 6.07 07/01/2026                | CUSIP: 83162CQK2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     294526 | PA      | $294277.45     | 0.00%             | 2026-07-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.70 08/01/2026                | CUSIP: 83162CQL0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       3077 | PA      | $3079.62       | 0.00%             | 2026-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.54 09/01/2026                | CUSIP: 83162CQN6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       5092 | PA      | $5090.11       | 0.00%             | 2026-09-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.37 10/01/2026                | CUSIP: 83162CQP1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     114685 | PA      | $114935.09     | 0.00%             | 2026-10-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.12 12/01/2026                | CUSIP: 83162CQS5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     109731 | PA      | $109729.07     | 0.00%             | 2026-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.32 01/01/2027                | CUSIP: 83162CQU0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     304781 | PA      | $305541.18     | 0.00%             | 2027-01-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.23 03/01/2027                | CUSIP: 83162CQX4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     528147 | PA      | $529062.01     | 0.00%             | 2027-03-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.32 04/01/2027                | CUSIP: 83162CQY2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     386924 | PA      | $387243.52     | 0.00%             | 2027-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program                | Small Business Admin. - 504 Program 5.82 07/01/2027                | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     403297 | PA      | $406848.07     | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 2.82 10/15/2035   | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    1914036 | PA      | $1892286.89    | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.24 03/15/2056   | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  226361579 | PA      | $230171833.14  | 0.24%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.50 06/17/2052   | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35360492 | PA      | $36195861.97   | 0.04%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.67 11/15/2052   | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13113278 | PA      | $13459752.85   | 0.01%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.13 04/15/2054   | CUSIP: 83207EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19488637 | PA      | $19705062.69   | 0.02%             | 2054-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans)   | SMB Private Education Loan Trust (Private Loans) 5.06 03/16/2054   | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   54863305 | PA      | $55433741.09   | 0.06%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 5.113 08/01/2027                                  | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  209080000 | PA      | $212220095.16  | 0.22%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 4.00 01/15/2051                                   | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  315289000 | PA      | $313467033.15  | 0.32%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 3.75 09/15/2051                                   | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  144501000 | PA      | $142509926.50  | 0.15%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                   | The Southern Co. 4.85 06/15/2028                                   | CUSIP: 842587DQ7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   94545000 | PA      | $96169574.30   | 0.10%             | 2028-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corporation                  | FIXED INC CLEARING CORP.REPO                                       | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |   96120698 | PA      | $96120697.62   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 4.65 04/01/2028                                     | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   33950000 | PA      | $34295583.84   | 0.04%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 4.85 04/01/2030                                     | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  120588000 | PA      | $122260543.50  | 0.13%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                     | Synopsys, Inc. 5.00 04/01/2032                                     | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  119080000 | PA      | $120620183.10  | 0.12%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 4.75 02/01/2028                                | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   13285000 | PA      | $13282471.86   | 0.01%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.875 04/15/2030                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  252579000 | PA      | $245309220.71  | 0.25%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 2.25 02/15/2026                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  109045000 | PA      | $107354922.45  | 0.11%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.375 04/15/2029                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  207295000 | PA      | $199448345.28  | 0.21%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 3.50 04/15/2031                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  129944000 | PA      | $122006383.75  | 0.13%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 2.55 02/15/2031                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18435000 | PA      | $16503509.38   | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                                | T-Mobile U.S., Inc. 5.20 01/15/2033                                | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   27025000 | PA      | $27529177.32   | 0.03%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.55 05/01/2037                       | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   45343000 | PA      | $46831121.89   | 0.05%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                       | Charter Communications, Inc. 6.75 06/15/2039                       | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |  121402000 | PA      | $125844113.75  | 0.13%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.34 11/15/2029                | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16357000 | PA      | $16457641.35   | 0.02%             | 2029-11-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.49 06/17/2030                | CUSIP: 89231HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22366000 | PA      | $22628538.82   | 0.02%             | 2030-06-17      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.88 03/15/2029                | CUSIP: 89237QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  140233000 | PA      | $141563110.01  | 0.15%             | 2029-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.83 11/15/2029                | CUSIP: 89237QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50417000 | PA      | $51229656.50   | 0.05%             | 2029-11-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.40 06/15/2029                | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59620000 | PA      | $59871471.20   | 0.06%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.43 04/15/2030                | CUSIP: 89239TAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $12090880.80   | 0.01%             | 2030-04-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.64 08/15/2029                | CUSIP: 89240JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  135734000 | PA      | $136986376.90  | 0.14%             | 2029-08-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables Owner Trust 4.76 05/15/2030                | CUSIP: 89240JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34797000 | PA      | $35406699.12   | 0.04%             | 2030-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.875 08/15/2076                                   | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  263669000 | PA      | $264084708.46  | 0.27%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.30 03/15/2077                                    | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  337412000 | PA      | $335111322.54  | 0.35%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.50 09/15/2079                                    | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  210040000 | PA      | $207968451.09  | 0.22%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                    | TC Energy Corp. 5.60 03/07/2082                                    | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   41376000 | PA      | $40190959.09   | 0.04%             | 2082-03-07      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.959 01/12/2034                                      | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  324377000 | PA      | $341475343.09  | 0.35%             | 2034-01-12      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.617 09/13/2030                                      | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   96755000 | PA      | $100468254.68  | 0.10%             | 2030-09-13      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG 5.58 05/09/2036                                       | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   97025000 | PA      | $99219345.54   | 0.10%             | 2036-05-09      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Unum Group                                         | Unum Group 6.75 12/15/2028                                         | CUSIP: 903192AA0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    7997000 | PA      | $8547672.62    | 0.01%             | 2028-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                          | Ultrapar Participacoes SA 5.25 10/06/2026                          | CUSIP: 90401CAA7<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |  151635000 | PA      | $151057422.29  | 0.16%             | 2026-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                          | Ultrapar Participacoes SA 5.25 06/06/2029                          | CUSIP: 90401CAC3<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |   50542000 | PA      | $50200942.58   | 0.05%             | 2029-06-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                      | UniCredit SPA 7.296 04/02/2034                                     | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  366046400 | PA      | $387181399.35  | 0.40%             | 2034-04-02      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                      | UniCredit SPA 5.459 06/30/2035                                     | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  265326000 | PA      | $263791858.54  | 0.27%             | 2035-06-30      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 5.082 01/02/2029                               | CUSIP: 90783VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     291527 | PA      | $292964.61     | 0.00%             | 2029-01-02      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 5.866 07/02/2030                               | CUSIP: 90783WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5563283 | PA      | $5736457.87    | 0.01%             | 2030-07-02      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                | Union Pacific Corp. 6.176 01/02/2031                               | CUSIP: 90783XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8225094 | PA      | $8542023.71    | 0.01%             | 2031-01-02      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                          | Dept. of Veterans Affairs 7.50 06/01/2027                          | CUSIP: 911760KT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     763102 | PA      | $774715.65     | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 2.875 05/15/2052                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1078820000 | PA      | $759219575.00  | 0.79%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.00 08/15/2052                            | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  431883000 | PA      | $311748671.28  | 0.32%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.375 08/15/2042                           | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  818780000 | PA      | $687231480.95  | 0.71%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 11/15/2052                            | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  619740000 | PA      | $542006203.92  | 0.56%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 11/15/2042                            | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  148735000 | PA      | $135691638.07  | 0.14%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 1.50 02/15/2053                    | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  445416168 | PA      | $352587946.46  | 0.37%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 08/15/2053                           | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 2110356000 | PA      | $1885059015.12 | 1.95%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.75 11/15/2053                            | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  298095000 | PA      | $295393514.06  | 0.31%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.25 02/15/2054                            | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   99365000 | PA      | $90639510.94   | 0.09%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 2.125 02/15/2054                   | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119847350 | PA      | $109600815.51  | 0.11%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.50 02/15/2044                            | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  819750000 | PA      | $792083437.50  | 0.82%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 08/15/2044                           | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1045585000 | PA      | $957894724.14  | 0.99%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.50 11/15/2054                            | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $95296875.00   | 0.10%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.625 11/15/2044                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1640126000 | PA      | $1605529592.19 | 1.66%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation Indexed                    | U.S. Treasury Inflation Indexed 2.375 02/15/2055                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  190380981 | PA      | $183952478.03  | 0.19%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.75 05/15/2055                            | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  225000000 | PA      | $223734375.00  | 0.23%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.75 12/31/2030                            | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1297735000 | PA      | $1291297014.53 | 1.34%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.00 01/31/2031                            | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149045000 | PA      | $150098794.35  | 0.16%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.625 04/30/2031                           | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  645865000 | PA      | $670589519.53  | 0.69%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.25 06/30/2031                            | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  496820000 | PA      | $505999524.54  | 0.52%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 07/31/2031                           | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  248405000 | PA      | $251257777.41  | 0.26%             | 2031-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 3.875 08/15/2034                           | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1391095000 | PA      | $1358219516.17 | 1.41%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                            | U.S. Treasury Note/Bond 4.125 05/31/2032                           | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  550000000 | PA      | $554640625.00  | 0.57%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc. 1.75 01/20/2031                       | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   13855000 | PA      | $11938541.90   | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                       | Verizon Communications, Inc. 2.55 03/21/2031                       | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   90862000 | PA      | $81493051.09   | 0.08%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                       | VMware, Inc. 1.40 08/15/2026                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   87378000 | PA      | $84510384.23   | 0.09%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                 | Vodafone Group PLC 7.00 04/04/2079                                 | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  242640000 | PA      | $253157230.80  | 0.26%             | 2079-04-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.50 08/20/2029                | CUSIP: 92868MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   44040000 | PA      | $44367212.80   | 0.05%             | 2029-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.61 07/21/2031                | CUSIP: 92868MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45885000 | PA      | $46492577.05   | 0.05%             | 2031-07-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.63 07/20/2029                | CUSIP: 92868RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  104700000 | PA      | $105780179.43  | 0.11%             | 2029-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                | Volkswagen Auto Loan Enhanced Trust 4.67 06/20/2031                | CUSIP: 92868RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $14126908.60   | 0.01%             | 2031-06-20      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.10 06/03/2026                                  | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  127795000 | PA      | $127284336.29  | 0.13%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.30 07/22/2027                                  | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  156500000 | PA      | $156530822.68  | 0.16%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.879 10/30/2030                                 | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46275000 | PA      | $43236169.80   | 0.04%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.572 02/11/2031                                 | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   43340000 | PA      | $39704494.31   | 0.04%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 2.393 06/02/2028                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   37000000 | PA      | $35646336.13   | 0.04%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 3.35 03/02/2033                                  | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17074000 | PA      | $15592829.30   | 0.02%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.808 07/25/2028                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6925000 | PA      | $6983377.06    | 0.01%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.897 07/25/2033                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  104244000 | PA      | $104264265.03  | 0.11%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.389 04/24/2034                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   83470000 | PA      | $85410437.11   | 0.09%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.198 01/23/2030                                 | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  129020000 | PA      | $132155445.33  | 0.14%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 5.707 04/22/2028                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  117210000 | PA      | $119755280.79  | 0.12%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co. 4.90 01/24/2028                                  | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   89610000 | PA      | $90258861.53   | 0.09%             | 2028-01-24      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                       | Zoetis, Inc. 4.50 11/13/2025                                       | CUSIP: 98978VAK9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |  100484000 | PA      | $100427799.30  | 0.10%             | 2025-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                | US 10YR NOTE (CBT)Sep25                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      25681 | NC      | $57733558.82   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                | US ULTRA BOND CBT Sep25                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      18913 | NC      | $103178069.09  | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Fixed Income Clearing Corporation                  | FIXED INC CLEARING CORP.REPO                                       | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |  504000000 | PA      | $504000000.00  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-28

**Name of Applicant:** Dodge & Cox Funds

**Signature:** Shelly Chu

**Name of Signer:** Shelly Chu

**Title:** Treasurer