# EDGAR Filing Document

**Accession Number:** 0001303608
**File Stem:** 0002071691-26-009320
**Filing Date:** 2026-4
**Character Count:** 1221632
**Document Hash:** dbfa0e2a71fb5fa6f8f6beb2cf8c4d7b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009320.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009320

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Institutional Trust
- **CENTRAL INDEX KEY:** 0001303608

**ORGANIZATION NAME:**
- **EIN:** 201491791
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21638
- **FILM NUMBER:** 26912565

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### JPMorgan Core Bond Trust (Series ID: S000007337)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000020141 | JPMorgan Core Bond Trust |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Institutional Trust

- **b. Investment Company Act file number:** 811-21638

- **c. CIK number of Registrant:** 0001303608

- **d. LEI of Registrant:** 5493005FRK56SHN6MJ34

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Core Bond Trust

- **b. EDGAR series identifier (if any):** S000007337

- **c. LEI of Series:** 549300Q7485FUJKEMM46

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $4577711545.96

**Total Liabilities:** $44945733.61

**Net Assets:** $4532765812.35

**Cash Not Reported:** $1763424.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2729.56553000 | **1-Year:** 76776.75388000 | **5-Year:** 548883.24710000 | **10-Year:** 591313.11939000 | **30-Year:** 204017.09993000

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

- **3-Month:** 2.52660000 | **1-Year:** 3085.29591000 | **5-Year:** 11737.37001000 | **10-Year:** 381.55850000 | **30-Year:** 134.77228000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020141 | -0.29%               | 0.25%                | 1.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12156.31               | $-28102229.42                              |
| Month 2  | $426777.09               | $-2823990.84                               |
| Month 3  | $-295537.95              | $59928183.22                               |

**Designated Index Information**

- **Index Name:** N/A

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $765270.78    | 0.02%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $911253.42    | 0.02%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2700000 | PA      | $2804415.97   | 0.06%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                    | AEP Texas, Inc., Series H                                                                                                | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     95000 | PA      | $66631.33     | 0.00%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     11000 | PA      | $11565.15     | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     23000 | PA      | $20169.52     | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    254000 | PA      | $253444.64    | 0.01%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                    | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1692278.92   | 0.04%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                     | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    520000 | PA      | $419083.60    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                      | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1598426.99   | 0.04%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                      | AIB Group plc                                                                                                            | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   6490000 | PA      | $6741802.91   | 0.15%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                          | Corebridge Global Funding                                                                                                | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1325240.61   | 0.03%             | 2029-06-24      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                          | Corebridge Global Funding                                                                                                | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     95000 | PA      | $95703.90     | 0.00%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                  | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    520000 | PA      | $582806.72    | 0.01%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR1, Class D                                                                                    | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $807430.90    | 0.02%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2024-SFR2, Class A                                                                                    | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $114481.01    | 0.00%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class C                                                                                    | CUSIP: 00180UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1572536.80   | 0.03%             | 2038-10-17      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class E1                                                                                   | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2296000 | PA      | $2256698.45   | 0.05%             | 2038-10-17      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2025-SFR1, Class B                                                                                    | CUSIP: 00182MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2603844.36   | 0.06%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1646000 | PA      | $1320956.28   | 0.03%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239738.79    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    113000 | PA      | $77084.99     | 0.00%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5551000 | PA      | $3758141.41   | 0.08%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    230000 | PA      | $241074.09    | 0.01%             | 2034-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RNH1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1177091.23   | 0.03%             | 2036-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                | Abbott Laboratories                                                                                                      | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    380000 | PA      | $383772.30    | 0.01%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    790000 | PA      | $716906.84    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14859.34     | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1292912.55   | 0.03%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4909000 | PA      | $4443551.74   | 0.10%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67309.94     | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    480000 | PA      | $448917.21    | 0.01%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1492779.16   | 0.03%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YEH8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1197337.81   | 0.03%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                        | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334173 | PA      | $328712.55    | 0.01%             | 2044-12-26      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                            | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    510000 | PA      | $504505.28    | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1560000 | PA      | $1544902.66   | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3145000 | PA      | $2939004.14   | 0.06%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1560000 | PA      | $1586463.82   | 0.03%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    235000 | PA      | $241289.84    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBP9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    230000 | PA      | $240058.21    | 0.01%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    760000 | PA      | $758885.63    | 0.02%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    970000 | PA      | $971899.34    | 0.02%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                        | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    475000 | PA      | $529324.19    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2015-2, Class AA                                                                   | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    146312 | PA      | $144568.13    | 0.00%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    311080 | PA      | $301251.21    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    439824 | PA      | $423215.85    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    175000 | PA      | $173217.21    | 0.00%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                          | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $125434.96    | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                     | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    811000 | PA      | $837167.18    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                     | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    714000 | PA      | $730039.31    | 0.02%             | 2030-09-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                        | Aker BP ASA                                                                                                              | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    660000 | PA      | $658596.99    | 0.01%             | 2034-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                        | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    360000 | PA      | $338124.05    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                                  | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    250000 | PA      | $277930.26    | 0.01%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Albemarle Corp.                                                    | Albemarle Corp.                                                                                                          | CUSIP: 012725AD9<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9429.19      | 0.00%             | 2044-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                         | Alexander Funding Trust II                                                                                               | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1363223.07   | 0.03%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134906.03    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AT6<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56933.44     | 0.00%             | 2029-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    130000 | PA      | $108179.30    | 0.00%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    980000 | PA      | $842272.29    | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                     | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $59706.85     | 0.00%             | 2027-07-26      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                         | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4373160.03   | 0.10%             | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                         | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $30134563.20  | 0.66%             | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                     | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1461259.25   | 0.03%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                     | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2159074.13   | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                     | Alphabet, Inc.                                                                                                           | CUSIP: 02079KBQ9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1318781.70   | 0.03%             | 2066-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2006-26CB, Class A9                                                                       | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832992 | PA      | $397234.98    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                 | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1525688.44   | 0.03%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                   | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24194.35     | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                   | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     10000 | PA      | $5660.63      | 0.00%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                   | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86973.59     | 0.00%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                       | Ameren Corp.                                                                                                             | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121281.54    | 0.00%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                | Ameren Illinois Co.                                                                                                      | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1645733.71   | 0.04%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                               | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126783 | PA      | $123700.63    | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                               | American Airlines Pass-Through Trust, Series 2014-1, Class A                                                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15370 | PA      | $15318.69     | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                               | American Airlines Pass-Through Trust, Series 2019-1, Class A                                                             | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2023272 | PA      | $1891324.02   | 0.04%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                       | American Credit Acceptance Receivables Trust, Series 2025-2, Class C                                                     | CUSIP: 024938AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101163.79    | 0.00%             | 2031-03-12      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1516864.70   | 0.03%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1515415.31   | 0.03%             | 2028-02-16      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1469494.63   | 0.03%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     61000 | PA      | $64600.15     | 0.00%             | 2036-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    665000 | PA      | $681207.18    | 0.02%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1193414.38   | 0.03%             | 2036-10-24      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                     | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B                                              | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   1255000 | PA      | $1492261.89   | 0.03%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    312000 | PA      | $310741.72    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89271.92     | 0.00%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    630000 | PA      | $578454.41    | 0.01%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    496000 | PA      | $333157.20    | 0.01%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $984141.38    | 0.02%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    324000 | PA      | $209341.18    | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1249210.03   | 0.03%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1096000 | PA      | $791692.17    | 0.02%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2257551.80   | 0.05%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                           | AmeriCredit Automobile Receivables Trust, Series 2023-2, Class A3                                                        | CUSIP: 03065UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341872 | PA      | $344164.38    | 0.01%             | 2028-05-18      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                      | Cencora, Inc.                                                                                                            | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139781.73    | 0.00%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                      | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1711562.26   | 0.04%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                      | Cencora, Inc.                                                                                                            | CUSIP: 03073EBD6<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3021963.30   | 0.07%             | 2033-02-13      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1854000 | PA      | $1618619.05   | 0.04%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    928000 | PA      | $746719.51    | 0.02%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DF4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     55000 | PA      | $44575.88     | 0.00%             | 2052-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83484.23     | 0.00%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     85000 | PA      | $89001.35     | 0.00%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    426000 | PA      | $435384.22    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3157000 | PA      | $3151375.49   | 0.07%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1528221.92   | 0.03%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                                     | Amphenol Corp.                                                                                                           | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1965724.84   | 0.04%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                              | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                                        | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3515000 | PA      | $3535046.75   | 0.08%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                              | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4025939.20   | 0.09%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| Anglo American Capital plc                                         | Anglo American Capital plc                                                                                               | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2635000 | PA      | $2797210.60   | 0.06%             | 2034-04-05      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                            | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2604000 | PA      | $2610724.10   | 0.06%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Ansley Park Capital LLC                                            | Ansley Park Capital LLC, Series 2025-A, Class C                                                                          | CUSIP: 03637AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3395000 | PA      | $3432130.44   | 0.08%             | 2035-04-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Aon Corp.                                                          | Aon Corp.                                                                                                                | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $87094.54     | 0.00%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                                          | Aon Corp.                                                                                                                | CUSIP: 03740LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $68017.47     | 0.00%             | 2033-02-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                            | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2076267.89   | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                            | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $583982.71    | 0.01%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15838.73     | 0.00%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     26000 | PA      | $21461.08     | 0.00%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40232.16     | 0.00%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $956856.73    | 0.02%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                                          | Aqua Finance Issuer Trust, Series 2025-A, Class B                                                                        | CUSIP: 038394AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3111535 | PA      | $3191502.53   | 0.07%             | 2050-12-19      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                                         | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194498.62    | 0.00%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                            | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10940.09     | 0.00%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                            | Arrow Electronics, Inc.                                                                                                  | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54324.89     | 0.00%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Ascension Health                                                   | Ascension Health, Series B                                                                                               | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $409988.84    | 0.01%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $344105.96    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $209432.17    | 0.00%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3447318.25   | 0.08%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116719.70    | 0.00%             | 2031-11-13      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    828000 | PA      | $724617.70    | 0.02%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    140000 | PA      | $120357.22    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                         | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    263000 | PA      | $263225.52    | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| AutoZone, Inc.                                                     | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    765000 | PA      | $678132.13    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                     | AutoZone, Inc.                                                                                                           | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    760000 | PA      | $794135.89    | 0.02%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29675.07     | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118535.35    | 0.00%             | 2026-09-20      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2479151.74   | 0.05%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    825000 | PA      | $847608.09    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                           | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $119521.34    | 0.00%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                           | Avis Budget Rental Car Funding AESOP LLC, Series 2025-2A, Class B                                                        | CUSIP: 05377RKR4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1556339.55   | 0.03%             | 2031-08-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1270000 | PA      | $1270330.20   | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1200000 | PA      | $1199460.00   | 0.03%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2220000 | PA      | $2156907.60   | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    575000 | PA      | $598155.25    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    235000 | PA      | $245363.50    | 0.01%             | 2029-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1871000 | PA      | $1895921.72   | 0.04%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2345000 | PA      | $2400670.30   | 0.05%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    795000 | PA      | $806523.92    | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1370000 | PA      | $1374397.70   | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1210000 | PA      | $1206745.10   | 0.03%             | 2029-04-15      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   4200000 | PA      | $4167055.20   | 0.09%             | 2033-04-01      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    502000 | PA      | $344092.58    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1007000 | PA      | $907207.52    | 0.02%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                         | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $915715.71    | 0.02%             | 2046-08-15      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1615820.26   | 0.04%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     14000 | PA      | $11816.58     | 0.00%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1699151.49   | 0.04%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3648000 | PA      | $3849792.55   | 0.08%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1682206.86   | 0.04%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6485000 | PA      | $6985338.11   | 0.15%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571ABE4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2592000 | PA      | $2614305.61   | 0.06%             | 2032-01-13      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2015000 | PA      | $2072502.66   | 0.05%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    730000 | PA      | $657404.51    | 0.01%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                     | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   2716000 | PA      | $2796705.94   | 0.06%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                                     | BG Beta I Ltd.                                                                                                           | CUSIP: 05593PAG1<br>LEI: 254900Z3OU5JTNX05R08 | Long             | DBT              | CORP              | KY        |   3960000 | PA      | $3995627.33   | 0.09%             | 2054-07-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3605000 | PA      | $3729451.67   | 0.08%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3945000 | PA      | $4160800.85   | 0.09%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                                           | BVRT LLC, Series 2025-1, Class B                                                                                         | CUSIP: 05614UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610488 | PA      | $3482968.19   | 0.08%             | 2033-05-10      | Floating      | 3.66%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2006-A, Class 3A2                                                                  | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69717 | PA      | $63045.46     | 0.00%             | 2036-02-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    395000 | PA      | $298889.95    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    475000 | PA      | $309638.83    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63405.41     | 0.00%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                 | Banco Bilbao Vizcaya Argentaria SA                                                                                       | CUSIP: 05946KAU5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   2800000 | PA      | $2783663.71   | 0.06%             | 2036-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-8, Class 30                                                                   | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25870 | PA      | $17326.65     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2004-1                                                                             | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40351 | PA      | $29313.28     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97347 | PA      | $89818.42     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-7, Class 30                                                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44149 | PA      | $45074.51     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2004-6, Class 15                                                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5324 | PA      | $2349.05      | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                     | Banc of America Mortgage Trust, Series 2004-A, Class 2A2                                                                 | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16347 | PA      | $16135.46     | 0.00%             | 2034-02-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2006-4, Class 1A4                                                         | CUSIP: 05950AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183762 | PA      | $171493.99    | 0.00%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banco Nacional de Panama                                           | Banco Nacional de Panama                                                                                                 | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |   1250000 | PA      | $1125281.75   | 0.02%             | 2030-08-11      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197607.43    | 0.00%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2694972.02   | 0.06%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1492122.42   | 0.03%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1814375.48   | 0.04%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1408804.61   | 0.03%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3651924.02   | 0.08%             | 2037-02-06      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2004-2, Class 30                                                                   | CUSIP: 06051GCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55392 | PA      | $43415.55     | 0.00%             | 2034-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281247.07    | 0.01%             | 2038-04-24      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69949.68     | 0.00%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3206259.22   | 0.07%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7185000 | PA      | $5340375.33   | 0.12%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $201256.28    | 0.00%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1020352.04   | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    435000 | PA      | $402113.39    | 0.01%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3263894.48   | 0.07%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2844394.13   | 0.06%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    755000 | PA      | $746027.50    | 0.02%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    895000 | PA      | $931228.80    | 0.02%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                   | Bank of Montreal                                                                                                         | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     13000 | PA      | $12902.57     | 0.00%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                   | Bank of Montreal                                                                                                         | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2360000 | PA      | $2375229.01   | 0.05%             | 2031-09-22      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                | Bank of New York Mellon Corp. (The), Series J                                                                            | CUSIP: 06406RBR7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    155000 | PA      | $159023.24    | 0.00%             | 2034-04-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1121037.05   | 0.02%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |    910000 | PA      | $940471.93    | 0.02%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                          | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    472000 | PA      | $485872.58    | 0.01%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                          | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06418GAP2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    155000 | PA      | $157817.55    | 0.00%             | 2029-02-14      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                          | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2375000 | PA      | $2402376.55   | 0.05%             | 2034-02-02      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   5178000 | PA      | $5420585.99   | 0.12%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCS9<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    995000 | PA      | $1005579.48   | 0.02%             | 2036-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   4335000 | PA      | $4359633.07   | 0.10%             | 2031-01-15      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   2405000 | PA      | $2497881.58   | 0.06%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $536189.04    | 0.01%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    412000 | PA      | $445764.66    | 0.01%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2876280.12   | 0.06%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    838000 | PA      | $857453.90    | 0.02%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $937653.38    | 0.02%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    875000 | PA      | $876936.75    | 0.02%             | 2032-02-24      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1610000 | PA      | $1608480.42   | 0.04%             | 2037-02-24      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                              | Bastion Funding I LLC, Series 2023-1A, Class A2                                                                          | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1677641 | PA      | $1692867.15   | 0.04%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                                        | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105600 | PA      | $94695.85     | 0.00%             | 2034-04-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16138 | PA      | $15096.34     | 0.00%             | 2034-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                                          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8003 | PA      | $8052.70      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201872 | PA      | $196959.41    | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                             | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    365000 | PA      | $331414.86    | 0.01%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                   | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90645.04     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                   | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    845000 | PA      | $656715.26    | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                                     | Beth Israel Lahey Health, Inc., Series L                                                                                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23851.96     | 0.00%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                           | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209806.00    | 0.00%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                           | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206856.00    | 0.00%             | 2036-01-09      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                                       | Biogen, Inc.                                                                                                             | CUSIP: 09062XAK9<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2031343.30   | 0.04%             | 2051-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                       | Biogen, Inc.                                                                                                             | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1299000 | PA      | $1385194.11   | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                       | Biogen, Inc.                                                                                                             | CUSIP: 09062XAM5<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $2065235.42   | 0.05%             | 2055-05-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    429000 | PA      | $369570.23    | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    765000 | PA      | $706870.63    | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1222000 | PA      | $1268822.87   | 0.03%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4585000 | PA      | $4749852.48   | 0.10%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2285000 | PA      | $2420151.65   | 0.05%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3895000 | PA      | $4004641.41   | 0.09%             | 2031-05-09      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W3E2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $4019202.72   | 0.09%             | 2034-01-15      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    840000 | PA      | $829594.89    | 0.02%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $319478.50    | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    960000 | PA      | $970094.16    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    745000 | PA      | $775124.18    | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1595039.03   | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1166884.37   | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2317310.37   | 0.05%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $1319625.12   | 0.03%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                     | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    308000 | PA      | $270067.75    | 0.01%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                            | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    900000 | PA      | $1020760.28   | 0.02%             | 2035-11-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                   | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1995000 | PA      | $1303789.46   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                   | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215249.76    | 0.00%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                      | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class B                                                    | CUSIP: 10805NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2240000 | PA      | $2248523.65   | 0.05%             | 2028-10-16      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2024-SFR1, Class A                                                                                  | CUSIP: 10806DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201567 | PA      | $197482.78    | 0.00%             | 2040-08-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2025-SFR1, Class C                                                                                  | CUSIP: 10807GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1797222 | PA      | $1728662.96   | 0.04%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1004000 | PA      | $835217.89    | 0.02%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $758267.53    | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DZ8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     35000 | PA      | $38442.07     | 0.00%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1150801.10   | 0.03%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303864 | PA      | $299768.08    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488399 | PA      | $477558.24    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498805 | PA      | $476307.92    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    840000 | PA      | $810793.91    | 0.02%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    470000 | PA      | $427288.36    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBA8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25580.25     | 0.00%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1235462.81   | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2741916.65   | 0.06%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1904000 | PA      | $1929714.70   | 0.04%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2416780.30   | 0.05%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3272119.60   | 0.07%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    241000 | PA      | $241594.98    | 0.01%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    105000 | PA      | $90533.86     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    350000 | PA      | $349207.16    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    411000 | PA      | $418562.31    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                       | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    460000 | PA      | $376040.02    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1604962.06   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1404218.39   | 0.03%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1426299.20   | 0.03%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $72042.52     | 0.00%             | 2041-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $337609.14    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $347313.93    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189TAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $30444.02     | 0.00%             | 2036-06-01      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                        | Business Jet Securities LLC, Series 2022-1A, Class A                                                                     | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166730 | PA      | $166279.96    | 0.00%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| CAFL Issuer LP                                                     | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                                                              | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7170000 | PA      | $7247067.46   | 0.16%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAL7<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    770000 | PA      | $783293.16    | 0.02%             | 2035-11-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                          | CFIN 2022-RTL1 Issuer LLC, Class A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   8665142 | PA      | $8654310.89   | 0.19%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFIN LLC                                                           | CFIN LLC, Series 2024-1A, Class A                                                                                        | CUSIP: 125307AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4784600.00   | 0.11%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| CFIN Issuer LLC                                                    | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441609 | PA      | $439578.00    | 0.01%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    843000 | PA      | $831398.57    | 0.02%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1515000 | PA      | $1349564.17   | 0.03%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                  | Cigna Group (The)                                                                                                        | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1238000 | PA      | $989430.99    | 0.02%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                  | Cigna Group (The)                                                                                                        | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35211.12     | 0.00%             | 2051-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                  | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1124047.44   | 0.02%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                  | Cigna Group (The)                                                                                                        | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1977148.90   | 0.04%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                   | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    475000 | PA      | $473914.75    | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                  | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    893000 | PA      | $856296.30    | 0.02%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                             | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                                                           | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3276000 | PA      | $3321173.09   | 0.07%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    190000 | PA      | $163138.45    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    105000 | PA      | $89497.48     | 0.00%             | 2048-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     95000 | PA      | $68370.61     | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                         | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1906160 | PA      | $1920307.21   | 0.04%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| CNH Equipment Trust                                                | CNH Equipment Trust, Series 2022-C, Class A3                                                                             | CUSIP: 12664JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56261 | PA      | $56593.71     | 0.00%             | 2028-04-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22835 | PA      | $23432.70     | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570176 | PA      | $588529.40    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    171000 | PA      | $172004.27    | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    108000 | PA      | $103193.44    | 0.00%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1454170.68   | 0.03%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462379 | PA      | $448482.19    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                        | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16634 | PA      | $16590.99     | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227863 | PA      | $27749.55     | 0.00%             | 2035-03-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                                       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750371 | PA      | $1805990.47   | 0.04%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784909 | PA      | $152374.80    | 0.00%             | 2035-09-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2507295 | PA      | $234811.17    | 0.01%             | 2035-06-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830489 | PA      | $51620.96     | 0.00%             | 2035-07-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761026 | PA      | $655790.61    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45742 | PA      | $17098.75     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1224888 | PA      | $81585.16     | 0.00%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                                                     | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486506 | PA      | $373320.27    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                                                      | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370416 | PA      | $34706.53     | 0.00%             | 2035-12-25      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210617 | PA      | $188953.17    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                                               | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465386 | PA      | $385145.78    | 0.01%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20214 | PA      | $19484.16     | 0.00%             | 2034-05-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57596 | PA      | $53241.99     | 0.00%             | 2034-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                                              | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70632 | PA      | $67344.69     | 0.00%             | 2034-06-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167650 | PA      | $101757.49    | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75374 | PA      | $72881.48     | 0.00%             | 2034-11-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                     | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class B                                                               | CUSIP: 12676JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3395000 | PA      | $3414628.53   | 0.08%             | 2042-11-10      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                     | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class C                                                               | CUSIP: 12676JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1484498.46   | 0.03%             | 2042-11-10      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    935000 | PA      | $933918.28    | 0.02%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78619.33     | 0.00%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1289043.73   | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                                       | Cadence Design Systems, Inc.                                                                                             | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10101.75     | 0.00%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                                       | Cadence Design Systems, Inc.                                                                                             | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1899000 | PA      | $1915466.95   | 0.04%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LP                                                     | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                                                              | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3565000 | PA      | $3588314.39   | 0.08%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1449000 | PA      | $1626633.94   | 0.04%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    634000 | PA      | $661145.55    | 0.01%             | 2030-03-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   4960000 | PA      | $5322625.35   | 0.12%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   7892000 | PA      | $8188240.66   | 0.18%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| State of California                                                | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    350000 | PA      | $415656.08    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                    | Cameron LNG LLC                                                                                                          | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    961000 | PA      | $835849.52    | 0.02%             | 2039-01-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                 | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607PHS6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2800000 | PA      | $2850261.18   | 0.06%             | 2030-09-11      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                 | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607PVQ4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $155870.17    | 0.00%             | 2031-01-13      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                 | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    630000 | PA      | $653856.08    | 0.01%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                       | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    712000 | PA      | $647296.79    | 0.01%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBK0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23962.55     | 0.00%             | 2026-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    920000 | PA      | $833087.93    | 0.02%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    780000 | PA      | $816428.26    | 0.02%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1103919.32   | 0.02%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $2129090.43   | 0.05%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDQ5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3090000 | PA      | $3118042.03   | 0.07%             | 2037-01-30      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                              | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78017.37     | 0.00%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                              | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2846369.61   | 0.06%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                            | Carmax Auto Owner Trust, Series 2025-2, Class A4                                                                         | CUSIP: 14320AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3816223.80   | 0.08%             | 2030-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    273000 | PA      | $235805.12    | 0.01%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    125000 | PA      | $108026.21    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                      | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784204 | PA      | $759497.19    | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                     | Carvana Auto Receivables Trust, Series 2021-P4, Class A4                                                                 | CUSIP: 14687KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175670 | PA      | $174590.45    | 0.00%             | 2027-12-10      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                     | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                                                                 | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433677 | PA      | $436233.45    | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust             | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1                                       | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4341000 | PA      | $4358641.82   | 0.10%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| CenterPoint Energy, Inc.                                           | CenterPoint Energy, Inc.                                                                                                 | CUSIP: 15189TAX5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38361.78     | 0.00%             | 2030-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                            | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12109.82     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    528000 | PA      | $551531.78    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1123744.90   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3220000 | PA      | $2078091.53   | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155524 | PA      | $155695.74    | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                        | Cheniere Energy Partners LP                                                                                              | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    780000 | PA      | $809429.38    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                              | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    690000 | PA      | $725575.10    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Chevron Phillips Chemical Co. LLC                                  | Chevron Phillips Chemical Co. LLC                                                                                        | CUSIP: 166754AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29754.67     | 0.00%             | 2028-06-01      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Children's Hospital Corp. (The)                                    | Children's Hospital Corp. (The), Series 2020                                                                             | CUSIP: 16876BAB8<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |    580000 | PA      | $366654.91    | 0.01%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    650000 | PA      | $433739.35    | 0.01%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                  | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    497000 | PA      | $450033.50    | 0.01%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Cisco Systems, Inc.                                                | Cisco Systems, Inc.                                                                                                      | CUSIP: 17275RBU5<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1507939.91   | 0.03%             | 2054-02-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1232092.69   | 0.03%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29971.03     | 0.00%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17819.44     | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1620288.18   | 0.04%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    298000 | PA      | $222170.90    | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6140000 | PA      | $6403729.21   | 0.14%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2051159.16   | 0.05%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-5, Class A                               | CUSIP: 1729732E8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23046 | PA      | $14157.43     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class A                               | CUSIP: 1729734K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43893 | PA      | $26476.87     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $910696.00    | 0.02%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      7178 | PA      | $6974.95      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3788 | PA      | $3231.64      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2                                                              | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        29 | PA      | $26.02        | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                                              | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      5445 | PA      | $3950.66      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                      | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                                                | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6366 | PA      | $6116.76      | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    104501 | PA      | $91961.79     | 0.00%             | 2035-02-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     60972 | PA      | $61730.87     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    126075 | PA      | $106682.16    | 0.00%             | 2035-08-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                      | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81047 | PA      | $80803.32     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    719000 | PA      | $664862.08    | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1938000 | PA      | $1960868.24   | 0.04%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4240000 | PA      | $4370666.96   | 0.10%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                 | CNO Global Funding                                                                                                       | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1425089.53   | 0.03%             | 2029-09-09      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                          | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    675000 | PA      | $578542.50    | 0.01%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                 | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    481000 | PA      | $494826.98    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                               | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3565000 | PA      | $3713216.12   | 0.08%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                               | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2452579.43   | 0.05%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     82000 | PA      | $72922.87     | 0.00%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1436941.71   | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    754000 | PA      | $518746.85    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3286000 | PA      | $1983557.23   | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1729000 | PA      | $1008303.61   | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    259000 | PA      | $144325.64    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1068469.98   | 0.02%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    565000 | PA      | $568878.79    | 0.01%             | 2037-01-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    550000 | PA      | $516574.50    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    545000 | PA      | $418599.02    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Connecticut Light and Power Co. (The)                              | Connecticut Light and Power Co. (The)                                                                                    | CUSIP: 207597EL5<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9739.24      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                 | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $98887.51     | 0.00%             | 2033-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                 | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1473032.96   | 0.03%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                          | Consolidated Edison Co. of New York, Inc., Series 12-A                                                                   | CUSIP: 209111FB4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      9000 | PA      | $7883.90      | 0.00%             | 2042-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                          | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $736228.23    | 0.02%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                         | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    220000 | PA      | $207224.04    | 0.00%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                         | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305091.97    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    280000 | PA      | $300291.95    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1313022.82   | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    945000 | PA      | $943749.85    | 0.02%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    770000 | PA      | $765958.89    | 0.02%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    545000 | PA      | $538764.50    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2019-2, Class B                                                                  | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188122 | PA      | $184096.07    | 0.00%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2019-2, Class D                                                                  | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1928544.60   | 0.04%             | 2052-06-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2020-3, Class B                                                                  | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $3043189.09   | 0.07%             | 2053-08-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Corning, Inc.                                                      | Corning, Inc.                                                                                                            | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   1043000 | PA      | $823641.66    | 0.02%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                  | Corp. Nacional del Cobre de Chile                                                                                        | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |    917000 | PA      | $1001654.69   | 0.02%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                         | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    335000 | PA      | $316260.69    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                           | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CF2<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28167.28     | 0.00%             | 2035-02-01      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Cox Communications, Inc.                                           | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    635000 | PA      | $359983.23    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                                                               | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2587939 | PA      | $2600407.88   | 0.06%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                                               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    996499 | PA      | $1000226.66   | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class C                                                               | CUSIP: 224940AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7751000 | PA      | $7899939.34   | 0.17%             | 2036-03-17      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6066600.00   | 0.13%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class C                                                               | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376165 | PA      | $376876.91    | 0.01%             | 2033-02-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                               | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4262931.12   | 0.09%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class A                                                               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3071093 | PA      | $3089155.78   | 0.07%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2440000 | PA      | $2593428.05   | 0.06%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    639000 | PA      | $652372.56    | 0.01%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    914000 | PA      | $945074.48    | 0.02%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2120000 | PA      | $2135996.91   | 0.05%             | 2033-09-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAU1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   5030000 | PA      | $5081498.25   | 0.11%             | 2037-01-12      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                                                               | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4567870.80   | 0.10%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                                                               | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085000 | PA      | $3105290.97   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1200000 | PA      | $1196159.33   | 0.03%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1115000 | PA      | $1043380.71   | 0.02%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    539000 | PA      | $591160.54    | 0.01%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1020000 | PA      | $1022901.24   | 0.02%             | 2031-09-23      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2925000 | PA      | $2915483.37   | 0.06%             | 2037-03-23      | Variable      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2630000 | PA      | $2653872.59   | 0.06%             | 2037-08-10      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23202 | PA      | $23498.15     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 1P                                           | CUSIP: 22541QYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57304 | PA      | $44817.92     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A18                                                | CUSIP: 225458QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353865 | PA      | $359035.33    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A23                                                | CUSIP: 225458QV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746314 | PA      | $757218.96    | 0.02%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117367 | PA      | $122062.48    | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    264000 | PA      | $264001.83    | 0.01%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    260000 | PA      | $257161.67    | 0.01%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1784217.68   | 0.04%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Cummins, Inc.                                                      | Cummins, Inc.                                                                                                            | CUSIP: 231021AS5<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |     50000 | PA      | $31121.12     | 0.00%             | 2050-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                   | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1407269.86   | 0.03%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                       | DNB Bank ASA                                                                                                             | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    975000 | PA      | $1001616.70   | 0.02%             | 2030-11-05      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                 | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $881317.69    | 0.02%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                | DT Auto Owner Trust, Series 2022-3A, Class D                                                                             | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3156656 | PA      | $3228169.86   | 0.07%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                | DT Auto Owner Trust, Series 2023-1A, Class C                                                                             | CUSIP: 23346KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54064 | PA      | $54158.29     | 0.00%             | 2028-10-16      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                 | DP Lion Holdco LLC, Series 2023-1A, Class A                                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   1192299 | PA      | $1225720.00   | 0.03%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1535000 | PA      | $1601998.77   | 0.04%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    998000 | PA      | $1011078.82   | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1445000 | PA      | $1485545.10   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1025000 | PA      | $1029625.68   | 0.02%             | 2031-09-12      | Variable      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                               | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                                        | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6443042 | PA      | $6509817.34   | 0.14%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $42801.86     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1273505.27   | 0.03%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    107000 | PA      | $107074.24    | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1269410.74   | 0.03%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3215000 | PA      | $3338950.08   | 0.07%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                         | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    235000 | PA      | $201360.43    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                 | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233554 | PA      | $223906.01    | 0.00%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                 | Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA                                                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178821 | PA      | $177589.23    | 0.00%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1775000 | PA      | $1704947.16   | 0.04%             | 2031-09-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    650000 | PA      | $642104.78    | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    296000 | PA      | $309575.05    | 0.01%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    410000 | PA      | $436651.84    | 0.01%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1005000 | PA      | $1047884.06   | 0.02%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    665000 | PA      | $679401.70    | 0.01%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3910000 | PA      | $4037674.05   | 0.09%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1820000 | PA      | $1853614.84   | 0.04%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    775000 | PA      | $779443.32    | 0.02%             | 2031-12-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1300000 | PA      | $1283706.32   | 0.03%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    645000 | PA      | $652292.90    | 0.01%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1720000 | PA      | $1757828.63   | 0.04%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                 | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    558000 | PA      | $543765.89    | 0.01%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                     | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1204916.77   | 0.03%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                     | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                                                      | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3015136 | PA      | $3047307.29   | 0.07%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                       | Diversified ABS Phase LLC, Series VI, Class A                                                                            | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   1431140 | PA      | $1435147.36   | 0.03%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| DNB Bank ASA                                                       | DNB Bank ASA                                                                                                             | CUSIP: 25601B2E4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    945000 | PA      | $949524.09    | 0.02%             | 2031-11-04      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                              | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    940000 | PA      | $973306.21    | 0.02%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                            | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   4004000 | PA      | $4064881.86   | 0.09%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                    | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                                                    | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2647337 | PA      | $2671957.00   | 0.06%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| Drive Auto Receivables Trust                                       | Drive Auto Receivables Trust, Series 2025-1, Class C                                                                     | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $137200.14    | 0.00%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                       | Drive Auto Receivables Trust, Series 2025-2, Class D                                                                     | CUSIP: 262103AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4950000 | PA      | $4997974.41   | 0.11%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    985000 | PA      | $757478.00    | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    105000 | PA      | $96626.66     | 0.00%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1406854.67   | 0.03%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1235311.71   | 0.03%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                          | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    129000 | PA      | $114953.96    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    820000 | PA      | $524596.74    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                            | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23738.37     | 0.00%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                            | Duke Energy Florida LLC                                                                                                  | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1481311.79   | 0.03%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                      | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743905.02    | 0.02%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                      | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     85000 | PA      | $77077.80     | 0.00%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                           | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   1025000 | PA      | $1103695.26   | 0.02%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                            | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    925000 | PA      | $946138.29    | 0.02%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| EOG Resources, Inc.                                                | EOG Resources, Inc.                                                                                                      | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83139.18     | 0.00%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ERP Operating LP                                                   | ERP Operating LP                                                                                                         | CUSIP: 26884ABQ5<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    101000 | PA      | $104311.36    | 0.00%             | 2032-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                           | Eagle Funding Luxco SARL                                                                                                 | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5966000 | PA      | $6085320.00   | 0.13%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Eagle Materials, Inc.                                              | Eagle Materials, Inc.                                                                                                    | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |     95000 | PA      | $87052.67     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                    | Eastern Energy Gas Holdings LLC                                                                                          | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    760000 | PA      | $807933.48    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                           | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    807000 | PA      | $605066.42    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Ecolab, Inc.                                                       | Ecolab, Inc.                                                                                                             | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |      6000 | PA      | $3696.46      | 0.00%             | 2055-08-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1097505.24   | 0.02%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1880944.56   | 0.04%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                | Kinder Morgan, Inc.                                                                                                      | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1151000 | PA      | $1346953.28   | 0.03%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   2010000 | PA      | $2120693.86   | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   2690000 | PA      | $2729181.63   | 0.06%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1120000 | PA      | $1148077.59   | 0.03%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                                | Emera US Finance LP                                                                                                      | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $144706.20    | 0.00%             | 2026-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2507346.12   | 0.06%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81487.65     | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $1008823.27   | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                     | Enbridge, Inc.                                                                                                           | CUSIP: 29250NAJ4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $95446.57     | 0.00%             | 2044-06-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                     | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1090000 | PA      | $1158485.77   | 0.03%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                     | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1350000 | PA      | $1429031.89   | 0.03%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30941.95     | 0.00%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1503511.48   | 0.03%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                      | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    770000 | PA      | $793278.46    | 0.02%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                      | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1160000 | PA      | $1210177.98   | 0.03%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                      | Enel Finance International NV                                                                                            | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1155000 | PA      | $1153800.24   | 0.03%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    775000 | PA      | $764384.99    | 0.02%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    800000 | PA      | $808819.04    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                      | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    346000 | PA      | $344187.94    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    629000 | PA      | $597141.47    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    490000 | PA      | $313473.01    | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1057643.76   | 0.02%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAG9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     85000 | PA      | $85201.78     | 0.00%             | 2029-03-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    450000 | PA      | $459890.33    | 0.01%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                               | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    415000 | PA      | $250996.37    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                            | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    635000 | PA      | $640823.88    | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                     | Enterprise Fleet Financing LLC, Series 2025-2, Class A4                                                                  | CUSIP: 29375TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880000 | PA      | $2943681.41   | 0.06%             | 2031-12-22      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95733.40     | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5424.09      | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2437921.56   | 0.05%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1319625.46   | 0.03%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                               | Equinix Europe 2 Financing Corp. LLC                                                                                     | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $3020552.93   | 0.07%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Equinix Europe 2 Financing Corp. LLC                               | Equinix Europe 2 Financing Corp. LLC                                                                                     | CUSIP: 29390XAH7<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    550000 | PA      | $552036.74    | 0.01%             | 2033-03-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                      | Equinix, Inc.                                                                                                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62824.44     | 0.00%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                               | EQV Abs Issuer I LLC                                                                                                     | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |   2601769 | PA      | $2615558.72   | 0.06%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| Essex Portfolio LP                                                 | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1803902.16   | 0.04%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                       | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    524000 | PA      | $503625.21    | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Evergy Kansas Central, Inc.                                        | Evergy Kansas Central, Inc.                                                                                              | CUSIP: 30036FAD3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    120000 | PA      | $123408.60    | 0.00%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                 | Evergy Metro, Inc.                                                                                                       | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    461000 | PA      | $486301.54    | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                           | Evergy Missouri West Storm Funding I LLC, Series A-1                                                                     | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1502670 | PA      | $1565239.39   | 0.03%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    235000 | PA      | $244346.28    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152347.89    | 0.00%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                       | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1047892.67   | 0.02%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2025-5A, Class C                                                             | CUSIP: 30166VAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3446457.26   | 0.08%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2025-5A, Class D                                                             | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2898000 | PA      | $2946103.90   | 0.06%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                                                             | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $198910.90    | 0.00%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                                                             | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $303108.12    | 0.01%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                             | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6510822.40   | 0.14%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                         | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    563000 | PA      | $584158.08    | 0.01%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                         | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1569753.85   | 0.03%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                             | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29848.03     | 0.00%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                             | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49908.29     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                             | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    869000 | PA      | $866285.53    | 0.02%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                             | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40335.87     | 0.00%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAN2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $975617.75    | 0.02%             | 2045-03-06      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12812.24     | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $830222.94    | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                            | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    500000 | PA      | $557947.26    | 0.01%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4985019.50   | 0.11%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4175186.48   | 0.09%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3370000 | PA      | $3283488.06   | 0.07%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6044975.40   | 0.13%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                                         | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5950000 | PA      | $6059108.13   | 0.13%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                         | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   3064974 | PA      | $3151642.31   | 0.07%             | 2044-06-26      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                      | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    951412 | PA      | $979432.03    | 0.02%             | 2044-06-26      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2019-K101, Class B                                                                          | CUSIP: 30298YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $169606.80    | 0.00%             | 2052-10-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $544785.07    | 0.01%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1314387.15   | 0.03%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    875000 | PA      | $826118.00    | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2950000 | PA      | $2914483.21   | 0.06%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2989473.46   | 0.07%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1737414.80   | 0.04%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                                                          | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1235162 | PA      | $1228026.34   | 0.03%             | 2029-01-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2019-K100, Class B                                                                          | CUSIP: 30313PAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $169617.32    | 0.00%             | 2052-11-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2019-K96, Class C                                                                           | CUSIP: 30314DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7251000 | PA      | $7037347.83   | 0.16%             | 2056-08-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                 | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743642.23    | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31281AEA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        56 | PA      | $55.31        | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114707 | PA      | $17645.17     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157811 | PA      | $22117.70     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       810 | PA      | $815.92       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16030 | PA      | $16811.02     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       597 | PA      | $599.12       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32906 | PA      | $33157.82     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17382 | PA      | $17699.90     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5221 | PA      | $5475.59      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $307.66       | 0.00%             | 2030-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 269, Class 30                                                                                      | CUSIP: 3128HXVV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32411 | PA      | $30488.45     | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36519 | PA      | $37272.08     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JRE51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37870 | PA      | $39199.93     | 0.00%             | 2034-12-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1495 | PA      | $1544.46      | 0.00%             | 2037-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150264 | PA      | $156696.77    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183793 | PA      | $188358.51    | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128LULR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3895 | PA      | $4037.70      | 0.00%             | 2037-04-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXDY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119180 | PA      | $117662.69    | 0.00%             | 2035-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61775 | PA      | $64125.59     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6F37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3520 | PA      | $3649.27      | 0.00%             | 2038-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6PK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $850.18       | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625788 | PA      | $634592.87    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64275 | PA      | $65500.42     | 0.00%             | 2036-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NGF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3053 | PA      | $3195.57      | 0.00%             | 2037-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31353 | PA      | $32693.66     | 0.00%             | 2036-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $546.76       | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHRV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1484 | PA      | $1532.65      | 0.00%             | 2036-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $838.34       | 0.00%             | 2037-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5561 | PA      | $5808.75      | 0.00%             | 2037-03-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39065 | PA      | $40636.75     | 0.00%             | 2036-12-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NKG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1294 | PA      | $1311.18      | 0.00%             | 2037-08-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NVLN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1491 | PA      | $1537.08      | 0.00%             | 2036-05-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1254 | PA      | $1285.74      | 0.00%             | 2026-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54734 | PA      | $54227.04     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91759 | PA      | $90390.69     | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6610 | PA      | $6819.13      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QGMR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2608 | PA      | $2632.44      | 0.00%             | 2037-01-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QJ2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       839 | PA      | $864.38       | 0.00%             | 2037-04-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49147 | PA      | $50333.63     | 0.00%             | 2036-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8480 | PA      | $8715.71      | 0.00%             | 2036-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QSZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6609 | PA      | $6880.52      | 0.00%             | 2036-11-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QUAR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1566 | PA      | $1593.82      | 0.00%             | 2037-05-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15710 | PA      | $16328.47     | 0.00%             | 2036-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1002 | PA      | $1033.41      | 0.00%             | 2036-01-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4GD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1749 | PA      | $1819.88      | 0.00%             | 2037-02-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35036 | PA      | $35642.47     | 0.00%             | 2037-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128UNCE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6433 | PA      | $6727.88      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128UNCQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1004 | PA      | $1027.32      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26813 | PA      | $28119.99     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46334 | PA      | $49191.52     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141320 | PA      | $145689.76    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136900 | PA      | $141132.08    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31295NJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3515 | PA      | $3588.24      | 0.00%             | 2031-12-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55962 | PA      | $56981.23     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NHW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4149 | PA      | $4219.77      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42436 | PA      | $43577.86     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296RQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13271 | PA      | $13773.36     | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29894 | PA      | $30720.08     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1827 | PA      | $1896.09      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29869 | PA      | $30836.14     | 0.00%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25132 | PA      | $25847.22     | 0.00%             | 2036-02-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52282 | PA      | $54425.66     | 0.00%             | 2040-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 31329KV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185469 | PA      | $178525.70    | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 15 Year                                                                                                      | CUSIP: 3132A85R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84007 | PA      | $84425.49     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132AACA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115280 | PA      | $115325.65    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915511 | PA      | $896887.18    | 0.02%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4604807 | PA      | $4201607.41   | 0.09%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    906370 | PA      | $800584.09    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682022 | PA      | $624196.90    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230516 | PA      | $208979.48    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2716752 | PA      | $2402249.70   | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0FW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3005185 | PA      | $2933750.80   | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4661273 | PA      | $4111039.51   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1535410 | PA      | $1516250.20   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FPDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194649 | PA      | $193944.98    | 0.00%             | 2032-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099398 | PA      | $1114883.50   | 0.02%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126320 | PA      | $123559.80    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158555 | PA      | $157850.73    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605652 | PA      | $601592.97    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3260411 | PA      | $3246602.31   | 0.07%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBH65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47027 | PA      | $46827.74     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38081 | PA      | $37919.43     | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    837726 | PA      | $783262.79    | 0.02%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465195 | PA      | $368322.96    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 323, Class 300                                                                                     | CUSIP: 3132HTZ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661837 | PA      | $619352.61    | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WVVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441914 | PA      | $393688.30    | 0.01%             | 2037-06-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XGQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398114 | PA      | $397879.70    | 0.01%             | 2029-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHA38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8076591.28   | 0.18%             | 2032-07-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XJN71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1225000 | PA      | $1249918.12   | 0.03%             | 2033-12-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31335APS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133623 | PA      | $135001.37    | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121630 | PA      | $127228.80    | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17231 | PA      | $18086.63     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10325 | PA      | $10694.32     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14647 | PA      | $15378.25     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42578 | PA      | $44403.07     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31709 | PA      | $34786.46     | 0.00%             | 2032-02-15      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28742 | PA      | $30173.03     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2396, Class FM                                                                                      | CUSIP: 31339LJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6521 | PA      | $6521.27      | 0.00%             | 2031-12-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29618 | PA      | $30910.59     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38109 | PA      | $40051.86     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11383 | PA      | $898.18       | 0.00%             | 2032-02-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28949 | PA      | $31521.88     | 0.00%             | 2032-02-15      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32082 | PA      | $33680.35     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70992 | PA      | $74785.27     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36633 | PA      | $38410.64     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29631 | PA      | $31225.03     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133ABEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222072 | PA      | $195068.15    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133B5ED0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240634 | PA      | $211266.69    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133BCYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3750084 | PA      | $3404740.83   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133BMM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1047122 | PA      | $1058125.62   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7481518 | PA      | $6224859.27   | 0.14%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4704452 | PA      | $4103158.95   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3334606 | PA      | $3017849.90   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3133LWAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1939531 | PA      | $1778342.67   | 0.04%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86 | PA      | $85.56        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1442 | PA      | $1447.82      | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $68.00        | 0.00%             | 2027-02-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1209 | PA      | $1215.92      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       419 | PA      | $423.25       | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $313.11       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2245 | PA      | $2264.91      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4377 | PA      | $4418.55      | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6541 | PA      | $6642.91      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4274 | PA      | $184.59       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2043, Class CJ                                                                                      | CUSIP: 3133TDML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1494 | PA      | $1516.45      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3671 | PA      | $3713.48      | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15224 | PA      | $15478.61     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17113 | PA      | $17350.47     | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3200 | PA      | $3255.01      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7527 | PA      | $353.44       | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20378 | PA      | $20746.29     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9280 | PA      | $9451.16      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1658 | PA      | $1861.77      | 0.00%             | 2029-03-15      | Floating      | 14.10%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2136, Class PG                                                                                      | CUSIP: 3133TKA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8788 | PA      | $8961.84      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1813 | PA      | $73.79        | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24365 | PA      | $25133.79     | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2056 | PA      | $100.53       | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21772 | PA      | $22470.06     | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19636 | PA      | $19882.30     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3444 | PA      | $3520.06      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8057 | PA      | $8387.74      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19936 | PA      | $20785.89     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4881 | PA      | $5069.30      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9617 | PA      | $9980.29      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10110 | PA      | $10558.18     | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12115 | PA      | $12627.46     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7915 | PA      | $8257.93      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2258 | PA      | $2375.95      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22067 | PA      | $22827.04     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23569 | PA      | $24612.41     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14676 | PA      | $15322.29     | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2319, Class FD                                                                                      | CUSIP: 3133TT4F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       954 | PA      | $958.07       | 0.00%             | 2031-05-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5564 | PA      | $5693.98      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11804 | PA      | $12336.14     | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2353, Class AZ                                                                                      | CUSIP: 3133TUYS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60980 | PA      | $62931.09     | 0.00%             | 2031-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36010 | PA      | $38745.49     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12436 | PA      | $12716.90     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38334 | PA      | $40360.90     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                               | FHLB                                                                                                                     | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |     30000 | PA      | $33573.84     | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31346AGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1964 | PA      | $1974.01      | 0.00%             | 2030-11-01      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39443 | PA      | $40400.73     | 0.00%             | 2033-12-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29101 | PA      | $30253.78     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50188 | PA      | $52288.42     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3018 | PA      | $338.22       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       303 | PA      | $305.27       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       847 | PA      | $853.02       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4784 | PA      | $4818.02      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $12.84        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2127 | PA      | $67.39        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28089 | PA      | $2665.10      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2859 | PA      | $2987.35      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4329 | PA      | $4367.76      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3444 | PA      | $3492.42      | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3370 | PA      | $3414.64      | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16483 | PA      | $17128.67     | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1062 | PA      | $1053.00      | 0.00%             | 2027-09-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21546 | PA      | $21542.87     | 0.00%             | 2041-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106853 | PA      | $114612.55    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-130, Class CA                                                                                   | CUSIP: 3136A2B85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313192 | PA      | $333742.38    | 0.01%             | 2041-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2012-66, Class CB                                                                                    | CUSIP: 3136A6ZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455369 | PA      | $1424135.82   | 0.03%             | 2032-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2012-83, Class AC                                                                                    | CUSIP: 3136A7ZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192000 | PA      | $179093.28    | 0.00%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2012-98, Class KY                                                                                    | CUSIP: 3136A8DA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316722 | PA      | $315094.94    | 0.01%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-2, Class AD                                                                                     | CUSIP: 3136AB5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125512 | PA      | $116687.76    | 0.00%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-6, Class PY                                                                                     | CUSIP: 3136ABQ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97000 | PA      | $67410.45     | 0.00%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-90, Class PM                                                                                    | CUSIP: 3136AF6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694000 | PA      | $1610073.82   | 0.04%             | 2043-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282813 | PA      | $280554.35    | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class E                                                                                    | CUSIP: 3136AGA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1433824 | PA      | $1400597.43   | 0.03%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class AE                                                                                   | CUSIP: 3136AGC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500578 | PA      | $1465477.17   | 0.03%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375560 | PA      | $298036.71    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-108, Class GU                                                                                   | CUSIP: 3136AGMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1762422 | PA      | $1716925.00   | 0.04%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-104, Class CY                                                                                   | CUSIP: 3136AGSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $261219.78    | 0.01%             | 2043-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668792 | PA      | $500826.51    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687294 | PA      | $532877.27    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3905192 | PA      | $3877443.20   | 0.09%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4803262 | PA      | $4739011.02   | 0.10%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686255 | PA      | $678973.08    | 0.01%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2539321 | PA      | $2517677.59   | 0.06%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1491462 | PA      | $1466526.79   | 0.03%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2017-49, Class LA                                                                                    | CUSIP: 3136AXKG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99137 | PA      | $97822.21     | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2018-3, Class LP                                                                                     | CUSIP: 3136B0VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160116 | PA      | $155059.72    | 0.00%             | 2047-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M14, Class A2                                                                                     | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199877 | PA      | $199503.45    | 0.00%             | 2028-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2030654 | PA      | $2016843.93   | 0.04%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3066066 | PA      | $3046860.07   | 0.07%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2018-47, Class VC                                                                                    | CUSIP: 3136B2PM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376840 | PA      | $372270.29    | 0.01%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2019-25, Class PA                                                                                    | CUSIP: 3136B4B64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96806 | PA      | $92188.44     | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2019-60, Class DA                                                                                    | CUSIP: 3136B6VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213010 | PA      | $195166.96    | 0.00%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2020-46, Class KB                                                                                    | CUSIP: 3136BAYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7664130 | PA      | $6123133.59   | 0.14%             | 2050-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056465 | PA      | $1022423.06   | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17196197 | PA      | $557485.22    | 0.01%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2516897 | PA      | $149967.57    | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2021-95, Class GA                                                                                    | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7370332 | PA      | $6273911.08   | 0.14%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5675000 | PA      | $5129816.37   | 0.11%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6802000 | PA      | $6306691.28   | 0.14%             | 2032-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4183255 | PA      | $4138815.63   | 0.09%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3290000 | PA      | $3378117.72   | 0.07%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 318, Class 1                                                                                        | CUSIP: 3136FAFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3657 | PA      | $3424.10      | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10368 | PA      | $9442.50      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16823 | PA      | $1827.52      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 351, Class 7                                                                                        | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57453 | PA      | $5896.04      | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 355, Class 11                                                                                       | CUSIP: 3136FCNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54216 | PA      | $6088.63      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42602 | PA      | $6323.45      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81726 | PA      | $14079.81     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 32                                                                                       | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21401 | PA      | $3670.87      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55631 | PA      | $9623.47      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12199 | PA      | $1027.86      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2529 | PA      | $2592.10      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7798 | PA      | $7932.97      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31371HM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6722 | PA      | $6842.37      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31371LG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9417 | PA      | $9540.59      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31371M4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1725 | PA      | $1817.20      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $158.28       | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1851 | PA      | $1950.78      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       472 | PA      | $489.88       | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $693.25       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1151 | PA      | $1179.21      | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1133.92      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56286 | PA      | $60576.74     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       592 | PA      | $587.87       | 0.00%             | 2029-03-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374T3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2482 | PA      | $2525.29      | 0.00%             | 2029-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317495 | PA      | $336965.05    | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3844, Class DB                                                                                      | CUSIP: 3137A8Y28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32357 | PA      | $32870.35     | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50470 | PA      | $48906.51     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163429 | PA      | $162704.32    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3871, Class JB                                                                                      | CUSIP: 3137AC7C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20168 | PA      | $21134.07     | 0.00%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220296 | PA      | $227027.23    | 0.01%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3924, Class LC                                                                                      | CUSIP: 3137AF7B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179139 | PA      | $177187.14    | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3925, Class FL                                                                                      | CUSIP: 3137AFGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8717 | PA      | $8714.96      | 0.00%             | 2041-01-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59332 | PA      | $59075.53     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150901 | PA      | $150797.02    | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154836 | PA      | $153227.57    | 0.00%             | 2037-07-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2099125.59   | 0.05%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4240, Class B                                                                                       | CUSIP: 3137B3TZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1689298 | PA      | $1648317.17   | 0.04%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4251, Class KW                                                                                      | CUSIP: 3137B4KB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475124 | PA      | $469287.65    | 0.01%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4476, Class CM                                                                                      | CUSIP: 3137BJ4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198272 | PA      | $196356.96    | 0.00%             | 2036-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KS06, Class A2                                          | CUSIP: 3137BS5N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101175 | PA      | $100772.55    | 0.00%             | 2026-07-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2                                          | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2467000 | PA      | $2451625.90   | 0.05%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4701, Class CH                                                                                      | CUSIP: 3137F1JF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78565 | PA      | $76781.27     | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1748000 | PA      | $1736058.01   | 0.04%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class AM                                          | CUSIP: 3137FCJL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153000 | PA      | $151956.22    | 0.00%             | 2027-12-25      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4865, Class PE                                                                                      | CUSIP: 3137FL5Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168799 | PA      | $164282.35    | 0.00%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4902, Class BA                                                                                      | CUSIP: 3137FMZR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204179 | PA      | $191836.81    | 0.00%             | 2049-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4928, Class PB                                                                                      | CUSIP: 3137FPVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328713 | PA      | $310839.14    | 0.01%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K117, Class A2                                          | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $452758.15    | 0.01%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850000 | PA      | $1649267.23   | 0.04%             | 2055-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class A2                                          | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555000 | PA      | $510269.00    | 0.01%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $3962275.80   | 0.09%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2                                         | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1005000 | PA      | $989103.41    | 0.02%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class AM                                          | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740000 | PA      | $1818705.07   | 0.04%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31380XQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5323 | PA      | $5455.01      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2057 | PA      | $2107.47      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2164880 | PA      | $2165300.82   | 0.05%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101169 | PA      | $102443.48    | 0.00%             | 2033-01-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387AW68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3442 | PA      | $3497.34      | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10997 | PA      | $11402.63     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31389DS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51456 | PA      | $52725.43     | 0.00%             | 2031-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80755 | PA      | $83888.86     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421070 | PA      | $426517.63    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5JC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76940 | PA      | $77661.13     | 0.00%             | 2028-11-01      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1982048.02   | 0.04%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2539020 | PA      | $2480343.26   | 0.05%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7745672.56   | 0.17%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L94G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1940379 | PA      | $1869173.69   | 0.04%             | 2035-06-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1557201 | PA      | $1537407.33   | 0.03%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6767827 | PA      | $6600497.18   | 0.15%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771002 | PA      | $1716920.44   | 0.04%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4250831 | PA      | $4198725.27   | 0.09%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3403691 | PA      | $3301688.33   | 0.07%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6926924 | PA      | $6399194.30   | 0.14%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LC7C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252602 | PA      | $251881.26    | 0.01%             | 2026-03-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206273 | PA      | $200464.85    | 0.00%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LHQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275092 | PA      | $271793.63    | 0.01%             | 2029-03-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LJD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188373 | PA      | $184726.46    | 0.00%             | 2029-07-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $2914859.75   | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192792 | PA      | $191291.31    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300423 | PA      | $298084.91    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138M1MU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235808 | PA      | $228437.45    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93212 | PA      | $92759.04     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52569 | PA      | $52320.96     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189858 | PA      | $186439.11    | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599459 | PA      | $564820.76    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WCQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41061 | PA      | $40711.43     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437430 | PA      | $429210.06    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281445 | PA      | $275653.04    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WRUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246671 | PA      | $243038.62    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218869 | PA      | $216328.51    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1173716 | PA      | $1105660.81   | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31390MLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1886 | PA      | $1925.53      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2711 | PA      | $2728.88      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       655 | PA      | $671.61       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9867 | PA      | $10111.40     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5276 | PA      | $5514.78      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10061 | PA      | $10602.69     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58361 | PA      | $61186.77     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21376 | PA      | $22035.63     | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27393 | PA      | $28594.09     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8728 | PA      | $9127.88      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9927 | PA      | $10221.14     | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87963 | PA      | $91719.04     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37790 | PA      | $634.88       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $654.20       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1256 | PA      | $1347.85      | 0.00%             | 2031-12-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-11, Class QF                                                                                    | CUSIP: 31392BU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       935 | PA      | $935.49       | 0.00%             | 2032-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5474 | PA      | $6499.90      | 0.00%             | 2032-02-25      | Floating      | 12.90%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57823 | PA      | $60545.01     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2343 | PA      | $2085.26      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22682 | PA      | $23793.28     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17426 | PA      | $18100.61     | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79940 | PA      | $84098.37     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-51, Class FZ                                                                                    | CUSIP: 31392DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2820 | PA      | $2822.05      | 0.00%             | 2032-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-52, Class FG                                                                                    | CUSIP: 31392EGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1710 | PA      | $1710.60      | 0.00%             | 2032-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-64, Class FE                                                                                    | CUSIP: 31392EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.55         | 0.00%             | 2032-10-18      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-68, Class FT                                                                                    | CUSIP: 31392EXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $89.44        | 0.00%             | 2032-10-18      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13982 | PA      | $14598.68     | 0.00%             | 2032-12-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                                               | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302541 | PA      | $322657.55    | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                                                 | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190658 | PA      | $192619.88    | 0.00%             | 2042-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85222 | PA      | $86256.18     | 0.00%             | 2042-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-97, Class GB                                                                                    | CUSIP: 31392HEG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3102 | PA      | $3203.45      | 0.00%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-95, Class FT                                                                                    | CUSIP: 31392HGX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       812 | PA      | $812.74       | 0.00%             | 2033-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2003-18, Class X1                                                                        | CUSIP: 31392JWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594844 | PA      | $3754.06      | 0.00%             | 2042-12-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40537 | PA      | $42622.40     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85208 | PA      | $89989.32     | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20976 | PA      | $1962.81      | 0.00%             | 2032-03-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25662 | PA      | $27278.39     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26217 | PA      | $2301.81      | 0.00%             | 2032-03-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2448, Class FT                                                                                      | CUSIP: 31392KYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6011 | PA      | $6077.60      | 0.00%             | 2032-03-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                                           | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154999 | PA      | $145700.68    | 0.00%             | 2032-07-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66604 | PA      | $70205.22     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2462, Class JG                                                                                      | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38463 | PA      | $40576.77     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2464, Class SI                                                                                      | CUSIP: 31392MWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68219 | PA      | $6445.78      | 0.00%             | 2032-02-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39203 | PA      | $41002.16     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41463 | PA      | $43752.08     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2505, Class D                                                                                       | CUSIP: 31392UBG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14335 | PA      | $14809.75     | 0.00%             | 2032-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2501, Class PW                                                                                      | CUSIP: 31392UPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6794 | PA      | $7141.04      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29062 | PA      | $30318.83     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                                           | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130729 | PA      | $134144.14    | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11136 | PA      | $1498.43      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338137 | PA      | $337463.02    | 0.01%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                                                  | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21432 | PA      | $21862.22     | 0.00%             | 2042-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93413 | PA      | $11456.37     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-35, Class UC                                                                                    | CUSIP: 31393BL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       574 | PA      | $571.02       | 0.00%             | 2033-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26995 | PA      | $26846.31     | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58253 | PA      | $61337.22     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247738 | PA      | $258281.62    | 0.01%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49690 | PA      | $52074.62     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12816 | PA      | $14590.91     | 0.00%             | 2031-10-25      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12740 | PA      | $12743.31     | 0.00%             | 2033-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W10, Class 1A4                                                                | CUSIP: 31393DTX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8005 | PA      | $8109.59      | 0.00%             | 2043-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119767 | PA      | $13430.15     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-87, Class SL                                                                                    | CUSIP: 31393E5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22220 | PA      | $22792.39     | 0.00%             | 2033-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30509 | PA      | $27886.77     | 0.00%             | 2033-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124412 | PA      | $119466.15    | 0.00%             | 2033-08-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20603 | PA      | $21841.20     | 0.00%             | 2033-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42106 | PA      | $44251.89     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83043 | PA      | $86848.87     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99896 | PA      | $103993.50    | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109372 | PA      | $114568.65    | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256213 | PA      | $268112.11    | 0.01%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717774 | PA      | $729443.51    | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                                           | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199427 | PA      | $210325.25    | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23670 | PA      | $2988.03      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53086 | PA      | $55768.53     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2631, Class SA                                                                                      | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1878 | PA      | $1994.18      | 0.00%             | 2033-06-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118036 | PA      | $10233.63     | 0.00%             | 2033-11-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39634 | PA      | $41805.07     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $732.94       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1087 | PA      | $1134.89      | 0.00%             | 2034-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-131, Class CH                                                                                   | CUSIP: 31393UZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16591 | PA      | $17206.24     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113592 | PA      | $127792.17    | 0.00%             | 2034-05-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                                        | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51425 | PA      | $53457.69     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39047 | PA      | $42931.33     | 0.00%             | 2034-04-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22952 | PA      | $24018.48     | 0.00%             | 2034-07-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62070 | PA      | $67143.24     | 0.00%             | 2034-05-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45633 | PA      | $49402.43     | 0.00%             | 2034-05-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156890 | PA      | $161856.82    | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9805 | PA      | $10220.65     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31638 | PA      | $28649.91     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80980 | PA      | $80235.28     | 0.00%             | 2044-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Whole Loan, Series 2004-W15, Class 1A1                                                                             | CUSIP: 31394BZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4893 | PA      | $5052.11      | 0.00%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136277 | PA      | $10179.50     | 0.00%             | 2035-07-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93828 | PA      | $96720.78     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43995 | PA      | $49260.36     | 0.00%             | 2035-07-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       670 | PA      | $714.86       | 0.00%             | 2035-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201863 | PA      | $208916.33    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228171 | PA      | $226260.04    | 0.00%             | 2045-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                                            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44615 | PA      | $37307.91     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19302 | PA      | $20843.68     | 0.00%             | 2033-07-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16806 | PA      | $16879.04     | 0.00%             | 2033-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109649 | PA      | $57142.49     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       540 | PA      | $540.16       | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076880 | PA      | $1121045.32   | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47643 | PA      | $48649.04     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38515 | PA      | $35075.13     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       789 | PA      | $901.11       | 0.00%             | 2033-11-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8675 | PA      | $7946.57      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71352 | PA      | $64570.27     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5618 | PA      | $5097.78      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72600 | PA      | $71862.40     | 0.00%             | 2046-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275367 | PA      | $245188.75    | 0.01%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107148 | PA      | $96430.45     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11973 | PA      | $11946.12     | 0.00%             | 2036-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48071 | PA      | $42631.66     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102742 | PA      | $85337.14     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154340 | PA      | $12456.71     | 0.00%             | 2036-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-60, Class DZ                                                                                    | CUSIP: 31395NTE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1742559 | PA      | $1853943.69   | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56                                                                                              | CUSIP: 31395NWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73681 | PA      | $66446.56     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132829 | PA      | $132239.17    | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2990, Class UZ                                                                                      | CUSIP: 31395V4P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584606 | PA      | $619171.73    | 0.01%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3004, Class EK                                                                                      | CUSIP: 31395VXP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072308 | PA      | $1120542.51   | 0.02%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3012, Class ZE                                                                                      | CUSIP: 31395WX77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40394 | PA      | $42552.96     | 0.00%             | 2035-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16462 | PA      | $14719.66     | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3047, Class OD                                                                                      | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139693 | PA      | $143892.92    | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3064, Class MC                                                                                      | CUSIP: 31396ER57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2148781 | PA      | $2241196.29   | 0.05%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3074, Class BH                                                                                      | CUSIP: 31396FM83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37689 | PA      | $38445.05     | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39808 | PA      | $40150.39     | 0.00%             | 2035-08-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class FB                                                                                      | CUSIP: 31396H5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5548 | PA      | $5543.95      | 0.00%             | 2036-01-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5619 | PA      | $6582.30      | 0.00%             | 2036-01-15      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94576 | PA      | $85520.41     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59113 | PA      | $52570.72     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14654 | PA      | $12389.53     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35189 | PA      | $38048.02     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3131, Class BK                                                                                      | CUSIP: 31396JMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $90.19        | 0.00%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71354 | PA      | $62458.20     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96944 | PA      | $100472.73    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12657 | PA      | $10705.92     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25189 | PA      | $22886.89     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52555 | PA      | $45420.91     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77630 | PA      | $76245.08     | 0.00%             | 2036-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19968 | PA      | $17960.95     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26446 | PA      | $23171.62     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17472 | PA      | $14388.53     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125826 | PA      | $111107.05    | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77188 | PA      | $68457.47     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37899 | PA      | $2042.25      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204406 | PA      | $22716.46     | 0.00%             | 2037-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-14, Class GZ                                                                                    | CUSIP: 31396PE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4437 | PA      | $4649.79      | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10905 | PA      | $11067.57     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-124, Class HB                                                                                   | CUSIP: 31396PGJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278567 | PA      | $295040.56    | 0.01%             | 2036-11-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782295 | PA      | $81222.43     | 0.00%             | 2036-08-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28981 | PA      | $29146.33     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3709 | PA      | $528.90       | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127113 | PA      | $135046.05    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139896 | PA      | $116693.12    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3152, Class MO                                                                                      | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72903 | PA      | $65304.32     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14030 | PA      | $11516.21     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7599 | PA      | $6962.81      | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16811 | PA      | $1769.19      | 0.00%             | 2036-07-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55466 | PA      | $48863.31     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-48                                                                                              | CUSIP: 31396VD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27532 | PA      | $24768.10     | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA REMIC Trust, Series 2007-42, Class AO                                                                               | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3061 | PA      | $2706.90      | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79767 | PA      | $79302.48     | 0.00%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583174 | PA      | $80368.06     | 0.00%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                                                 | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3877 | PA      | $5405.19      | 0.00%             | 2037-07-25      | Floating      | 16.49%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161275 | PA      | $10723.10     | 0.00%             | 2038-01-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71314 | PA      | $75948.76     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186403 | PA      | $12216.29     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138704 | PA      | $140054.60    | 0.00%             | 2036-06-27      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41295 | PA      | $41999.70     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21091 | PA      | $21046.53     | 0.00%             | 2037-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404512 | PA      | $34635.87     | 0.00%             | 2037-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307923 | PA      | $33396.78     | 0.00%             | 2037-10-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53176 | PA      | $5699.10      | 0.00%             | 2038-04-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100862 | PA      | $8409.82      | 0.00%             | 2038-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105746 | PA      | $9733.30      | 0.00%             | 2038-03-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44638 | PA      | $3626.33      | 0.00%             | 2038-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3211, Class SO                                                                                      | CUSIP: 31397BAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74029 | PA      | $66645.26     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51674 | PA      | $8395.06      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35067 | PA      | $29165.46     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109983 | PA      | $8691.73      | 0.00%             | 2036-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3229, Class HE                                                                                      | CUSIP: 31397BRQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.99         | 0.00%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21515 | PA      | $18324.98     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47480 | PA      | $40801.25     | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103956 | PA      | $9850.07      | 0.00%             | 2037-01-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60145 | PA      | $51846.05     | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17475 | PA      | $15513.14     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13635 | PA      | $13568.74     | 0.00%             | 2037-02-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140154 | PA      | $12201.05     | 0.00%             | 2037-03-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57736 | PA      | $61601.64     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2498 | PA      | $2289.52      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59133 | PA      | $52168.19     | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4836 | PA      | $4364.92      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                                           | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407210 | PA      | $377755.14    | 0.01%             | 2037-10-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52828 | PA      | $5420.34      | 0.00%             | 2038-07-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4173 | PA      | $3775.43      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24664 | PA      | $21630.15     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122870 | PA      | $10362.60     | 0.00%             | 2039-02-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144580 | PA      | $12889.52     | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192656 | PA      | $15096.55     | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-19, Class IP                                                                                    | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293092 | PA      | $46675.63     | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3385, Class SN                                                                                      | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22374 | PA      | $1652.36      | 0.00%             | 2037-11-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88356 | PA      | $7320.34      | 0.00%             | 2037-11-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130198 | PA      | $12915.94     | 0.00%             | 2038-01-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62065 | PA      | $65116.57     | 0.00%             | 2051-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5529 | PA      | $5991.57      | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430722 | PA      | $51306.90     | 0.00%             | 2041-01-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3422, Class AI                                                                                      | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367144 | PA      | $2725.46      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428529 | PA      | $423503.43    | 0.01%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137314 | PA      | $10518.46     | 0.00%             | 2041-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115679 | PA      | $11959.71     | 0.00%             | 2038-04-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4097 | PA      | $4370.84      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124414 | PA      | $12341.82     | 0.00%             | 2038-08-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90021 | PA      | $7613.97      | 0.00%             | 2039-02-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6600 | PA      | $6755.27      | 0.00%             | 2039-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37622 | PA      | $2983.53      | 0.00%             | 2039-12-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101321 | PA      | $105932.35    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60600 | PA      | $61055.49     | 0.00%             | 2039-12-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5030 | PA      | $539.64       | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39995 | PA      | $35583.91     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168040 | PA      | $145972.92    | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70888 | PA      | $59940.41     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17897 | PA      | $16142.95     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53695 | PA      | $47478.94     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95923 | PA      | $97212.02     | 0.00%             | 2040-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3747, Class PY                                                                                      | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481731 | PA      | $481545.50    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-80, Class HZ                                                                                    | CUSIP: 31398R2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217900 | PA      | $225960.36    | 0.00%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29323 | PA      | $29870.65     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-136, Class BA                                                                                   | CUSIP: 31398SSG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161405 | PA      | $159974.66    | 0.00%             | 2030-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78954 | PA      | $82265.45     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17043 | PA      | $17344.95     | 0.00%             | 2040-02-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31400FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7621 | PA      | $7731.95      | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4565 | PA      | $4677.63      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8394 | PA      | $8531.86      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1278 | PA      | $1287.66      | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1395 | PA      | $1406.18      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1665 | PA      | $1706.08      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26616 | PA      | $27455.85     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5264 | PA      | $5388.24      | 0.00%             | 2033-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33682 | PA      | $34007.72     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122297 | PA      | $125740.41    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31402CZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4341 | PA      | $4407.64      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67875 | PA      | $68490.46     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9940 | PA      | $10186.05     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44299 | PA      | $45362.85     | 0.00%             | 2034-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128643 | PA      | $132317.49    | 0.00%             | 2035-04-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31402RRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14005 | PA      | $14748.54     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12768 | PA      | $13100.45     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2729 | PA      | $2806.85      | 0.00%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56948 | PA      | $58037.63     | 0.00%             | 2035-06-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24280 | PA      | $24939.14     | 0.00%             | 2035-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32447 | PA      | $33590.08     | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44118 | PA      | $45349.54     | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20967 | PA      | $21163.80     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17190 | PA      | $17464.80     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22854 | PA      | $23242.68     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22006 | PA      | $22145.20     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16003 | PA      | $16353.62     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110809 | PA      | $109730.14    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10589 | PA      | $10817.28     | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16760 | PA      | $17070.45     | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404XUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5658 | PA      | $5620.01      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4451 | PA      | $4543.46      | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5675 | PA      | $5816.09      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35693 | PA      | $36566.61     | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405KZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11452 | PA      | $11568.54     | 0.00%             | 2034-09-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10124 | PA      | $10266.12     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40429 | PA      | $41379.38     | 0.00%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30593 | PA      | $31188.90     | 0.00%             | 2034-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43802 | PA      | $44830.26     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38933 | PA      | $39705.27     | 0.00%             | 2034-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94709 | PA      | $96839.24     | 0.00%             | 2034-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72655 | PA      | $75453.41     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31406MEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26225 | PA      | $26856.15     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406N4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $301.42       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406QGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9449 | PA      | $9642.31      | 0.00%             | 2035-02-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25758 | PA      | $26530.16     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28535 | PA      | $28859.56     | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28181 | PA      | $28901.74     | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31407DU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3937 | PA      | $3991.66      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31407DVH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       570 | PA      | $570.66       | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1960 | PA      | $2012.86      | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11369 | PA      | $11658.76     | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51178 | PA      | $52210.82     | 0.00%             | 2035-09-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31408AL65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15790 | PA      | $16418.63     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10604 | PA      | $10717.97     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25719 | PA      | $26302.22     | 0.00%             | 2036-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31408XSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5243 | PA      | $5411.72      | 0.00%             | 2036-01-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       410 | PA      | $422.20       | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2111 | PA      | $2199.85      | 0.00%             | 2036-03-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FQS57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148790 | PA      | $143530.71    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826898 | PA      | $775617.13    | 0.02%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2648258 | PA      | $2488498.18   | 0.05%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7062605 | PA      | $6920081.73   | 0.15%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2110674 | PA      | $1974534.33   | 0.04%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3124602 | PA      | $2639777.23   | 0.06%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2953739 | PA      | $3026895.54   | 0.07%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3836767 | PA      | $3241425.86   | 0.07%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5319699 | PA      | $4701923.44   | 0.10%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3610650 | PA      | $3467277.32   | 0.08%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6200630 | PA      | $5238473.77   | 0.12%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5315844 | PA      | $4490976.66   | 0.10%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476221 | PA      | $480040.09    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556459 | PA      | $557092.76    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264421 | PA      | $264743.11    | 0.01%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HSDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $249797.05    | 0.01%             | 2033-12-01      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3008489.22   | 0.07%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2468651 | PA      | $2276050.43   | 0.05%             | 2034-09-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5592112 | PA      | $5366264.71   | 0.12%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4188896 | PA      | $3905760.89   | 0.09%             | 2031-09-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5142629 | PA      | $4890495.26   | 0.11%             | 2029-11-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J0LU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7182211 | PA      | $6293900.94   | 0.14%             | 2032-07-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J24Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262532 | PA      | $237192.37    | 0.01%             | 2030-12-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J26Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399344 | PA      | $344212.85    | 0.01%             | 2033-01-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4252781 | PA      | $3852119.18   | 0.08%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2T89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3742789 | PA      | $3571822.64   | 0.08%             | 2027-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83287 | PA      | $82123.41     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246778 | PA      | $1251020.26   | 0.03%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15642582 | PA      | $13497692.18  | 0.30%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2586637 | PA      | $2419577.46   | 0.05%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6707426 | PA      | $5967703.51   | 0.13%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JSFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321740 | PA      | $317704.05    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406835 | PA      | $1411206.84   | 0.03%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K22K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1614495 | PA      | $1486189.46   | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5993857 | PA      | $5205750.04   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KEFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10161545 | PA      | $8902494.00   | 0.20%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5571439 | PA      | $4655306.84   | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LANH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293403 | PA      | $254207.58    | 0.01%             | 2033-01-01      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LBAW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $202340.51    | 0.00%             | 2031-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LBK36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454688 | PA      | $405851.97    | 0.01%             | 2031-02-01      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LE2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4899465 | PA      | $4175440.41   | 0.09%             | 2037-01-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3783922 | PA      | $3402563.79   | 0.08%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8624207 | PA      | $7617300.32   | 0.17%             | 2033-12-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8350000 | PA      | $7522526.77   | 0.17%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $407929.88    | 0.01%             | 2031-12-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $249941.60    | 0.01%             | 2032-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $432484.23    | 0.01%             | 2029-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2993500 | PA      | $2791975.78   | 0.06%             | 2031-09-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3790010 | PA      | $3528997.81   | 0.08%             | 2032-03-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971000 | PA      | $906700.72    | 0.02%             | 2031-09-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LG5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2155533 | PA      | $2143664.60   | 0.05%             | 2032-08-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435000 | PA      | $419197.32    | 0.01%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2775777 | PA      | $2561429.30   | 0.06%             | 2032-05-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1941676.56   | 0.04%             | 2032-09-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397184 | PA      | $388761.42    | 0.01%             | 2032-06-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7251000 | PA      | $7465477.40   | 0.16%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10120000 | PA      | $10020716.12  | 0.22%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3843584 | PA      | $3802507.62   | 0.08%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHD56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $444616.09    | 0.01%             | 2032-09-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3299913 | PA      | $3210573.49   | 0.07%             | 2032-10-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820000 | PA      | $800059.78    | 0.02%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6715000 | PA      | $6522483.84   | 0.14%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4735239 | PA      | $4702414.26   | 0.10%             | 2032-10-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5575000 | PA      | $5524841.17   | 0.12%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3983731 | PA      | $4105520.36   | 0.09%             | 2032-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2065000 | PA      | $2135959.60   | 0.05%             | 2032-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJ6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1879014 | PA      | $1946591.03   | 0.04%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5230482.60   | 0.12%             | 2030-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7867742 | PA      | $8013005.14   | 0.18%             | 2036-01-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1904000 | PA      | $1966833.10   | 0.04%             | 2032-01-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2429240 | PA      | $2489511.19   | 0.05%             | 2032-01-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972222 | PA      | $2034870.58   | 0.04%             | 2033-06-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3907344 | PA      | $4023378.75   | 0.09%             | 2033-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLNA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $3388559.36   | 0.07%             | 2033-09-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4077000 | PA      | $4363935.02   | 0.10%             | 2032-04-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4024670 | PA      | $3512350.67   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20413416 | PA      | $18501581.24  | 0.41%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1956095 | PA      | $1776063.19   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MKHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6038169 | PA      | $5482133.98   | 0.12%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1249421 | PA      | $1218691.97   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1404094 | PA      | $1437207.57   | 0.03%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N1PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1654415 | PA      | $1668999.92   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N3CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3586295 | PA      | $3626188.77   | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N4C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617785 | PA      | $1632047.11   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5427264 | PA      | $5470436.23   | 0.12%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4654745 | PA      | $4683176.31   | 0.10%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NV3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2325000 | PA      | $2378397.07   | 0.05%             | 2029-10-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NV7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4443000 | PA      | $4577276.61   | 0.10%             | 2031-08-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5179965.50   | 0.11%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NWCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4250000 | PA      | $4264188.71   | 0.09%             | 2034-09-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NWHG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3031659.27   | 0.07%             | 2034-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NWLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807977 | PA      | $832987.86    | 0.02%             | 2030-09-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NY6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5116001.75   | 0.11%             | 2032-08-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NYM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7441828 | PA      | $7686750.87   | 0.17%             | 2032-06-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q0J37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2061000 | PA      | $2204341.58   | 0.05%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q0MA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10117000 | PA      | $10283048.70  | 0.23%             | 2035-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q0MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6120000 | PA      | $6196932.99   | 0.14%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q16R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10530000 | PA      | $10589117.21  | 0.23%             | 2033-01-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q1NN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3592678 | PA      | $3734147.32   | 0.08%             | 2031-03-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q1P95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5594000 | PA      | $5787731.07   | 0.13%             | 2034-01-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q1QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3521000 | PA      | $3659103.65   | 0.08%             | 2034-01-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140Q1ZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6104440.62   | 0.13%             | 2032-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215898 | PA      | $198079.17    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3551482 | PA      | $3264778.53   | 0.07%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4705100 | PA      | $4152484.48   | 0.09%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2712677 | PA      | $2355992.97   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3470541 | PA      | $3072120.69   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4124221 | PA      | $3648400.87   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817889 | PA      | $740216.47    | 0.02%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222233 | PA      | $194036.03    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222802 | PA      | $196878.81    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3275520 | PA      | $2891028.03   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676941 | PA      | $1522640.89   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272756 | PA      | $257847.50    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9433295 | PA      | $8299775.10   | 0.18%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218844 | PA      | $192059.49    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QN3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7320848 | PA      | $6679718.29   | 0.15%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNS29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205682 | PA      | $186752.80    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3818649 | PA      | $3726808.45   | 0.08%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179871 | PA      | $169733.19    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3911961 | PA      | $3819290.94   | 0.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1565744 | PA      | $1528651.98   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23729352 | PA      | $21680700.90  | 0.48%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029172 | PA      | $1979266.30   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165629 | PA      | $168398.57    | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4268957 | PA      | $4167046.80   | 0.09%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2385953 | PA      | $2406985.71   | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W0DB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6694703 | PA      | $5905661.86   | 0.13%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W12D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7137197 | PA      | $6298677.38   | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W13T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9305917 | PA      | $8511165.44   | 0.19%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381869 | PA      | $337439.90    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7071303 | PA      | $6177857.80   | 0.14%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XF5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7808004 | PA      | $7080778.96   | 0.16%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFY47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319405 | PA      | $3254490.62   | 0.07%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781272 | PA      | $709374.03    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348940 | PA      | $318382.36    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230575 | PA      | $203652.57    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2039138 | PA      | $1860571.92   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3904833 | PA      | $3429977.62   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2592027 | PA      | $2578402.59   | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3793245 | PA      | $3444179.96   | 0.08%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3136680 | PA      | $3067228.48   | 0.07%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLF52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183785 | PA      | $187479.41    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3877340 | PA      | $3426796.51   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5198347 | PA      | $4541889.76   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7704964 | PA      | $7348795.97   | 0.16%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4080801 | PA      | $3598886.17   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XP5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3957004 | PA      | $3477843.25   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484777 | PA      | $1354754.43   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4078214 | PA      | $3728650.45   | 0.08%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410DAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $696.83       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410DVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6152 | PA      | $6381.85      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       815 | PA      | $868.33       | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2994 | PA      | $3048.41      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4017 | PA      | $4231.21      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37422 | PA      | $38557.27     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11550 | PA      | $12513.90     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37746 | PA      | $39137.07     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410GVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1804 | PA      | $1798.33      | 0.00%             | 2038-01-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410KUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2453 | PA      | $2563.03      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1983 | PA      | $2053.77      | 0.00%             | 2036-09-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410RP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34794 | PA      | $35586.38     | 0.00%             | 2036-07-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20254 | PA      | $20964.10     | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30165 | PA      | $31547.62     | 0.00%             | 2036-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31411JJW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5808 | PA      | $5982.59      | 0.00%             | 2037-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31412BTY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52857 | PA      | $54664.02     | 0.00%             | 2034-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110044 | PA      | $113943.13    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       501 | PA      | $516.88       | 0.00%             | 2037-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1870 | PA      | $1927.75      | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $2015.96      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53810 | PA      | $56643.08     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31416B4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2110 | PA      | $2176.76      | 0.00%             | 2037-05-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1085 | PA      | $1109.60      | 0.00%             | 2037-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115650 | PA      | $116728.56    | 0.00%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982980 | PA      | $994495.22    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248632 | PA      | $246696.83    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141814 | PA      | $140794.62    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755109 | PA      | $763954.83    | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418CC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48896 | PA      | $47076.08     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3758188 | PA      | $3281364.62   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473557 | PA      | $413324.43    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525515 | PA      | $475894.55    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541346 | PA      | $490783.53    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230919 | PA      | $229371.39    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418MLK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       496 | PA      | $513.92       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31902 | PA      | $34159.46     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899197 | PA      | $957757.40    | 0.02%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8331 | PA      | $8593.27      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427PGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6652019 | PA      | $6496341.77   | 0.14%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FedEx Corp.                                                        | FedEx Corp.                                                                                                              | CUSIP: 31428XBQ8<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    140000 | PA      | $111054.03    | 0.00%             | 2048-02-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GR6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6797568 | PA      | $7088156.74   | 0.16%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                          | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2383341.10   | 0.05%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                       | Fidelity National Information Services, Inc.                                                                             | CUSIP: 31620MBU9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37145.58     | 0.00%             | 2041-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    155000 | PA      | $163498.97    | 0.00%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DN7<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1202080.42   | 0.03%             | 2032-04-29      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1971054.89   | 0.04%             | 2037-01-29      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                                           | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45969 | PA      | $45374.00     | 0.00%             | 2034-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305942 | PA      | $132489.45    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788403 | PA      | $72597.03     | 0.00%             | 2037-08-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                       | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $207787.46    | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3952112.40   | 0.09%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                                         | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8487550.70   | 0.19%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2022-SFR3, Class C                                                                          | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3466000 | PA      | $3456808.17   | 0.08%             | 2038-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    395000 | PA      | $393698.98    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    375000 | PA      | $296733.95    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115949.36    | 0.00%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3190652.32   | 0.07%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                          | Florida Power & Light Co.                                                                                                | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10507.55     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                              | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    365000 | PA      | $217554.49    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                       | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    371000 | PA      | $368679.90    | 0.01%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                   | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                                               | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4320000 | PA      | $4330800.00   | 0.10%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                                           | Foundation Finance Trust, Series 2024-2A, Class A                                                                        | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150924 | PA      | $152008.96    | 0.00%             | 2050-03-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                      | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2810515 | PA      | $2501800.54   | 0.06%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M45T                                                     | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2431370 | PA      | $2413192.78   | 0.05%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                                       | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5386508 | PA      | $5022402.54   | 0.11%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2133192 | PA      | $1969798.57   | 0.04%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                                       | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4169818 | PA      | $3604636.41   | 0.08%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                       | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1721843 | PA      | $1484108.82   | 0.03%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                                                     | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65123 | PA      | $62104.48     | 0.00%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MA                                                       | CUSIP: 35563PNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4151236 | PA      | $3875365.84   | 0.09%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                                                       | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1953999 | PA      | $1699052.44   | 0.04%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                                       | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6135220 | PA      | $5586294.11   | 0.12%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                                            | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5544956 | PA      | $4900309.98   | 0.11%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                                            | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4868579 | PA      | $4241976.97   | 0.09%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                        | Seasoned Loans Structured Transaction Trust, Series 2025-2, Class A1                                                     | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10772817 | PA      | $10263856.35  | 0.23%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                        | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1                                                     | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9855372 | PA      | $9355961.04   | 0.21%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                           | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12604 | PA      | $11388.89     | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17253904 | PA      | $15235654.29  | 0.34%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420053 | PA      | $385515.26    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519296 | PA      | $493329.48    | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10387215 | PA      | $9172165.73   | 0.20%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15110317 | PA      | $13884506.75  | 0.31%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7337728 | PA      | $7120603.87   | 0.16%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2248026 | PA      | $2070051.64   | 0.05%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4272921 | PA      | $3776597.06   | 0.08%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10799376 | PA      | $10503166.95  | 0.23%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7206157 | PA      | $6369911.76   | 0.14%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5119715 | PA      | $4713959.77   | 0.10%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10135040 | PA      | $9698908.68   | 0.21%             | 2053-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199161 | PA      | $176123.41    | 0.00%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YKN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2778890 | PA      | $2648379.28   | 0.06%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2294152 | PA      | $2174675.41   | 0.05%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YYR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195889 | PA      | $180001.36    | 0.00%             | 2054-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33901 | PA      | $33447.80     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617F2E86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3474132 | PA      | $3436039.71   | 0.08%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2653697 | PA      | $2772258.41   | 0.06%             | 2052-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1283495 | PA      | $1313301.22   | 0.03%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1785640 | PA      | $1802203.42   | 0.04%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FLK20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4284889 | PA      | $4237904.77   | 0.09%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3786092 | PA      | $4009656.56   | 0.09%             | 2072-07-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FUPG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5236100 | PA      | $5521684.42   | 0.12%             | 2072-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302614 | PA      | $309606.83    | 0.01%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043563 | PA      | $1013665.21   | 0.02%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KFSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084506 | PA      | $1035556.38   | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662366 | PA      | $683544.54    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462126 | PA      | $479386.31    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2166930 | PA      | $1988701.27   | 0.04%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2171217 | PA      | $1992708.52   | 0.04%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2488535 | PA      | $2610027.35   | 0.06%             | 2071-08-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4960470 | PA      | $5183428.28   | 0.11%             | 2071-10-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617WJ5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    890166 | PA      | $936876.59    | 0.02%             | 2072-08-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617X0T92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3013914 | PA      | $3138751.75   | 0.07%             | 2071-10-20      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1186263 | PA      | $1088682.53   | 0.02%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3495470 | PA      | $3240733.01   | 0.07%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4860384 | PA      | $5088643.52   | 0.11%             | 2072-02-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4017659 | PA      | $4213038.78   | 0.09%             | 2072-03-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4851076 | PA      | $5083705.02   | 0.11%             | 2072-04-20      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617Y3BB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2548829 | PA      | $2649533.32   | 0.06%             | 2072-02-20      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1974950 | PA      | $1812491.64   | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400474 | PA      | $367530.57    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616044 | PA      | $606122.53    | 0.01%             | 2045-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                          | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186204 | PA      | $183394.25    | 0.00%             | 2035-06-19      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3618BDHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055441 | PA      | $1088498.84   | 0.02%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3618N5EQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9159138 | PA      | $8408494.87   | 0.19%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3618N5MJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7780237 | PA      | $6872502.17   | 0.15%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24416 | PA      | $25103.80     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7949 | PA      | $8069.44      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       806 | PA      | $838.60       | 0.00%             | 2028-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1963 | PA      | $2001.81      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47 | PA      | $47.28        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        41 | PA      | $41.17        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39 | PA      | $39.49        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        40 | PA      | $39.73        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       533 | PA      | $539.00       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       637 | PA      | $644.32       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       352 | PA      | $355.78       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       435 | PA      | $438.21       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7235 | PA      | $7525.59      | 0.00%             | 2029-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DLE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8444 | PA      | $8783.59      | 0.00%             | 2031-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8892 | PA      | $9291.16      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DWX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16724 | PA      | $17538.26     | 0.00%             | 2033-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30036 | PA      | $30141.88     | 0.00%             | 2033-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, Other                                                                                                           | CUSIP: 36202E2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6592 | PA      | $6619.94      | 0.00%             | 2039-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262608 | PA      | $283256.30    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202FLV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2209 | PA      | $2270.74      | 0.00%             | 2037-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17452 | PA      | $18054.66     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21275 | PA      | $21967.20     | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1461 | PA      | $1489.29      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       753 | PA      | $762.09       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36212ENR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38804 | PA      | $39275.11     | 0.00%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8491 | PA      | $8671.85      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21458 | PA      | $22649.31     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62204 | PA      | $64449.43     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                                        | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179314 | PA      | $176638.52    | 0.00%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AA5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7425164 | PA      | $6464872.79   | 0.14%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2895520 | PA      | $2683861.06   | 0.06%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACLY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7036588 | PA      | $6537237.30   | 0.14%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, Other                                                                                                           | CUSIP: 3622ADXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6335101 | PA      | $6130024.19   | 0.14%             | 2065-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, Other                                                                                                           | CUSIP: 3622ADZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9054143 | PA      | $8794654.18   | 0.19%             | 2065-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620375 | PA      | $253710.93    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397160 | PA      | $343513.79    | 0.01%             | 2035-09-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300074 | PA      | $6679.71      | 0.00%             | 2035-09-25      | Variable      | 0.42%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204296 | PA      | $206807.78    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                                                       | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23323 | PA      | $23947.05     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49448 | PA      | $50209.10     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-4F, Class AP                                                                        | CUSIP: 36242DY56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2 | PA      | $2.03         | 0.00%             | 2035-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class C                                                               | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2007204 | PA      | $2020032.42   | 0.04%             | 2029-05-15      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class D                                                               | CUSIP: 36273HAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6081153.60   | 0.13%             | 2031-08-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                                                           | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5193612 | PA      | $5261225.35   | 0.12%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                                                   | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120232 | PA      | $70463.71     | 0.00%             | 2036-04-25      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                  | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    953018 | PA      | $816917.50    | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XEH5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114014.70    | 0.00%             | 2028-06-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                  | Georgia Power Co.                                                                                                        | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70795.21     | 0.00%             | 2052-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                              | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BJ1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8491.69      | 0.00%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                              | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2493000 | PA      | $1867475.06   | 0.04%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                               | Glencore Funding LLC                                                                                                     | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36483.48     | 0.00%             | 2031-09-23      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                               | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1142219.65   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    945000 | PA      | $906240.20    | 0.02%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    273000 | PA      | $254116.76    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    647000 | PA      | $582612.76    | 0.01%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    371000 | PA      | $381108.27    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3135000 | PA      | $3153470.76   | 0.07%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1551747.72   | 0.03%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class C                                                               | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2535952.25   | 0.06%             | 2031-02-18      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class C                                                               | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $193828.33    | 0.00%             | 2031-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6980000 | PA      | $7182799.01   | 0.16%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class D                                                               | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970000 | PA      | $3022544.05   | 0.07%             | 2031-06-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust                 | GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class A3                                              | CUSIP: 38013JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35350 | PA      | $35435.01     | 0.00%             | 2028-02-16      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class D                                                               | CUSIP: 38014QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2008418 | PA      | $2025270.45   | 0.04%             | 2028-06-15      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1429127.01   | 0.03%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1518000 | PA      | $1557294.93   | 0.03%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4810000 | PA      | $4965057.08   | 0.11%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1869955.33   | 0.04%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1908717.39   | 0.04%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1483000 | PA      | $1535214.56   | 0.03%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3595000 | PA      | $3582214.02   | 0.08%             | 2036-10-21      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    685000 | PA      | $769452.78    | 0.02%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29826.41     | 0.00%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    880000 | PA      | $787399.29    | 0.02%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $918389.99    | 0.02%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2033905.55   | 0.04%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    870000 | PA      | $858289.28    | 0.02%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1242754.46   | 0.03%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5030874.35   | 0.11%             | 2032-01-21      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3292999.74   | 0.07%             | 2037-01-21      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    305000 | PA      | $275577.93    | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Goodleap LLC                                                       | Goodleap LLC, Class A                                                                                                    | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   9958242 | PA      | $10207198.19  | 0.23%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                                          | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   2373816 | PA      | $2412691.11   | 0.05%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                    | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201919 | PA      | $190558.27    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                                          | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    983360 | PA      | $876744.81    | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                       | Goodman US Finance Three LLC                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $21833.30     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181979 | PA      | $14390.80     | 0.00%             | 2039-08-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126381 | PA      | $126100.02    | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35169 | PA      | $31716.75     | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20328 | PA      | $53.95        | 0.00%             | 2031-08-16      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38359 | PA      | $343.56       | 0.00%             | 2033-02-20      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120618 | PA      | $120364.43    | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83293 | PA      | $310.16       | 0.00%             | 2037-12-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170353 | PA      | $169933.25    | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142204 | PA      | $813.82       | 0.00%             | 2038-04-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-36, Class ZA                                                                                           | CUSIP: 38374D3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246110 | PA      | $246557.50    | 0.01%             | 2038-04-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class MS                                                                                            | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56976 | PA      | $4232.52      | 0.00%             | 2038-01-16      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class NS                                                                                            | CUSIP: 38374DPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189921 | PA      | $10223.17     | 0.00%             | 2038-01-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142568 | PA      | $840.27       | 0.00%             | 2033-12-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-16, Class GC                                                                                           | CUSIP: 38374FHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30593 | PA      | $30738.58     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53770 | PA      | $58811.92     | 0.00%             | 2034-04-16      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-89, Class BS                                                                                           | CUSIP: 38374JKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2430 | PA      | $2432.82      | 0.00%             | 2034-10-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-98, Class SB                                                                                           | CUSIP: 38374JN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20469 | PA      | $21845.72     | 0.00%             | 2034-11-20      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192130 | PA      | $7872.98      | 0.00%             | 2034-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448783 | PA      | $39455.93     | 0.00%             | 2035-09-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12673 | PA      | $14007.09     | 0.00%             | 2035-06-17      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-74, Class HB                                                                                           | CUSIP: 38374L5Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       557 | PA      | $555.66       | 0.00%             | 2035-09-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-74, Class HC                                                                                           | CUSIP: 38374L5Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3595 | PA      | $3587.24      | 0.00%             | 2035-09-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-58, Class NI                                                                                           | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301977 | PA      | $24733.63     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30943 | PA      | $26348.13     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64188 | PA      | $4817.50      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117885 | PA      | $7112.22      | 0.00%             | 2036-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373455 | PA      | $372615.98    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162783 | PA      | $12649.71     | 0.00%             | 2039-04-20      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91208 | PA      | $4089.96      | 0.00%             | 2039-06-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49031 | PA      | $2949.61      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46193 | PA      | $2557.16      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92147 | PA      | $4517.14      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95623 | PA      | $4503.63      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-12, Class IE                                                                                           | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213987 | PA      | $2057.21      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70095 | PA      | $1230.98      | 0.00%             | 2038-09-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H18, Class JA                                                                                          | CUSIP: 38375B7P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136767 | PA      | $136949.42    | 0.00%             | 2063-08-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H31, Class FD                                                                                          | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129018 | PA      | $128664.23    | 0.00%             | 2062-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26 | PA      | $23.63        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56 | PA      | $55.74        | 0.00%             | 2060-08-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H04, Class BA                                                                                          | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1659 | PA      | $1596.30      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H05, Class FB                                                                                          | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9769 | PA      | $9708.51      | 0.00%             | 2062-02-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121583 | PA      | $121526.06    | 0.00%             | 2063-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87676 | PA      | $87569.09     | 0.00%             | 2063-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9997 | PA      | $9606.24      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $21.93        | 0.00%             | 2062-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       414 | PA      | $415.61       | 0.00%             | 2061-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       813 | PA      | $810.30       | 0.00%             | 2060-04-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1313 | PA      | $1315.59      | 0.00%             | 2062-09-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3035 | PA      | $3036.27      | 0.00%             | 2062-07-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44291 | PA      | $44308.09     | 0.00%             | 2062-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31494 | PA      | $26207.14     | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-27, Class SA                                                                                           | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135245 | PA      | $1268.91      | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11003 | PA      | $734.56       | 0.00%             | 2037-03-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288210 | PA      | $21791.10     | 0.00%             | 2037-04-16      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30907 | PA      | $25688.71     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151556 | PA      | $833.83       | 0.00%             | 2037-04-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-40, Class SB                                                                                           | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285048 | PA      | $7635.96      | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128804 | PA      | $1033.30      | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-47, Class PH                                                                                           | CUSIP: 38375KE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078528 | PA      | $1118086.40   | 0.02%             | 2037-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76062 | PA      | $447.56       | 0.00%             | 2037-06-16      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-42, Class SB                                                                                           | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168412 | PA      | $5062.27      | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95654 | PA      | $482.66       | 0.00%             | 2037-11-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14366 | PA      | $15597.68     | 0.00%             | 2037-09-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-67, Class EI                                                                                           | CUSIP: 38375LJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484776 | PA      | $24.72        | 0.00%             | 2037-11-20      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-67, Class GI                                                                                           | CUSIP: 38375LJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454329 | PA      | $74.17        | 0.00%             | 2037-11-20      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-76, Class SA                                                                                           | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190718 | PA      | $1200.69      | 0.00%             | 2037-11-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92017 | PA      | $584.00       | 0.00%             | 2037-11-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-10, Class S                                                                                            | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101594 | PA      | $486.98       | 0.00%             | 2038-02-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-38, Class PL                                                                                           | CUSIP: 38375QGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42054 | PA      | $43072.84     | 0.00%             | 2038-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79636 | PA      | $344.33       | 0.00%             | 2038-06-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617494 | PA      | $30656.54     | 0.00%             | 2038-05-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45271 | PA      | $45393.75     | 0.00%             | 2064-01-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56481 | PA      | $56615.03     | 0.00%             | 2064-04-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35220 | PA      | $182.00       | 0.00%             | 2038-08-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-65, Class PG                                                                                           | CUSIP: 38375XZ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20946 | PA      | $20904.26     | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102865 | PA      | $5763.97      | 0.00%             | 2038-12-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104354 | PA      | $512.01       | 0.00%             | 2039-02-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45152 | PA      | $38153.52     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22072 | PA      | $283.96       | 0.00%             | 2038-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1726225 | PA      | $72157.78     | 0.00%             | 2067-03-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2017-H14, Class FV                                                                                          | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15270 | PA      | $15272.97     | 0.00%             | 2067-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210058 | PA      | $209930.74    | 0.00%             | 2065-06-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444992 | PA      | $444760.58    | 0.01%             | 2065-06-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405223 | PA      | $405001.99    | 0.01%             | 2065-07-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H23, Class FB                                                                                          | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344549 | PA      | $344715.28    | 0.01%             | 2065-09-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235305 | PA      | $235907.41    | 0.01%             | 2065-12-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66136 | PA      | $56711.72     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-31, Class NO                                                                                           | CUSIP: 38376XM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330260 | PA      | $289902.79    | 0.01%             | 2040-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49342 | PA      | $52813.54     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361296 | PA      | $316176.33    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134291 | PA      | $138355.33    | 0.00%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244409 | PA      | $16472.21     | 0.00%             | 2041-05-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124032 | PA      | $120308.20    | 0.00%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-96, Class QJ                                                                                           | CUSIP: 38378HBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113000 | PA      | $84162.48     | 0.00%             | 2042-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397904 | PA      | $411250.51    | 0.01%             | 2040-06-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753528 | PA      | $781523.14    | 0.02%             | 2042-11-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415205 | PA      | $406490.98    | 0.01%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-116, Class JY                                                                                          | CUSIP: 38378VB61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1266552.30   | 0.03%             | 2043-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179602 | PA      | $183009.64    | 0.00%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2018-5, Class AB                                                                                            | CUSIP: 38380UYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93168 | PA      | $86554.84     | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2018-160, Class PA                                                                                          | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435020 | PA      | $431626.58    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2021-H14, Class CF                                                                                          | CUSIP: 38382YDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4532533 | PA      | $4636913.18   | 0.10%             | 2071-09-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4950060 | PA      | $4475661.19   | 0.10%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2022-154, Class JZ                                                                                          | CUSIP: 38383YUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457330 | PA      | $1356978.54   | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2023-115, Class TS                                                                                          | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3742012 | PA      | $3928675.99   | 0.09%             | 2053-06-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600266 | PA      | $3582710.02   | 0.08%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2025-6, Class A                                                                                             | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5322673 | PA      | $5158800.08   | 0.11%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                  | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6448.57      | 0.00%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                                | Graphic Packaging International LLC                                                                                      | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   1246000 | PA      | $1240986.67   | 0.03%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Great-West Lifeco Finance Delaware LP                              | Great-West Lifeco Finance Delaware LP                                                                                    | CUSIP: 391382AB4<br>LEI: 549300604SRFDFB35F35 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16665.03     | 0.00%             | 2047-06-03      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                       | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    208000 | PA      | $174986.82    | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    650000 | PA      | $619689.05    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    725000 | PA      | $707093.50    | 0.02%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    589000 | PA      | $406578.36    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    651000 | PA      | $620319.15    | 0.01%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1147119.98   | 0.03%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1233850.76   | 0.03%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1076207.86   | 0.02%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1332742.78   | 0.03%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1872168.65   | 0.04%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $597183.19    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Healthpeak OP LLC                                                  | Healthpeak OP LLC                                                                                                        | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    772000 | PA      | $756694.59    | 0.02%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $1067705.17   | 0.02%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1178610.69   | 0.03%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    815000 | PA      | $779286.84    | 0.02%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $773020.61    | 0.02%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2375000 | PA      | $2461999.96   | 0.05%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1165000 | PA      | $1202077.86   | 0.03%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $937548.96    | 0.02%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1655000 | PA      | $1673962.26   | 0.04%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2020150.26   | 0.04%             | 2036-11-06      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                   | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1065050.60   | 0.02%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                          | HINNT LLC, Series 2024-A, Class B                                                                                        | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912628 | PA      | $1955629.25   | 0.04%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                    | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $489943.48    | 0.01%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group, Inc. (The)                                | Hanover Insurance Group, Inc. (The)                                                                                      | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |    500000 | PA      | $461988.69    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10095.81     | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group, Inc. (The)                               | Hartford Insurance Group, Inc. (The)                                                                                     | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    420000 | PA      | $371598.87    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                   | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $397096.52    | 0.01%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2016-2A, Class A                                                                              | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12820 | PA      | $12477.26     | 0.00%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205652 | PA      | $195021.79    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                       | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    527414 | PA      | $500444.91    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    539860 | PA      | $522402.86    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                       | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     56678 | PA      | $55990.00     | 0.00%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                       | Hilton Grand Vacations Trust, Series 2022-1D, Class A                                                                    | CUSIP: 43283BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26407 | PA      | $26320.53     | 0.00%             | 2034-06-20      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                       | Hilton Grand Vacations Trust, Series 2024-2A, Class B                                                                    | CUSIP: 43283JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67535 | PA      | $68950.81     | 0.00%             | 2038-03-25      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                       | Hilton Grand Vacations Trust, Series 2024-1B, Class A                                                                    | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49097 | PA      | $50288.15     | 0.00%             | 2039-09-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                       | Hilton Grand Vacations Trust, Series 2025-2A, Class A                                                                    | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5304176 | PA      | $5347560.77   | 0.12%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                             | Home Depot, Inc. (The)                                                                                                   | CUSIP: 437076BH4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129133.53    | 0.00%             | 2046-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                        | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1112835.25   | 0.02%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                           | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                                                        | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6646539 | PA      | $6698870.73   | 0.15%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    355000 | PA      | $351883.49    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    530000 | PA      | $516745.27    | 0.01%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    805000 | PA      | $773614.49    | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    775000 | PA      | $769194.09    | 0.02%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Capital LLC                                       | Identity Digital Capital LLC                                                                                             | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5080500.00   | 0.11%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Impac CMB Trust                                                    | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47689 | PA      | $46780.75     | 0.00%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                               | Impac Secured Assets CMN Owner Trust, Series 2003-3, Class A1                                                            | CUSIP: 45254TNG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5796 | PA      | $5780.93      | 0.00%             | 2033-08-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                         | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40720 | PA      | $39025.56     | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    705000 | PA      | $703664.34    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    361000 | PA      | $364908.24    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    580000 | PA      | $419894.58    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $910025.12    | 0.02%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    590000 | PA      | $560346.96    | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                           | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3191729.91   | 0.07%             | 2030-11-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                     | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    480000 | PA      | $485834.32    | 0.01%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                     | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AW4<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    765000 | PA      | $734625.81    | 0.02%             | 2054-09-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                             | Invitation Homes Trust, Series 2024-SFR1, Class A                                                                        | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199500 | PA      | $198001.40    | 0.00%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                             | Invitation Homes Trust, Series 2024-SFR1, Class D                                                                        | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3525000 | PA      | $3446673.80   | 0.08%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    940000 | PA      | $907742.86    | 0.02%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    505000 | PA      | $480562.62    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1584564.05   | 0.03%             | 2027-09-22      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1305000 | PA      | $1244653.80   | 0.03%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1240000 | PA      | $1310246.00   | 0.03%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68809 | PA      | $70104.81     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47714 | PA      | $47616.50     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13065 | PA      | $13018.24     | 0.00%             | 2034-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Jackson Financial, Inc.                                            | Jackson Financial, Inc.                                                                                                  | CUSIP: 46817MAN7<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     85000 | PA      | $57474.73     | 0.00%             | 2051-11-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                               | Jackson National Life Global Funding                                                                                     | CUSIP: 46849LSQ5<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39926.71     | 0.00%             | 2026-04-29      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 472140AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    545000 | PA      | $577847.96    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 472140AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1345000 | PA      | $1389625.76   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1725000 | PA      | $1770177.06   | 0.04%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 472140AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1840000 | PA      | $1872862.40   | 0.04%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV                                                             | JBS NV                                                                                                                   | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1347000 | PA      | $1501723.16   | 0.03%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                    | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    771000 | PA      | $790622.81    | 0.02%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                   | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10973.28     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                   | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    460000 | PA      | $472445.69    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                             | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   1136472 | PA      | $1158978.86   | 0.03%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                            | Jonah Energy ABS LLC, Series 2025-1A, Class A1                                                                           | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   2519416 | PA      | $2552923.93   | 0.06%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                   | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  81626535 | NS      | $81659185.88  | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                                       | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   1890000 | PA      | $2082305.59   | 0.05%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                                       | KBC Group NV                                                                                                             | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    200000 | PA      | $205119.58    | 0.00%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                                       | KBC Group NV                                                                                                             | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   4679000 | PA      | $4714935.38   | 0.10%             | 2031-09-23      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547981 | PA      | $8778.11      | 0.00%             | 2038-08-25      | Variable      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                                          | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    600000 | PA      | $426057.50    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                          | KLA Corp.                                                                                                                | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    135000 | PA      | $125082.06    | 0.00%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477846 | PA      | $12287.32     | 0.00%             | 2039-03-25      | Variable      | 1.59%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378136 | PA      | $36716.63     | 0.00%             | 2041-07-25      | Variable      | 3.36%                 | Yes           |                  3 | On Loan: No      |
| Evergy Metro, Inc.                                                 | Evergy Metro, Inc.                                                                                                       | CUSIP: 485134BM1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35396.63     | 0.00%             | 2041-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                            | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1621000 | PA      | $1662920.99   | 0.04%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                            | KeyCorp                                                                                                                  | CUSIP: 49326EER0<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1054248.92   | 0.02%             | 2037-01-28      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Kimco Realty OP LLC                                                | Kimco Realty OP LLC                                                                                                      | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    160000 | PA      | $154210.09    | 0.00%             | 2028-03-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1758744.56   | 0.04%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13474.72     | 0.00%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3129000 | PA      | $2568280.67   | 0.06%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2007385.28   | 0.04%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    850000 | PA      | $778596.16    | 0.02%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1793017.53   | 0.04%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1048013.32   | 0.02%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    510000 | PA      | $518557.01    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    440000 | PA      | $425349.47    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                           | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998000 | PA      | $942799.82    | 0.02%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                               | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                                         | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $3073650.41   | 0.07%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54961.47     | 0.00%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1102000 | PA      | $1161010.08   | 0.03%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1184093.62   | 0.03%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lending Funding Trust                                              | Lending Funding Trust, Series 2020-2A, Class C                                                                           | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1777977.66   | 0.04%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Eni USA, Inc.                                                      | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15809.35     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172669 | PA      | $106377.70    | 0.00%             | 2036-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414352 | PA      | $96288.54     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    465000 | PA      | $422429.61    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    630000 | PA      | $668931.91    | 0.01%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAN5<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1456577.86   | 0.03%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                            | Lendingpoint Asset Securitization Trust, Series 2022-B, Class B                                                          | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586051 | PA      | $585983.06    | 0.01%             | 2029-10-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Liberty Mutual Insurance Co.                                       | Liberty Mutual Insurance Co.                                                                                             | CUSIP: 53079QAC1<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15315.34     | 0.00%             | 2026-10-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                    | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    960000 | PA      | $901691.61    | 0.02%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $478838.35    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $975321.65    | 0.02%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1240000 | PA      | $1313959.04   | 0.03%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1140000 | PA      | $1154049.03   | 0.03%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2800000 | PA      | $2784035.13   | 0.06%             | 2036-11-04      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                              | Lockheed Martin Corp.                                                                                                    | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9973.29      | 0.00%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                              | Lockheed Martin Corp.                                                                                                    | CUSIP: 539830BQ1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     35000 | PA      | $22796.29     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                         | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    380000 | PA      | $415543.38    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                  | Lowe's Cos., Inc.                                                                                                        | CUSIP: 548661DQ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104639.30    | 0.00%             | 2047-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp.                                                     | M&T Bank Corp.                                                                                                           | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $2313320.73   | 0.05%             | 2031-07-08      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2003-12, Class 30                                                               | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1332 | PA      | $297.15       | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                                                | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5595 | PA      | $4422.29      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                               | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   1591294 | PA      | $1644108.93   | 0.04%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| MMAF Equipment Finance LLC                                         | MMAF Equipment Finance LLC, Series 2024-A, Class A4                                                                      | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206100 | PA      | $1253548.46   | 0.03%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7422.89      | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    520000 | PA      | $446524.68    | 0.01%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                           | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                                                      | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1824500.00   | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                           | MRCD MARK Mortgage Trust, Series 2019-PARK, Class D                                                                      | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2685000 | PA      | $2148000.00   | 0.05%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2025-2A, Class B                                                                                         | CUSIP: 55389RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6881388 | PA      | $6928556.25   | 0.15%             | 2044-10-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2025-2A, Class C                                                                                         | CUSIP: 55389RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3674852 | PA      | $3701953.57   | 0.08%             | 2044-10-20      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2019-2A, Class B                                                                                         | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441468 | PA      | $440764.64    | 0.01%             | 2038-10-20      | Fixed         | 2.44%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    575000 | PA      | $530383.13    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    115000 | PA      | $105765.06    | 0.00%             | 2032-06-23      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAK4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     30000 | PA      | $29810.42     | 0.00%             | 2028-11-28      | Variable      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     70000 | PA      | $64071.52     | 0.00%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                 | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   4613000 | PA      | $4713399.92   | 0.10%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                 | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $711715.71    | 0.02%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Manulife Financial Corp.                                           | Manulife Financial Corp.                                                                                                 | CUSIP: 56501RAE6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $29916.44     | 0.00%             | 2032-02-24      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                           | Marathon Petroleum Corp.                                                                                                 | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     65000 | PA      | $57425.84     | 0.00%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                     | Mariner Finance Issuance Trust, Series 2024-AA, Class A                                                                  | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $253428.75    | 0.01%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Markel Group, Inc.                                                 | Markel Group, Inc.                                                                                                       | CUSIP: 570535AT1<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18013.77     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                         | Mars, Inc.                                                                                                               | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93191.62     | 0.00%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                         | Mars, Inc.                                                                                                               | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2335000 | PA      | $2389601.73   | 0.05%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                           | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1313213.49   | 0.03%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                           | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AP9<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1421196.76   | 0.03%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                           | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   4818000 | PA      | $5015706.00   | 0.11%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    620000 | PA      | $686346.63    | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    215000 | PA      | $194925.48    | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                         | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AS9<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15895.41     | 0.00%             | 2039-11-15      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                                          | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21517 | PA      | $20755.66     | 0.00%             | 2034-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41928 | PA      | $41384.85     | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                                         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99498 | PA      | $99114.36     | 0.00%             | 2034-11-21      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31158 | PA      | $30723.11     | 0.00%             | 2034-12-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-3, Class 1A1                                                                   | CUSIP: 576434DT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24105 | PA      | $25036.84     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97519 | PA      | $93650.64     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62670 | PA      | $64754.89     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-4, Class 10A1                                                                  | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30238 | PA      | $10191.48     | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126991 | PA      | $126247.60    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 30                                                                    | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82746 | PA      | $66311.58     | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35427 | PA      | $25307.17     | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259 | PA      | $257.82       | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                       | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35607 | PA      | $26993.24     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127 | PA      | $126.05       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR Reperforming Loan Trust                                      | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998607 | PA      | $467355.30    | 0.01%             | 2035-05-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Mayo Clinic                                                        | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    225000 | PA      | $189723.48    | 0.00%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MEC4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      8000 | PA      | $9034.79      | 0.00%             | 2037-10-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61272.09     | 0.00%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MFW9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1045476.66   | 0.02%             | 2053-08-14      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Memorial Health Services                                           | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1003423.52   | 0.02%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                             | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    200000 | PA      | $167932.86    | 0.00%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Receivables Trust                               | Mercedes-Benz Auto Receivables Trust, Series 2023-1, Class A3                                                            | CUSIP: 58770AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20942 | PA      | $20980.66     | 0.00%             | 2027-11-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                  | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    860000 | PA      | $700258.79    | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                  | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    965000 | PA      | $572317.88    | 0.01%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4220000 | PA      | $4232077.22   | 0.09%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                                                      | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9060000 | PA      | $9097513.84   | 0.20%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class B                                                      | CUSIP: 58940BBL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180000 | PA      | $1184592.32   | 0.03%             | 2032-02-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42523 | PA      | $41937.58     | 0.00%             | 2028-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11725 | PA      | $11104.84     | 0.00%             | 2028-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31312 | PA      | $29301.18     | 0.00%             | 2029-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A3                                                          | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2595 | PA      | $2384.43      | 0.00%             | 2029-05-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50092 | PA      | $47092.51     | 0.00%             | 2034-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                      | MetLife, Inc.                                                                                                            | CUSIP: 59156RCC0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27071.28     | 0.00%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                    | Microsoft Corp.                                                                                                          | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     26000 | PA      | $17320.94     | 0.00%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                            | Micron Technology, Inc.                                                                                                  | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $1140616.82   | 0.03%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                          | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    920000 | PA      | $920392.74    | 0.02%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                          | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26652.37     | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                          | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAY3<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    790000 | PA      | $794818.13    | 0.02%             | 2033-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                           | Mid-Atlantic Interstate Transmission LLC                                                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10032.38     | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                      | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200511 | PA      | $201934.61    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                             | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    620000 | PA      | $645979.10    | 0.01%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                                     | Midcon Energy Asset Issuer LLC                                                                                           | CUSIP: 595641AD3<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.11%             | 2051-02-27      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| MyMichigan Health                                                  | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $223412.26    | 0.00%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                                  | Mitsubishi HC Finance America LLC                                                                                        | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    445000 | PA      | $462489.82    | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    940000 | PA      | $931337.81    | 0.02%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $829971.02    | 0.02%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2220000 | PA      | $2273906.04   | 0.05%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DT8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2395000 | PA      | $2423012.16   | 0.05%             | 2037-01-14      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    720000 | PA      | $690400.41    | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1057000 | PA      | $1050726.25   | 0.02%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2725000 | PA      | $2833879.17   | 0.06%             | 2030-07-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2130000 | PA      | $2171930.50   | 0.05%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   3345000 | PA      | $3466629.18   | 0.08%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                              | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $452249.62    | 0.01%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Moody's Corp.                                                      | Moody's Corp.                                                                                                            | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     45000 | PA      | $31294.29     | 0.00%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    180000 | PA      | $181682.24    | 0.00%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1540573.69   | 0.03%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70561.64     | 0.00%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1196964.10   | 0.03%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    485000 | PA      | $423081.55    | 0.01%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145051.50    | 0.00%             | 2034-04-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1900860.11   | 0.04%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2539084.67   | 0.06%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    615000 | PA      | $632800.65    | 0.01%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    870000 | PA      | $900841.71    | 0.02%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2480000 | PA      | $2485831.37   | 0.05%             | 2031-10-22      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1706198.12   | 0.04%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3207106.99   | 0.07%             | 2037-01-30      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69705.10     | 0.00%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27684.19     | 0.00%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                           | Motorola Solutions, Inc.                                                                                                 | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    155000 | PA      | $159217.80    | 0.00%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2025-1A, Class B                                                                                         | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3579867 | PA      | $3651785.09   | 0.08%             | 2042-09-22      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                                 | NMABS Issuer LLC, Series 2025-1A, Class A                                                                                | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7020609 | PA      | $7034199.88   | 0.16%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    615000 | PA      | $615490.64    | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    795000 | PA      | $770225.33    | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2526662.50   | 0.06%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                                             | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108130 | PA      | $95396.43     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    682000 | PA      | $457396.94    | 0.01%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1108893.00   | 0.02%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $25115.88     | 0.00%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                                        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1815941 | PA      | $1799650.07   | 0.04%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                       | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    392000 | PA      | $413140.03    | 0.01%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NOV, Inc.                                                          | NOV, Inc.                                                                                                                | CUSIP: 637071AM3<br>LEI: 549300EHF3IW1AR6U008 | Long             | DBT              | CORP              | US        |    155000 | PA      | $152084.64    | 0.00%             | 2029-12-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15953.09     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    620000 | PA      | $624211.22    | 0.01%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $632594.46    | 0.01%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177713.95    | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                        | Nationwide Building Society                                                                                              | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198019.17    | 0.00%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                        | Nationwide Building Society                                                                                              | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2650000 | PA      | $2751579.35   | 0.06%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1480000 | PA      | $1480000.00   | 0.03%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205041.39    | 0.00%             | 2030-08-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2603401.10   | 0.06%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113741.34    | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26362.25     | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    305000 | PA      | $311155.93    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    560000 | PA      | $579376.59    | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153012 | PA      | $153010.29    | 0.00%             | 2033-11-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                 | New Century Home Equity Loan Trust, Series 2003-5, Class AI7                                                             | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        45 | PA      | $45.08        | 0.00%             | 2033-11-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                              | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     11000 | PA      | $8595.42      | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                                          | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   4330000 | PA      | $4340770.88   | 0.10%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                                          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   3545000 | PA      | $3587177.70   | 0.08%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                | New York State Electric & Gas Corp.                                                                                      | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10926.44     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| New York State Dormitory Authority                                 | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010D                             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    360000 | PA      | $376173.36    | 0.01%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    816561 | PA      | $805149.26    | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                              | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12948.26     | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                              | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27837.76     | 0.00%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                              | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2328601.63   | 0.05%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Nexgen, Inc.                                                       | Nexgen, Inc.                                                                                                             | CUSIP: 65346DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1519519 | PA      | $1517619.60   | 0.03%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    470000 | PA      | $479905.17    | 0.01%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $916269.71    | 0.02%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $451359.53    | 0.01%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                     | NiSource, Inc.                                                                                                           | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    765000 | PA      | $678176.08    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                              | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $654693.94    | 0.01%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                                           | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5686 | PA      | $5733.26      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                                           | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13570 | PA      | $13922.92     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32103 | PA      | $32497.93     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                             | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    730000 | PA      | $574927.71    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                             | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844CL0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     40000 | PA      | $25633.75     | 0.00%             | 2051-08-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                           | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236701.30    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Northern Trust Corp.                                               | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7919.72      | 0.00%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                             | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14844.12     | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                   | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1325578 | PA      | $1328841.08   | 0.03%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Nucor Corp.                                                        | Nucor Corp.                                                                                                              | CUSIP: 670346AU9<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $12773.82     | 0.00%             | 2055-12-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    470000 | PA      | $442348.59    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $175653.86    | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $210565.01    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MBB3<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $71571.29     | 0.00%             | 2053-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                 | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    465000 | PA      | $468465.98    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                          | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    432000 | PA      | $429902.45    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                          | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAK3<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48851.03     | 0.00%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                         | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    352000 | PA      | $309436.16    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Ohio State University (The)                                        | Ohio State University (The), General Receipts, Series 2011A                                                              | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   1563000 | PA      | $1356133.67   | 0.03%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                    | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    200000 | PA      | $193455.54    | 0.00%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                             | Oklahoma Development Finance Authority, Natural Gas Co., Series 2022                                                     | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |    575000 | PA      | $548160.38    | 0.01%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                    | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115433.44    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                      | ONE Gas, Inc.                                                                                                            | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13864.54     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                              | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                                                           | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2672871 | PA      | $2671206.37   | 0.06%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ONEOK, Inc.                                                        | ONEOK, Inc.                                                                                                              | CUSIP: 682680AV5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27353.16     | 0.00%             | 2048-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                        | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2155498.26   | 0.05%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                              | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                           | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4190117.60   | 0.09%             | 2037-07-14      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ONEOK Partners LP                                                  | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    370000 | PA      | $411300.70    | 0.01%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                             | Oportun Issuance Trust, Series 2025-B, Class B                                                                           | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011704.40   | 0.04%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                             | Oportun Issuance Trust, Series 2025-D, Class B                                                                           | CUSIP: 68379HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8375000 | PA      | $8428630.15   | 0.19%             | 2033-02-08      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9168.38      | 0.00%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7020.24      | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $3386913.71   | 0.07%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10231.14     | 0.00%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16448.35     | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $755695.43    | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    355000 | PA      | $222062.16    | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    700000 | PA      | $463368.52    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1270869.82   | 0.03%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2071505.51   | 0.05%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1291142.92   | 0.03%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1831024.96   | 0.04%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    700000 | PA      | $682116.07    | 0.02%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2825000 | PA      | $2739572.54   | 0.06%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1528031.26   | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Orange SA                                                          | Orange SA                                                                                                                | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   4100000 | PA      | $4118028.44   | 0.09%             | 2036-01-13      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| PECO Energy Co.                                                    | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    410000 | PA      | $261205.26    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    640000 | PA      | $634630.91    | 0.01%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $417323.85    | 0.01%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $761506.59    | 0.02%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                           | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    210000 | PA      | $238820.30    | 0.01%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                           | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1186045.92   | 0.03%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                           | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2503822.73   | 0.06%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                       | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    890000 | PA      | $857386.46    | 0.02%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                                          | PPL Capital Funding, Inc.                                                                                                | CUSIP: 69352PAL7<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    155000 | PA      | $154685.36    | 0.00%             | 2026-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                                          | PPL Capital Funding, Inc.                                                                                                | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    765000 | PA      | $790428.91    | 0.02%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PNM Energy Transition Bond Co. I LLC                               | PNM Energy Transition Bond Co. I LLC, Series A-2                                                                         | CUSIP: 69380MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2728026.83   | 0.06%             | 2048-08-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                         | PRET Trust, Series 2024-RPL2, Class A1                                                                                   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3439169 | PA      | $3329898.06   | 0.07%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    308000 | PA      | $239372.22    | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $425020.43    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2560000.00   | 0.06%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    695000 | PA      | $586228.49    | 0.01%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $75639.58     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1011000 | PA      | $1101520.11   | 0.02%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2405587.78   | 0.05%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    260000 | PA      | $253019.10    | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   8045000 | PA      | $8388232.20   | 0.19%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3090000 | PA      | $3292423.43   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                                     | PEAC Solutions Receivables LLC, Series 2024-1A, Class A3                                                                 | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5900000 | PA      | $6041814.76   | 0.13%             | 2030-11-20      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                         | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    266000 | PA      | $213960.13    | 0.00%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Packaging Corp. of America                                         | Packaging Corp. of America                                                                                               | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    845000 | PA      | $682325.25    | 0.02%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                 | Republic of Panama                                                                                                       | CUSIP: 698299CB8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1830000 | PA      | $1828886.81   | 0.04%             | 2034-02-23      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                              | Parker-Hannifin Corp.                                                                                                    | CUSIP: 701094AL8<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6742.24      | 0.00%             | 2047-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                              | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    592000 | PA      | $531758.48    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                              | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    158000 | PA      | $155648.75    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                              | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $59121.86     | 0.00%             | 2029-06-01      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                        | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $41170.42     | 0.00%             | 2028-05-01      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                 | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    316000 | PA      | $366157.82    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                              | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $391832.49    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                               | Perimeter Master Note Business Trust, Series 2025-1A, Class A                                                            | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   6550000 | PA      | $6590556.95   | 0.15%             | 2030-12-16      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                   | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     88000 | PA      | $87505.44     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |    677000 | PA      | $766426.48    | 0.02%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                            | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   1935000 | PA      | $1815915.63   | 0.04%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                   | PG&E Energy Recovery Funding LLC, Series A-3                                                                             | CUSIP: 71710TAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $37845.57     | 0.00%             | 2046-07-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1395171.26   | 0.03%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-2                                                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1555751.54   | 0.03%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1390698.00   | 0.03%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                    | Phillips 66 Co.                                                                                                          | CUSIP: 718547AP7<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9841.47      | 0.00%             | 2046-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                         | DOC DR LLC                                                                                                               | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $54933.41     | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                         | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $459141.84    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                      | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $962948.67    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                      | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $3957622.05   | 0.09%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Piper ABS Issuer I LLC                                             | Piper ABS Issuer LLC, Series 2025-1A, Class A1                                                                           | CUSIP: 72408KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6000000.00   | 0.13%             | 2046-01-15      | Fixed         | 5.29%                 | No            |                  3 | On Loan: No      |
| Plains All American Pipeline LP                                    | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $639887.21    | 0.01%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                 | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    921000 | PA      | $901327.44    | 0.02%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                               | Porsche Innovative Lease Owner Trust, Series 2024-1A, Class A4                                                           | CUSIP: 73328AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4230000 | PA      | $4259144.70   | 0.09%             | 2030-02-20      | Fixed         | 4.66%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1875000 | PA      | $2043469.13   | 0.05%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    440000 | PA      | $479534.09    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2060000 | PA      | $1811789.36   | 0.04%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                         | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1230665.63   | 0.03%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                            | PowerPay Issuance Trust, Series 2025-1A, Class A                                                                         | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5655268 | PA      | $5711301.81   | 0.13%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| President and Fellows of Harvard College                           | President and Fellows of Harvard College                                                                                 | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     21000 | PA      | $14798.31     | 0.00%             | 2056-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                    | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317461 | PA      | $317861.84    | 0.01%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                                    | Principal Financial Group, Inc.                                                                                          | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    838000 | PA      | $838058.95    | 0.02%             | 2028-02-15      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                   | Principal Life Global Funding II                                                                                         | CUSIP: 74256LEY1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    800000 | PA      | $820229.86    | 0.02%             | 2029-01-25      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                         | PRM7 Trust, Series 2025-PRM7, Class C                                                                                    | CUSIP: 74290HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220000 | PA      | $2228356.08   | 0.05%             | 2042-11-10      | Variable      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Progress Energy, Inc.                                              | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    300000 | PA      | $339224.08    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR1, Class A                                                                    | CUSIP: 74331QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542715 | PA      | $529350.52    | 0.01%             | 2041-02-17      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR1, Class E1                                                                   | CUSIP: 74331QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3885822.00   | 0.09%             | 2041-02-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR3, Class E2                                                                   | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2685000 | PA      | $2685666.42   | 0.06%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR3, Class A                                                                    | CUSIP: 74331VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239226 | PA      | $230128.21    | 0.01%             | 2041-06-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR5, Class A                                                                    | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247752 | PA      | $237360.03    | 0.01%             | 2029-08-09      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR5, Class D                                                                    | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1795023.84   | 0.04%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3964724.00   | 0.09%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2021-SFR6, Class E1                                                                   | CUSIP: 74333HAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3446000 | PA      | $3416033.93   | 0.08%             | 2038-07-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR3, Class B                                                                    | CUSIP: 74334BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4032602.30   | 0.09%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR6, Class C                                                                    | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3086441.92   | 0.07%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR2, Class C                                                                    | CUSIP: 74334GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7411235 | PA      | $7063569.46   | 0.16%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR4, Class A                                                                    | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358884 | PA      | $346639.11    | 0.01%             | 2041-07-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR5, Class C                                                                    | CUSIP: 74334RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1748985 | PA      | $1687402.69   | 0.04%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR5, Class D                                                                    | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2538527 | PA      | $2434996.75   | 0.05%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    905000 | PA      | $609481.23    | 0.01%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    380000 | PA      | $366262.97    | 0.01%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                         | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    300000 | PA      | $231202.85    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                     | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    214000 | PA      | $159969.47    | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2830380.66   | 0.06%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma, Series K                                                                                 | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     25000 | PA      | $16754.28     | 0.00%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    970000 | PA      | $1004716.19   | 0.02%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    343000 | PA      | $350299.85    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    317000 | PA      | $324892.71    | 0.01%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QCG9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1282896.42   | 0.03%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                              | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35879.74     | 0.00%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                 | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19274.05     | 0.00%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                 | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    715000 | PA      | $739789.37    | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                            | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                                         | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   4951163 | PA      | $5076922.30   | 0.11%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1362072.73   | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $978773.74    | 0.02%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1761663.03   | 0.04%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                            | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBB5<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23838.03     | 0.00%             | 2030-06-30      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                            | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55986.93     | 0.00%             | 2031-06-30      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                         | ROCK Trust, Series 2024-CNTR, Class A                                                                                    | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1885000 | PA      | $1950893.19   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                         | ROCK Trust, Series 2024-CNTR, Class C                                                                                    | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5242772.50   | 0.12%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1700000 | PA      | $1808128.21   | 0.04%             | 2033-01-21      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2545000 | PA      | $2622314.53   | 0.06%             | 2031-05-27      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    199000 | PA      | $171861.34    | 0.00%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    934000 | PA      | $977439.57    | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 75513ECS8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63405.08     | 0.00%             | 2053-02-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                | Realty Income Corp.                                                                                                      | CUSIP: 756109AT1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7171.63      | 0.00%             | 2047-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                | Realty Income Corp.                                                                                                      | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33584.75     | 0.00%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                    | Regeneron Pharmaceuticals, Inc.                                                                                          | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1144730.39   | 0.03%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287132 | PA      | $67984.56     | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renew                                                              | Renew, Series 2017-2A, Class A                                                                                           | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     23118 | PA      | $21435.17     | 0.00%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                              | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    291866 | PA      | $277452.15    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                              | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3806904 | PA      | $3897939.31   | 0.09%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2004-QA6, Class NB2                                                                                   | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159941 | PA      | $154074.76    | 0.00%             | 2034-12-26      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                            | Reynolds American, Inc.                                                                                                  | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    180000 | PA      | $180815.02    | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                            | Reynolds American, Inc.                                                                                                  | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    100000 | PA      | $111839.11    | 0.00%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Rio Tinto Finance USA plc                                          | Rio Tinto Finance USA plc                                                                                                | CUSIP: 76720AAS5<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    157000 | PA      | $162149.65    | 0.00%             | 2030-03-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1928298.60   | 0.04%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AD8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6990.62      | 0.00%             | 2026-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22700.03     | 0.00%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2011263.95   | 0.04%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $702509.62    | 0.02%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6240000 | PA      | $6292476.03   | 0.14%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $928689.12    | 0.02%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1820000 | PA      | $1856643.39   | 0.04%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                      | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                                                    | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6926156 | PA      | $6972450.31   | 0.15%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                                                      | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $204162.74    | 0.00%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2024-1A, Class B                                                                       | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2370229.86   | 0.05%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2023-1A, Class C                                                                       | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3815000 | PA      | $3984603.84   | 0.09%             | 2033-08-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                           | SCE Recovery Funding LLC, Series A-1                                                                                     | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1055245 | PA      | $1063496.55   | 0.02%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                           | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $496213.74    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                           | SCE Recovery Funding LLC                                                                                                 | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1519914.43   | 0.03%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2025-1A, Class A3                                                                      | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3595687.55   | 0.08%             | 2033-11-21      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2025-2A, Class C                                                                       | CUSIP: 78439XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4460000 | PA      | $4555664.77   | 0.10%             | 2036-06-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2025-2A, Class D                                                                       | CUSIP: 78439XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2705000 | PA      | $2757945.51   | 0.06%             | 2036-06-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                   | SLG Office Trust, Series 2021-OVA, Class A                                                                               | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4355000 | PA      | $3971298.81   | 0.09%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                           | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    977000 | PA      | $901376.53    | 0.02%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                           | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63982.30     | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.             | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                                         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       550 | PA      | $547.06       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.             | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                                        | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      7616 | PA      | $7360.55      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    379000 | PA      | $319761.83    | 0.01%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $687764.16    | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71344.77     | 0.00%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2100000 | PA      | $2190958.64   | 0.05%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1290000 | PA      | $1315017.40   | 0.03%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3300000 | PA      | $3464855.33   | 0.08%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                       | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1566490.07   | 0.03%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                       | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    670000 | PA      | $721625.93    | 0.02%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2024-2, Class C                                                           | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $122767.97    | 0.00%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                                                           | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4879563.50   | 0.11%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                           | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146260 | PA      | $148914.58    | 0.00%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                                           | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4740709.52   | 0.10%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                                           | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5865966.88   | 0.13%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                           | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1582396.40   | 0.03%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2025-4, Class C                                                           | CUSIP: 802923AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2740000 | PA      | $2774300.96   | 0.06%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                            | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    550000 | PA      | $359150.00    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                        | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AH4<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35412.91     | 0.00%             | 2029-05-01      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                        | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20011.42     | 0.00%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                         | Charles Schwab Corp. (The)                                                                                               | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    145000 | PA      | $158474.62    | 0.00%             | 2034-08-24      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                     | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                                               | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130699 | PA      | $114447.05    | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                             | Sequoia Mortgage Trust, Series 10, Class 1A                                                                              | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1339 | PA      | $1261.96      | 0.00%             | 2027-10-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Shell Finance US, Inc.                                             | Shell Finance US, Inc.                                                                                                   | CUSIP: 822905AZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $41617.89     | 0.00%             | 2049-11-07      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                         | Shire Acquisitions Investments Ireland DAC                                                                               | CUSIP: 82481LAD1<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |      5000 | PA      | $4980.60      | 0.00%             | 2026-09-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                               | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    513000 | PA      | $463210.83    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                           | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1049841.70   | 0.02%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                           | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class A                                                        | CUSIP: 82650DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95761 | PA      | $97623.22     | 0.00%             | 2041-06-20      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                        | Sigeco Securitization I LLC, Series A1                                                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    794659 | PA      | $818935.40    | 0.02%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                        | Sigeco Securitization I LLC, Series A2                                                                                   | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    107000 | PA      | $108684.08    | 0.00%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                          | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    375000 | PA      | $379050.43    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                          | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    430000 | PA      | $439676.46    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                   | Skandinaviska Enskilda Banken AB                                                                                         | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1860000 | PA      | $1933998.95   | 0.04%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                   | Skandinaviska Enskilda Banken AB                                                                                         | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1615000 | PA      | $1635799.67   | 0.04%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $223817.49    | 0.00%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    395000 | PA      | $392555.46    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1915000 | PA      | $1759011.82   | 0.04%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2500000 | PA      | $2321713.80   | 0.05%             | 2033-01-21      | Variable      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    878000 | PA      | $936630.33    | 0.02%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1379000 | PA      | $1394326.58   | 0.03%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2380000 | PA      | $2539708.07   | 0.06%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3671000 | PA      | $3821061.67   | 0.08%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5500000 | PA      | $5573991.94   | 0.12%             | 2036-10-03      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCN0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   8395000 | PA      | $8445668.27   | 0.19%             | 2037-04-10      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                                    | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   3190000 | PA      | $3335289.95   | 0.07%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Sonoco Products Co.                                                | Sonoco Products Co.                                                                                                      | CUSIP: 835495AR3<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157157.89    | 0.00%             | 2029-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series 05-B                                                                              | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10265.99     | 0.00%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series 08-A                                                                              | CUSIP: 842400FH1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208661.53    | 0.00%             | 2038-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    567000 | PA      | $462305.44    | 0.01%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397361.18    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1741766.88   | 0.04%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1538570.66   | 0.03%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1689103.12   | 0.04%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    805000 | PA      | $793344.39    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                        | Southern California Gas Co., Series VV                                                                                   | CUSIP: 842434CS9<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     65000 | PA      | $53597.71     | 0.00%             | 2049-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                        | Southern California Gas Co.                                                                                              | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1493172.71   | 0.03%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                 | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1941155.14   | 0.04%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      9000 | PA      | $7169.86      | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp., Series 21A                                                                               | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    420000 | PA      | $278709.08    | 0.01%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    760000 | PA      | $811485.11    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp., Series B                                                                                 | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    975000 | PA      | $993004.58    | 0.02%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                       | Southern Natural Gas Co. LLC                                                                                             | CUSIP: 84346LAA8<br>LEI: 254900KDLS1X42SY7037 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5366.40      | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Southern Power Co.                                                 | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14671.20     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      9000 | PA      | $7065.13      | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                    | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180365.89    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    382000 | PA      | $389119.83    | 0.01%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $450397.31    | 0.01%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    805000 | PA      | $809564.35    | 0.02%             | 2037-01-13      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Starbucks Corp.                                                    | Starbucks Corp.                                                                                                          | CUSIP: 855244AU3<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    115000 | PA      | $98159.13     | 0.00%             | 2049-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                                    | Starbucks Corp.                                                                                                          | CUSIP: 855244BH1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1035536.45   | 0.02%             | 2031-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                 | State Street Corp.                                                                                                       | CUSIP: 857477BU6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40183.02     | 0.00%             | 2033-05-13      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                 | State Street Corp.                                                                                                       | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69091.49     | 0.00%             | 2033-08-04      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                 | State Street Corp.                                                                                                       | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1049286.66   | 0.02%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                               | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BQ2<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41571.48     | 0.00%             | 2034-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust             | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A3                                         | CUSIP: 858928AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100689.68    | 0.00%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                         | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   2934630 | PA      | $2934629.56   | 0.06%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                                    | Stream Innovations Issuer Trust, Series 2024-1A, Class A                                                                 | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2431269 | PA      | $2543516.76   | 0.06%             | 2044-07-15      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                     | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66958 | PA      | $65257.58     | 0.00%             | 2034-10-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAR1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     14000 | PA      | $13918.15     | 0.00%             | 2027-07-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1315000 | PA      | $1274300.38   | 0.03%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1480000 | PA      | $1564645.86   | 0.03%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1565509.71   | 0.03%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MEG1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2820000 | PA      | $2872138.47   | 0.06%             | 2047-01-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                    | Sumitomo Mitsui Trust Bank Ltd.                                                                                          | CUSIP: 86563VCL1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   2700000 | PA      | $2692463.71   | 0.06%             | 2036-03-05      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    420000 | PA      | $430102.55    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158611.46    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                     | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $202052.27    | 0.00%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                                     | Synopsys, Inc.                                                                                                           | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    158000 | PA      | $161808.33    | 0.00%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                     | Synopsys, Inc.                                                                                                           | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1414182.07   | 0.03%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                | Synchrony Financial                                                                                                      | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1556658.72   | 0.03%             | 2030-08-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| TC PipeLines LP                                                    | TC PipeLines LP                                                                                                          | CUSIP: 87233QAC2<br>LEI: 6HL0C5LCIE4TN8UZHL06 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6986.34      | 0.00%             | 2027-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25172.15     | 0.00%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2957090.98   | 0.07%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    125000 | PA      | $85257.58     | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    915000 | PA      | $615720.66    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1040024.50   | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    230000 | PA      | $237675.78    | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    234000 | PA      | $182733.99    | 0.00%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1486000 | PA      | $1019342.00   | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    422000 | PA      | $431386.44    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                              | Targa Resources Corp.                                                                                                    | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2388000 | PA      | $2452319.99   | 0.05%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9243.25      | 0.00%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    415000 | PA      | $347796.73    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Telefonica Emisiones SA                                            | Telefonica Emisiones SA                                                                                                  | CUSIP: 87938WAC7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     40000 | PA      | $45267.78     | 0.00%             | 2036-06-20      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6909000 | PA      | $7874797.64   | 0.17%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    365000 | PA      | $338946.67    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     51000 | PA      | $43795.56     | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    800000 | PA      | $540937.73    | 0.01%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                             | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    300000 | PA      | $252214.98    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                     | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-1                               | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    573556 | PA      | $597609.93    | 0.01%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                     | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1155000 | PA      | $1203501.11   | 0.03%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                     | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556DJ8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2528086.27   | 0.06%             | 2036-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37608 | PA      | $37753.69     | 0.00%             | 2043-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80001 | PA      | $79830.86     | 0.00%             | 2044-12-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                  | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735000 | PA      | $859456.25    | 0.02%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411764.46    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2720000 | PA      | $2551384.37   | 0.06%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    359000 | PA      | $321118.43    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                            | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $331148.71    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                              | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                                                       | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2012942.80   | 0.04%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $222053.91    | 0.00%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $613935.97    | 0.01%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1410000 | PA      | $1484141.20   | 0.03%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAQ2<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     40000 | PA      | $39672.66     | 0.00%             | 2029-02-19      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $598131.84    | 0.01%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1180000 | PA      | $808214.33    | 0.02%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1200000 | PA      | $925977.95    | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                          | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4881256 | PA      | $4497076.71   | 0.10%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                          | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                                                                   | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4220000 | PA      | $4219122.24   | 0.09%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                  | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    650000 | PA      | $687236.08    | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                             | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5623782 | PA      | $5680019.78   | 0.13%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                                           | Tricon Residential Trust, Series 2022-SFR1, Class D                                                                      | CUSIP: 89616QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1837000 | PA      | $1827664.00   | 0.04%             | 2039-04-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Triton Container International Ltd.                                | Triton Container International Ltd.                                                                                      | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    120000 | PA      | $119367.60    | 0.00%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    765000 | PA      | $784664.31    | 0.02%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    720000 | PA      | $723597.46    | 0.02%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    806000 | PA      | $867692.76    | 0.02%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    824000 | PA      | $874299.93    | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1635893.18   | 0.04%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $2436514.24   | 0.05%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                  | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    920000 | PA      | $978941.55    | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3010000 | PA      | $3035236.80   | 0.07%             | 2033-11-06      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    388000 | PA      | $385934.90    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    305000 | PA      | $285925.36    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26328.24     | 0.00%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    710000 | PA      | $617893.80    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                               | UOG ABS Issuer LLC, Series 2023-1, Class A1                                                                              | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   1332751 | PA      | $1386993.63   | 0.03%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| Uber Technologies, Inc.                                            | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    720000 | PA      | $722087.29    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                            | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    240000 | PA      | $228864.84    | 0.01%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                              | US Auto Funding Trust, Series 2022-1A, Class B                                                                           | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4296741 | PA      | $1377817.56   | 0.03%             | 2026-12-15      | Fixed         | 5.13%                 | Yes           |                  3 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    665000 | PA      | $661391.88    | 0.01%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                                | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7528.93      | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487408 | PA      | $480481.02    | 0.01%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    684695 | PA      | $681097.00    | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612620 | PA      | $601154.72    | 0.01%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432922 | PA      | $423476.80    | 0.01%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1064227 | PA      | $1025120.79   | 0.02%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    803955 | PA      | $775677.91    | 0.02%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961011 | PA      | $900631.50    | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286718 | PA      | $286703.94    | 0.01%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395522 | PA      | $1459312.29   | 0.03%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91086QBE7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     33000 | PA      | $30904.50     | 0.00%             | 2045-01-21      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3588000 | PA      | $2866812.00   | 0.06%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1075000 | PA      | $968575.00    | 0.02%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    772000 | PA      | $483272.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1252000 | PA      | $1096126.00   | 0.02%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    310000 | PA      | $300684.50    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1061000 | PA      | $1116172.00   | 0.02%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1578000 | PA      | $1708974.00   | 0.04%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2316000 | PA      | $2408640.00   | 0.05%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1445000 | PA      | $1527365.00   | 0.03%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   6819000 | PA      | $6843548.40   | 0.15%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1940000 | PA      | $1935635.00   | 0.04%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1194000 | PA      | $1206417.60   | 0.03%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152210.58    | 0.00%             | 2034-02-01      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    965000 | PA      | $1001051.43   | 0.02%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJS0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82787.50     | 0.00%             | 2030-07-23      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $2027619.71   | 0.04%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJW1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4549849.11   | 0.10%             | 2032-01-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7467 | PA      | $7463.93      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                                           | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22115 | PA      | $22358.19     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                                           | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57011 | PA      | $57633.19     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1999-1, Class 2Z                                                                           | CUSIP: 911760MJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147094 | PA      | $148504.29    | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 2003-2, Class Z                                                                            | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    934598 | PA      | $950527.08    | 0.02%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $208890.62    | 0.00%             | 2027-11-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600836 | PA      | $1690872.53   | 0.04%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    464046 | PA      | $471554.47    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $164918.75    | 0.00%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    452802 | PA      | $472434.88    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $205571.09    | 0.00%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30139.45     | 0.00%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30786.33     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $60473.44     | 0.00%             | 2040-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     45000 | PA      | $42818.55     | 0.00%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $89138.67     | 0.00%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30024.61     | 0.00%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $166125.00    | 0.00%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12650000 | PA      | $10038960.94  | 0.22%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $380031.64    | 0.01%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15720000 | PA      | $12606089.02  | 0.28%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  73415400 | PA      | $65397061.78  | 1.44%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24928000 | PA      | $22531601.31  | 0.50%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $106382.81    | 0.00%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29995000 | PA      | $25594171.09  | 0.56%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8200000 | PA      | $6565445.29   | 0.14%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    365000 | PA      | $290688.28    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    630000 | PA      | $498758.20    | 0.01%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29076300 | PA      | $19891142.19  | 0.44%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    548000 | PA      | $427803.90    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $15441.41     | 0.00%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3764000 | PA      | $2965032.21   | 0.07%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3160000 | PA      | $2427275.00   | 0.05%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14665000 | PA      | $9569485.31   | 0.21%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37120000 | PA      | $24816750.09  | 0.55%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5674000 | PA      | $3470005.63   | 0.08%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    790000 | PA      | $395833.21    | 0.01%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38289000 | PA      | $19709860.82  | 0.43%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | PA      | $771277.34    | 0.02%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26925000 | PA      | $14774042.06  | 0.33%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18386400 | PA      | $10730188.13  | 0.24%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15863000 | PA      | $10413811.72  | 0.23%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14975000 | PA      | $11376320.31  | 0.25%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1015000 | PA      | $606938.28    | 0.01%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    515000 | PA      | $371604.69    | 0.01%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3750000 | PA      | $2372314.46   | 0.05%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24390000 | PA      | $17722764.72  | 0.39%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $461851.57    | 0.01%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $197656.25    | 0.00%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14400000 | PA      | $13583250.00  | 0.30%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    695000 | PA      | $643906.64    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $137607.42    | 0.00%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    335000 | PA      | $313813.87    | 0.01%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    305000 | PA      | $285770.70    | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4465000 | PA      | $4228494.53   | 0.09%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1505000 | PA      | $1470314.45   | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $885394.92    | 0.02%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    104500 | PA      | $103369.28    | 0.00%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4690000 | PA      | $4472354.69   | 0.10%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4281503.90   | 0.09%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13469500 | PA      | $12831277.24  | 0.28%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4750000 | PA      | $4490048.84   | 0.10%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1040000 | PA      | $920521.88    | 0.02%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62228000 | PA      | $58888106.25  | 1.30%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1595000 | PA      | $1511324.80   | 0.03%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3850000 | PA      | $3675546.88   | 0.08%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53070000 | PA      | $48090541.67  | 1.06%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17224453.08  | 0.38%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1515000 | PA      | $1469727.54   | 0.03%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25060000 | PA      | $24662563.94  | 0.54%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15725000 | PA      | $15040716.88  | 0.33%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1245000 | PA      | $1219710.94   | 0.03%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37270000 | PA      | $37074914.66  | 0.82%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3490000 | PA      | $3303639.44   | 0.07%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    735000 | PA      | $736091.02    | 0.02%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27483000 | PA      | $27106182.24  | 0.60%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50370000 | PA      | $50480184.38  | 1.11%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $879073.83    | 0.02%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38000000 | PA      | $38653125.00  | 0.85%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    590000 | PA      | $594286.72    | 0.01%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57274000 | PA      | $58739409.13  | 1.30%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17985000 | PA      | $19033188.28  | 0.42%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41008000 | PA      | $42957481.77  | 0.95%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46466200 | PA      | $47077883.84  | 1.04%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 193002000 | PA      | $193288488.31 | 4.26%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53050000 | PA      | $54502658.07  | 1.20%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39680000 | PA      | $40820800.00  | 0.90%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63900000 | PA      | $64229983.43  | 1.42%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57853000 | PA      | $61030395.52  | 1.35%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37975000 | PA      | $38970360.45  | 0.86%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52680000 | PA      | $53062752.86  | 1.17%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32145000 | PA      | $32646010.04  | 0.72%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5078515.60   | 0.11%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41540000 | PA      | $42310761.82  | 0.93%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49972000 | PA      | $50217956.19  | 1.11%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6918000 | PA      | $6986099.06   | 0.15%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29215000 | PA      | $23983776.42  | 0.53%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    815000 | PA      | $655129.03    | 0.01%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $46224.20     | 0.00%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $150581.56    | 0.00%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125000 | PA      | $91902.69     | 0.00%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6410000 | PA      | $4488675.19   | 0.10%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16462000 | PA      | $11251025.18  | 0.25%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22561000 | PA      | $15031183.68  | 0.33%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3431000 | PA      | $2226452.38   | 0.05%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6120000 | PA      | $3864513.29   | 0.09%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6865000 | PA      | $5809730.32   | 0.13%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18930000 | PA      | $15381120.02  | 0.34%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $199041.40    | 0.00%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    505000 | PA      | $375864.66    | 0.01%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $166973.78    | 0.00%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4550000 | PA      | $3225666.03   | 0.07%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833WQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $185490.14    | 0.00%             | 2028-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1225000 | PA      | $847875.11    | 0.02%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6780000 | PA      | $5789344.23   | 0.13%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37800000 | PA      | $31663832.26  | 0.70%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9364000 | PA      | $6157216.36   | 0.14%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24537000 | PA      | $15718036.11  | 0.35%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2951000 | PA      | $1839353.67   | 0.04%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5462000 | PA      | $3357640.40   | 0.07%             | 2037-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834AD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11537000 | PA      | $6997479.39   | 0.15%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37046000 | PA      | $19203880.29  | 0.42%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5430000 | PA      | $2776305.68   | 0.06%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3486504 | PA      | $1756777.13   | 0.04%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $241434.99    | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2232000 | PA      | $1063952.51   | 0.02%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $1339120.49   | 0.03%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9840000 | PA      | $3116238.36   | 0.07%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2799000 | PA      | $2579242.64   | 0.06%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    558000 | PA      | $476289.68    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    140000 | PA      | $111017.86    | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    815000 | PA      | $684119.97    | 0.02%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    560000 | PA      | $383484.81    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    650000 | PA      | $661049.95    | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    480000 | PA      | $394486.44    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                  | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    570000 | PA      | $343131.75    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                                        | VFI ABS LLC, Series 2025-1A, Class B                                                                                     | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1590000 | PA      | $1605914.31   | 0.04%             | 2030-12-24      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                        | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5997529 | PA      | $5739754.94   | 0.13%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Vale Overseas Ltd.                                                 | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    675000 | PA      | $653087.27    | 0.01%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                | Valero Energy Corp.                                                                                                      | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |     10000 | PA      | $11609.46     | 0.00%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                | Valero Energy Corp.                                                                                                      | CUSIP: 91913YBD1<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    115000 | PA      | $81853.04     | 0.00%             | 2051-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    299000 | PA      | $297538.82    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    560000 | PA      | $558936.84    | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    120000 | PA      | $109190.80    | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $843960.39    | 0.02%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                    | Virginia Electric and Power Co.                                                                                          | CUSIP: 927804GN8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2102820.09   | 0.05%             | 2053-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    221000 | PA      | $234286.08    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    610000 | PA      | $632160.08    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAW2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3367109.76   | 0.07%             | 2035-10-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1273757.60   | 0.03%             | 2036-01-31      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| VMware LLC                                                         | VMware LLC                                                                                                               | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28528.66     | 0.00%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                         | VMware LLC                                                                                                               | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    160000 | PA      | $143337.51    | 0.00%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $243126.37    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1380996.69   | 0.03%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR6, Class A1                                                 | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3598 | PA      | $3556.93      | 0.00%             | 2033-06-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                                                  | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14409 | PA      | $14207.87     | 0.00%             | 2033-08-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253419 | PA      | $249507.62    | 0.01%             | 2033-09-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15607 | PA      | $15317.81     | 0.00%             | 2033-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Class A7                                                | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5465 | PA      | $5289.53      | 0.00%             | 2033-10-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134179 | PA      | $134920.55    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6448 | PA      | $5206.72      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23580 | PA      | $22681.28     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20552 | PA      | $19768.67     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                            | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202915 | PA      | $202722.74    | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84254 | PA      | $76519.87     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A9                               | CUSIP: 92922FY93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538932 | PA      | $489461.90    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $350122.47    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     65000 | PA      | $59312.44     | 0.00%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1007226.35   | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                    | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365324 | PA      | $328784.62    | 0.01%             | 2045-03-15      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                             | WEC Energy Group, Inc.                                                                                                   | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     28000 | PA      | $28203.74     | 0.00%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                        | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAD6<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20466.72     | 0.00%             | 2029-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                        | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169847.13    | 0.00%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                    | WHARF Commercial Mortgage Trust, Series 2025-DC, Class B                                                                 | CUSIP: 92987LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8281193.60   | 0.18%             | 2040-07-15      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37090 | PA      | $34293.76     | 0.00%             | 2036-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR12, Class 2P                                                | CUSIP: 93363NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30457 | PA      | $27646.34     | 0.00%             | 2036-10-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503242 | PA      | $85301.64     | 0.00%             | 2035-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299334 | PA      | $17212.31     | 0.00%             | 2035-04-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX                                | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451081 | PA      | $69153.64     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7                               | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435458 | PA      | $408607.28    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402391 | PA      | $59393.09     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    500000 | PA      | $454992.00    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    535000 | PA      | $483534.44    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89350.71     | 0.00%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29274.00     | 0.00%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     24000 | PA      | $21255.80     | 0.00%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                       | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61009 | PA      | $56479.60     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3903.42      | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1236000 | PA      | $1260463.78   | 0.03%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $2016472.69   | 0.04%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $1312846.78   | 0.03%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2478100.58   | 0.05%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    570000 | PA      | $601134.38    | 0.01%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1427857.30   | 0.03%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6060000 | PA      | $6347887.94   | 0.14%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5960000 | PA      | $6119756.73   | 0.14%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7589000 | PA      | $7981577.07   | 0.18%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1124258.81   | 0.02%             | 2037-01-23      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                   | Welltower OP LLC                                                                                                         | CUSIP: 95040QAM6<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102945.29    | 0.00%             | 2031-06-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                    | Western Funding Auto Loan Trust, Series 2025-1, Class A                                                                  | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202398.32    | 0.00%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                                     | Western Midstream Operating LP                                                                                           | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    415000 | PA      | $360420.26    | 0.01%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                                           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3047000 | PA      | $3101708.28   | 0.07%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                               | Westgate Resorts LLC, Series 2022-1A, Class A                                                                            | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28952 | PA      | $28811.11     | 0.00%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                                                           | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2632000 | PA      | $2675684.36   | 0.06%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                                                           | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3429758.16   | 0.08%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2022-2A, Class D                                                           | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2443571 | PA      | $2449465.84   | 0.05%             | 2027-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CN8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1989332.72   | 0.04%             | 2054-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1434509.19   | 0.03%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $389841.22    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    145000 | PA      | $148887.42    | 0.00%             | 2035-09-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     14000 | PA      | $12401.01     | 0.00%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                                    | Wingspire Equipment Finance LLC, Series 2024-1A, Class B                                                                 | CUSIP: 97415AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4042925.20   | 0.09%             | 2032-09-20      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Wisconsin Public Service Corp.                                     | Wisconsin Public Service Corp.                                                                                           | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35250.30     | 0.00%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                       | Wolf Energy Asset Issuer LLC                                                                                             | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   2732676 | PA      | $2732675.85   | 0.06%             | 2050-07-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Yale-New Haven Health Services Corp.                               | Yale-New Haven Health Services Corp., Series 2020                                                                        | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    780000 | PA      | $474330.39    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                  | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1941054 | PA      | $1878485.82   | 0.04%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Jonah                                                              | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1992990 | PA      | $2024479.04   | 0.04%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                     | Tucielo 2025-assiciation Condu                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125000.00    | 0.00%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| Evolution 2026-pdp1  feb30                                         | Evolution 2026-pdp1  feb30                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4290000 | PA      | $4290000.00   | 0.09%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                 | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    191763 | PA      | $155596.77    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Resurgent                                                          | Resurgent                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.07%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                             | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2003019 | PA      | $1982989.13   | 0.04%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                         | Ygrene Frn                                                                                                               | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |   2710679 | PA      | $2724232.40   | 0.06%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Credit One Ltd.                                                    | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   4000000 | PA      | $4072000.00   | 0.09%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| N/A                                                                | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       751 | NC      | $210481.96    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       805 | NC      | $168997.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       582 | NC      | $285509.99    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | U.S. Treasury Long Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -336 | NC      | $-491442.67   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       147 | NC      | $174324.36    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $15287.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** JPMorgan Institutional Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer