# EDGAR Filing Document

**Accession Number:** 0001032423
**File Stem:** 0000910472-26-003568
**Filing Date:** 2026-3
**Character Count:** 497417
**Document Hash:** 86d719b12b75fa2aa569859c2b136f0d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-003568.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000910472-26-003568

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DIAMOND HILL FUNDS
- **CENTRAL INDEX KEY:** 0001032423

**ORGANIZATION NAME:**
- **EIN:** 316547095
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08061
- **FILM NUMBER:** 26703668

**BUSINESS ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215
- **BUSINESS PHONE:** 614-255-3333

**MAIL ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BSG FUNDS
- **DATE OF NAME CHANGE:** 19970206

## Series and Classes Contracts Data

### Diamond Hill Core Bond Fund (Series ID: S000055044)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000173086 | Diamond Hill Core Bond Fund Investor | DHRAX           |
| C000173087 | Diamond Hill Core Bond Fund Class I  | DHRIX           |
| C000173088 | Diamond Hill Core Bond Fund Class Y  | DHRYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Diamond Hill Funds

- **b. Investment Company Act file number:** 811-08061

- **c. CIK number of Registrant:** 0001032423

- **d. LEI of Registrant:** 549300PZZTQU6QTHS663

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

  - **Street Address 1:** 325 John H. McConnell Blvd.

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43215

  - **Telephone number:** 888-226-5595

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

- **a. Name of Series:** DIAMOND HILL CORE BOND FUND

- **b. EDGAR series identifier (if any):** S000055044

- **c. LEI of Series:** 549300WJVOWBLPHOUE51

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3139878567.70

**Total Liabilities:** $61123515.83

**Net Assets:** $3078755051.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1473.10603153 | **1-Year:** 53598.73728886 | **5-Year:** 364040.74356876 | **10-Year:** 420512.42869830 | **30-Year:** 80809.68853296

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

- **3-Month:** 69.75771665 | **1-Year:** 356.18639935 | **5-Year:** 286.17235096 | **10-Year:** 287.14274320 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000173086 | 0.59%                | 0.67%                | -0.39%               |
| Class ID C000173087 | 0.62%                | 0.71%                | -0.47%               |
| Class ID C000173088 | 0.52%                | 0.72%                | -0.35%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2110391.14              | $3216149.19                                |
| Month 2  | $891547.15               | $10045715.51                               |
| Month 3  | $1198404.37              | $-24685168.52                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHV ABS TRUST 2023-3PL                                                  | ACHV ABS Trust Series 23-3PL Class D                                       | CUSIP: 000876AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790189 | PA      | $1805383.17   | 0.06%             | 2030-08-19      | Fixed         | 8.36%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                  | ACHV ABS Trust Series 2024-3AL, Class D                                    | CUSIP: 00092KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2659459 | PA      | $2695552.08   | 0.09%             | 2031-12-26      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| ACHD TRUST 2025-DS1                                                      | ACHD Trust Series 2025-DS1, Class A                                        | CUSIP: 00092TAA3<br>LEI: 529900TKZUWQLIQN6T48 | Long             | ABS-CBDO         | CORP              | US        |   3075000 | PA      | $3075067.65   | 0.10%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| ACHM TRUST 2024-HE2                                                      | Achieve Mortgage Series 2024-HE2, Class A                                  | CUSIP: 00112DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2993367 | PA      | $3005944.30   | 0.10%             | 2039-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ACM AUTO TRUST 2024-1                                                    | ACM Auto Trust Series 2024-1A, Class B                                     | CUSIP: 00161CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887934 | PA      | $895759.20    | 0.03%             | 2031-01-21      | Fixed         | 11.40%                | Yes           |                  2 | On Loan: No      |
| ACM AUTO TRUST 2025-1                                                    | ACM Auto Trust Series 2025-1A, Class B                                     | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3032984.10   | 0.10%             | 2031-11-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| ACM AUTO TRUST 2025-2                                                    | ACM Auto Trust Series 2025-2A, Class B                                     | CUSIP: 00161TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1208075.04   | 0.04%             | 2032-02-20      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Acm Auto Trust 2025-3                                                    | ACM Auto Trust Series 2025-3A, Class A                                     | CUSIP: 00161UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3489424 | PA      | $3484532.19   | 0.11%             | 2030-01-22      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Acm Auto Trust 2025-3                                                    | ACM Auto Trust Series 2025-3A, Class B                                     | CUSIP: 00161UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2589669.94   | 0.08%             | 2032-07-20      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| AMCR ABS TRUST 2023-1                                                    | AMCR ABS Trust Series 2023-1A, Class B                                     | CUSIP: 00178CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839101 | PA      | $843184.00    | 0.03%             | 2031-01-21      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| AMCR ABS TRUST 2024-A                                                    | AMCR ABS Trust Series 2024-A Class A                                       | CUSIP: 00178EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161934 | PA      | $162189.88    | 0.01%             | 2031-08-18      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 4.50%, Due 05/15/2035                                           | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    700000 | PA      | $672403.13    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 2.300%, Due 06/01/2027                                          | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635143.24    | 0.02%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T Inc 3.50% Due 06/01/2041                                              | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $314637.95    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 2.55%, Due 12/01/2033                                           | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    114000 | PA      | $97295.61     | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Areit 2022-Cre7 LLC                                                      | AREIT CRE Trust Series 2022-CRE7, Class C                                  | CUSIP: 00217VAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $900491.40    | 0.03%             | 2039-06-17      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Abbott Laboratories                                                      | Abbott Laboratories 4.75%, Due 11/30/2036                                  | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100614.21    | 0.00%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie Incorporated 4.50%, Due 05/14/2035                                  | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $785111.32    | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie, Inc. 3.20%, Due 11/21/2029                                         | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3782125.78   | 0.12%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie, Inc. 4.55%, Due 03/15/2035                                         | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98447.65     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ACHM TRUST 2025-HE1                                                      | Achieve Mortgage Series 2025-HE1, Class A                                  | CUSIP: 00449SAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4651795 | PA      | $4714392.76   | 0.15%             | 2055-03-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| ACM AUTO TRUST 2024-2                                                    | ACM Auto Trust Series 2024-2A, Class A                                     | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155771 | PA      | $155881.02    | 0.01%             | 2029-02-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| ACM AUTO TRUST 2024-2                                                    | ACM Auto Trust Series 2024-2A, Class B                                     | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $607810.50    | 0.02%             | 2031-08-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage 2021-FL4 Ltd.                                   | Acre Mortgage Trust Series 2021-FL4, Class C                               | CUSIP: 00489TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1601307 | PA      | $1574868.13   | 0.05%             | 2037-12-18      | Floating      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage 2021-FL4 Ltd.                                   | Acre Mortgage Trust Series 2021-FL4, Class D                               | CUSIP: 00489TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $981837.00    | 0.03%             | 2037-12-18      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage 2021-FL4 Ltd.                                   | Acre Mortgage Trust Series 2021-FL4, Class E                               | CUSIP: 00489TAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675000 | PA      | $659395.35    | 0.02%             | 2037-12-18      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2                                      | Affirm Incorporated Series 22-Z1 Class B                                   | CUSIP: 00833PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233258 | PA      | $233713.07    | 0.01%             | 2027-06-15      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust 2025-X1                                | Affirm Incorporated Series 2025-X1, Class D                                | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5801234.23   | 0.19%             | 2030-04-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| AGORACAPITAL AUTO SECURITIES TR 202                                      | AgoraCapital Auto Securities Trust Series 2025-1A, Class A                 | CUSIP: 008483AA7<br>LEI: 5493004UROJFQSP6RC85 | Long             | ABS-O            | CORP              | US        |   3978563 | PA      | $3990862.00   | 0.13%             | 2032-11-25      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Alaska Airlines Pass Through Trust 2020-1A                               | ALASKA AIRLINES 4.8%, DUE 02/15/2029                                       | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | ABS-O            | CORP              | US        |     91209 | PA      | $91735.21     | 0.00%             | 2029-02-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                    | Alexandria Real Estate Equities, Inc. 3.95%, Due 01/15/2028                | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99563.12     | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                            | Alphabet Inc 5.30% Due 05/15/2065                                          | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    430000 | PA      | $404407.79    | 0.01%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                            | Alphabet Incorporated 5.70%, Due 11/15/2075                                | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1697832.35   | 0.06%             | 2075-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRU                                      | AlphaFlow Transitional Mortgage Company Series 2021-WL1, Class A1          | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353707 | PA      | $336713.63    | 0.01%             | 2026-01-25      | Variable      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRU                                      | AlphaFlow Transitional Mortgage Company Series 2021-WL1, Class A2          | CUSIP: 02079YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44363 | PA      | $1721.66      | 0.00%             | 2026-01-25      | Variable      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| AMDR ABS TRUST 2025-1                                                    | AMDR ABS Trust Series 2025-1A, Class A                                     | CUSIP: 02342WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3272182 | PA      | $3272565.35   | 0.11%             | 2033-12-19      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                  | American Airlines Passthrough Trust Series 2016-2 Class AA                 | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263025 | PA      | $257159.81    | 0.01%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 5.282%, Due 07/27/2029                            | CUSIP: 025816DH9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411974.45    | 0.01%             | 2029-07-27      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 5.532%, Due 04/25/2030                            | CUSIP: 025816DU0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    325000 | PA      | $339040.41    | 0.01%             | 2030-04-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 5.284%, Due 07/26/2035                            | CUSIP: 025816DW6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    825000 | PA      | $850144.41    | 0.03%             | 2035-07-26      | Fixed         | 5.28%                 | No            |                  2 | On Loan: —       |
| American Express Company                                                 | American Express Company 5.085%, Due 01/30/2031                            | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    925000 | PA      | $953446.69    | 0.03%             | 2031-01-30      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corporation                                       | American Honda Finance 4.90%, Due 01/10/2034                               | CUSIP: 02665WEZ0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401845.91    | 0.01%             | 2034-01-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| American Honda Finance Corporation                                       | American Honda Finance 4.25%, Due 09/01/2028                               | CUSIP: 02665WGK1<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1730418.44   | 0.06%             | 2028-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent L P                                                | American Homes 4 Rent 4.25%, Due 02/15/2028                                | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100198.58    | 0.00%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| American Tower Corporation                                               | American Tower Corporation 3.125%, Due 01/15/2027                          | CUSIP: 03027XAM2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297150.33    | 0.01%             | 2027-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 2.1%, Due 06/15/2020                            | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181508.06    | 0.01%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 5.80%, Due 11/15/2028                           | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260982.34    | 0.01%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 5.20%, Due 02/15/2029                           | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2175000 | PA      | $2238421.33   | 0.07%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Capital Corporation 2.8%, DUE 05/01/2030                    | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    300000 | PA      | $284378.58    | 0.01%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Capital Corp. 2.3%, Due 06/01/2031                          | CUSIP: 03040WAY1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    825000 | PA      | $745132.04    | 0.02%             | 2031-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Works Company Incorporated 5.15%, Due 03/01/2034            | CUSIP: 03040WBD6<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2059208.92   | 0.07%             | 2034-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Capital Corporation 5.70%, Due 09/01/2055                   | CUSIP: 03040WBG9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    450000 | PA      | $450587.64    | 0.01%             | 2055-09-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                               | Amgen, Inc. 4.20%, Due 03/01/2033                                          | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390977.30    | 0.01%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Amgen Inc.                                                               | Amgen Incorporated 5.25%, Due 03/02/2033                                   | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3881854.99   | 0.13%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                               | Amgen, Inc. 5.60%, Due 03/02/2043                                          | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    425000 | PA      | $427359.88    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Finance Inc.                                        | Anheuser-Busch InBev SA/NV 4.70%, Due 02/01/2036                           | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2598343.26   | 0.08%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                     | Elevance Health Incorporated 4.60%, Due 09/15/2032                         | CUSIP: 036752BJ1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2563679.03   | 0.08%             | 2032-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| Arbor Realty Commercial Real Estate Notes 2016-FL1 Ltd.                  | Arbor Realty Commerical Real Estate Notes Series 2025-FL1, Class C         | CUSIP: 03881KAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2400000 | PA      | $2398720.80   | 0.08%             | 2042-08-20      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2016-FL1 Ltd.                  | Arbor Realty Collateralized Loan Obligation Ltd. Series 2025-BTR1, Class B | CUSIP: 03881UAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2500162.50   | 0.08%             | 2041-01-18      | Variable      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2016-FL1 Ltd.                  | Arbor Realty Collateralized Loan Obligation Ltd. Series 2025-BTR1, Class C | CUSIP: 03881UAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4000256.00   | 0.13%             | 2041-01-18      | Variable      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust 2024-1                      | Arivo Acceptance Auto Loan Receivables Trust Series 2024-1A, Class B       | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2043306.80   | 0.07%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust 2022-1                      | Arivo Acceptance Auto Loan Series 25-1A Class B                            | CUSIP: 039962AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640000 | PA      | $5638016.41   | 0.18%             | 2031-11-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust 2022-1                      | Arivo Acceptance Auto Loan Series 25-1A Class D                            | CUSIP: 039962AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2975000 | PA      | $2969555.75   | 0.10%             | 2032-01-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust 2022-1                      | Arivo Acceptance Auto Loan Receivables Trust Series 2022-2A, Class C       | CUSIP: 04047JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2820288.24   | 0.09%             | 2029-03-15      | Fixed         | 9.84%                 | Yes           |                  2 | On Loan: No      |
| ASCENT CAREER FUNDING TRUST 2024-1                                       | Ascent Career Funding Trust Series 2024-1A, Class A                        | CUSIP: 04363LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1672158 | PA      | $1683513.49   | 0.05%             | 2032-10-25      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| ASCENT CAREER FUNDING TRUST 2024-1                                       | Ascent Career Funding Trust Series 2024-1A, Class B                        | CUSIP: 04363LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2053682.80   | 0.07%             | 2032-10-25      | Fixed         | 9.73%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                       | Atmos Energy Corporation 4.125%, Due 03/15/2049                            | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    885000 | PA      | $706936.35    | 0.02%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                       | Atmos Energy Corporation 2.625%, Due 09/15/2029                            | CUSIP: 049560AR6<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    310000 | PA      | $294615.44    | 0.01%             | 2029-09-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                       | Atmos Energy Corporation 5.90%, Due 11/15/2033                             | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    850000 | PA      | $918846.80    | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2016-Ashf                     | Banc of America Merrill Lynch Commercial Mortgage Series 2020-BOC, Class A | CUSIP: 05551JAA8<br>LEI: 549300MWBLMUUG6B8094 | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2076871.72   | 0.07%             | 2032-01-15      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| Bxmt Ltd                                                                 | BXMT Ltd. Series 2021-FL4, Class C                                         | CUSIP: 05609GAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1552856.00   | 0.05%             | 2038-05-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Bxmt Ltd                                                                 | BXMT Ltd. Series 2021-FL4, Class D                                         | CUSIP: 05609GAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2250000 | PA      | $2162169.00   | 0.07%             | 2038-05-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-B                                      | BX Trust Series 2024-BIO2, Class D                                         | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $4283935.48   | 0.14%             | 2041-08-13      | Variable      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                       | BX Trust Series 2025-VOLT, Class A                                         | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8300000 | PA      | $8305162.60   | 0.27%             | 2044-12-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank of America Corporation 3.194%, Due 07/23/2030                         | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3139105.45   | 0.10%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank Of America Corporation 2.884%, Due 10/22/2030                         | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2188681.59   | 0.07%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank of America Corporation Floater, Due 04/29/2031                        | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    450000 | PA      | $419301.34    | 0.01%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank of America Corp 1.898% Due 07/23/2031                                 | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2694747.63   | 0.09%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank of America Corporation 2.687%, Due 04/22/2032                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7125000 | PA      | $6538285.75   | 0.21%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp.                                                    | Bank Of America Corporation 4.571%, Due 04/27/2033                         | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1695834.58   | 0.06%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                    | Bank of America Corporation 5.468%, Due 01/23/2035                         | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260429.85    | 0.01%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                         | Bank Of Montreal France .949%, Due 01/22/2027                              | CUSIP: 06368EDC3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | US        |    630000 | PA      | $628775.87    | 0.02%             | 2027-01-22      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                                        | Bank of New York Mellon Corporation 5.834%, Due 10/25/2033                 | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    500000 | PA      | $539120.22    | 0.02%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                                        | Bank of New York Mellon Corporation 6.317%, Due 10/25/2029                 | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2282694.99   | 0.07%             | 2029-10-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                                        | Bank of New York Mellon Corporation 5.316%, Due 06/06/2036                 | CUSIP: 06406RCJ4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1761183.60   | 0.06%             | 2036-06-06      | Fixed         | 5.32%                 | No            |                  2 | On Loan: —       |
| Baxter International, Inc.                                               | Baxter International, Inc. 1.915%, Due 02/01/2027                          | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    131000 | PA      | $127830.46    | 0.00%             | 2027-02-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII                                      | Bayview Opportunity Master Fund Series 2025-EDU1, Class D                  | CUSIP: 07337GAD5<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   3890015 | PA      | $3890000.12   | 0.13%             | 2048-07-27      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corporation                                   | Berkshire Hathaway Incorporated 3.85%, Due 03/15/2052                      | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    900000 | PA      | $692552.58    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2023-B                                          | Bankers Healthcare Group Securitization Trust Series 2023-B, Class C       | CUSIP: 08862GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1040465.30   | 0.03%             | 2036-12-17      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| BHMS COMMERCIAL MORTGAGE TRUST 2025-ATLS                                 | BHMS Commerical Mortgage Trust Series 2025-ATLS, Class B                   | CUSIP: 088928AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3504436.95   | 0.11%             | 2042-08-15      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Blackrock Inc.                                                           | BlackRock Incorporated 2.10%, Due 02/25/2032                               | CUSIP: 09247XAS0<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1434463.29   | 0.05%             | 2032-02-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Blackrock Inc.                                                           | BlackRock Funding Incorporated 5.0%, Due 03/14/2034                        | CUSIP: 09290DAB7<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515960.53    | 0.02%             | 2034-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Blackstone Reg Finance Co LLC                                            | Blackstone Reg Finance Company, LLC 4.30%, Due 11/03/2030                  | CUSIP: 092914AB6<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1634077.39   | 0.05%             | 2030-11-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Blue Bridge Financial LLC                                                | Blue Bridge Funding Inc Series 23-1A Class A                               | CUSIP: 09531MAA8<br>LEI: 549300UZCOJ7LHE4T940 | Long             | ABS-O            | CORP              | US        |    476327 | PA      | $480339.25    | 0.02%             | 2030-11-15      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| BOSTON LENDING TRUST 2022                                                | Boston Lending Trust Series 22-1 Class M2                                  | CUSIP: 10084LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    556451 | PA      | $521663.56    | 0.02%             | 2062-02-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Boston Properties LP                                                     | Boston Properties, L.P. 2.75%, Due 10/01/2026                              | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49477.85     | 0.00%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                         | BP Capital Markets America 4.812%, Due 02/13/2033                          | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    800000 | PA      | $810181.00    | 0.03%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: —       |
| BP Capital Markets America, Inc.                                         | BP Capital Markets America 4.893%, Due 09/11/2033                          | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    500000 | PA      | $508657.69    | 0.02%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                         | BP Capital Markets America 4.989%, Due 04/10/2034                          | CUSIP: 10373QBW9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    500000 | PA      | $509878.11    | 0.02%             | 2034-04-10      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| BREAN ASST BCK SEC TR 2022-RM3                                           | Brean Asset Backed Securities Series 2022-RM5, Class A                     | CUSIP: 10637WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4356750 | PA      | $4288973.31   | 0.14%             | 2062-09-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASST BCK SEC TR 2022-RM3                                           | Brean Asset Backed Securities Series 2022-RM5, Class M1                    | CUSIP: 10637WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2657511 | PA      | $2493428.85   | 0.08%             | 2062-09-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASST BCK SEC TR 2022-RM3                                           | Brean Asset Backed Securities Series 2022-RM5, Class M2                    | CUSIP: 10637WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3004143 | PA      | $2720044.05   | 0.09%             | 2062-09-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 23-RM6 Class M1                       | CUSIP: 10638AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3135671 | PA      | $3067847.82   | 0.10%             | 2063-01-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 23-RM6 Class M2                       | CUSIP: 10638AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3135671 | PA      | $3007029.27   | 0.10%             | 2063-01-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2023-RM7, Class A1                    | CUSIP: 10638BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7578505 | PA      | $7503184.84   | 0.24%             | 2078-03-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2023-RM7, Class A2                    | CUSIP: 10638BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6039000 | PA      | $5879971.99   | 0.19%             | 2078-03-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2023-RM7, Class M1                    | CUSIP: 10638BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3286073 | PA      | $3087492.08   | 0.10%             | 2078-03-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECS TR 24-RM8                                        | Brean Asset Backed Securities Trust Series 2024-RM9, Class A1              | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2988610 | PA      | $2980061.62   | 0.10%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2025-RM10, Class A2                   | CUSIP: 10638FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6667074.28   | 0.22%             | 2065-01-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securites Series 22-RM4 Class M1                        | CUSIP: 10638JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109365 | PA      | $982947.70    | 0.03%             | 2062-07-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Trust Series 2025-RM12, Class A2             | CUSIP: 10638KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6689498 | PA      | $6385327.16   | 0.21%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Trust Series 2025-RM12, Class M3             | CUSIP: 10638KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2341990 | PA      | $1910383.87   | 0.06%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2025-RM13                            | Brean Asset Backed Securities Trust Series 2025-RM13, Class M2             | CUSIP: 10638PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2216132 | PA      | $1865452.11   | 0.06%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2025-RM13                            | Brean Asset Backed Securities Trust Series 2025-RM13, Class M3             | CUSIP: 10638PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032516 | PA      | $829826.61    | 0.03%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2023-SRM1, Class M1                   | CUSIP: 10638RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3280941 | PA      | $3212956.43   | 0.10%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2023-SRM1, Class M3                   | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3116894 | PA      | $2810758.03   | 0.09%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                             | Bristol- Myers Squibb Company 2.95%, Due 03/15/2032                        | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2130364.40   | 0.07%             | 2032-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                           | British Telecommunications PLC 3.25%, Due 11/08/2029                       | CUSIP: 11102AAE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | US        |    275000 | PA      | $264231.55    | 0.01%             | 2029-11-08      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                             | Broadcom Incorporated 4.15%, Due 04/15/2032                                | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3813590.78   | 0.12%             | 2032-04-15      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                             | Broadcom Incorporated 4.80%, Due 02/15/2036                                | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1682402.95   | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                         | Burlington North Santa Fe 5.05%, Due 03/01/2041                            | CUSIP: 12189LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $490311.75    | 0.02%             | 2041-03-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                         | Burlington North Santa Fe 2.875%, Due 06/15/2052                           | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1523000 | PA      | $956012.76    | 0.03%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                       | BX Trust Series 2025-VLT7, Class D                                         | CUSIP: 123913AG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6018678.60   | 0.20%             | 2027-07-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BX COML MTG TR 2024-AIRC                                                 | BX Trust Series 2024-AIRC, Class D                                         | CUSIP: 12433CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7770420 | PA      | $7789740.65   | 0.25%             | 2039-08-15      | Floating      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-B                                      | BX Trust Series 2025-BCAT, Class D                                         | CUSIP: 12433HAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3449825 | PA      | $3459077.85   | 0.11%             | 2042-08-15      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST 2025-VLT6                                                       | BX Trust Series 2025-VLT6, Class D                                         | CUSIP: 12433KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5733911.50   | 0.19%             | 2030-03-15      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Bxmt 2020-Fl2 Ltd.                                                       | BXMT Ltd. Series 2020-FL2, Class B                                         | CUSIP: 12434LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2240000 | PA      | $2228815.68   | 0.07%             | 2038-02-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Bxmt 2020-Fl2 Ltd.                                                       | BXMT Ltd. Series 2020-FL2, Class D                                         | CUSIP: 12434LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1476711.00   | 0.05%             | 2038-02-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| CAFL ISSUER LLC 2021-RTL1                                                | CoreVest American Finance Limited Series 2021-RTL1, Class A2               | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135099 | PA      | $128144.61    | 0.00%             | 2029-03-28      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2021-Ebo1 Llc                                                       | Cascade Funding Mortgage Trust Series 2021-GRN1, Class B                   | CUSIP: 12529KAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981770 | PA      | $969442.53    | 0.03%             | 2041-03-20      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                                       | Cascade Funding Mortgage Trust Series 2024-HB13, Class M3                  | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1913220.20   | 0.06%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2024-HB14 LLC                                                       | Cascade Funding Mortgage Trust Series 2024-HB14, Class M2                  | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3621319.50   | 0.12%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2024-HB14 LLC                                                       | Cascade Funding Mortgage Trust Series 2024-HB14, Class M3                  | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3837249.60   | 0.12%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CLI Funding Llc                                                          | CLI Funding VI LLC Series 2020-1 Class B                                   | CUSIP: 12563LAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305476 | PA      | $292709.04    | 0.01%             | 2045-09-18      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| CMS Energy Corporation                                                   | CMS Energy Corporation 2.95%, Due 02/15/2027                               | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98650.54     | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CSX Corporation                                                          | CSX Corporation 4.25%, Due 11/01/2066                                      | CUSIP: 126408HG1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75694.57     | 0.00%             | 2066-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                      | Commercial Mortgage Trust Series 2020-CX Class A                           | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12175000 | PA      | $10469510.17  | 0.34%             | 2046-11-10      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                      | COMM Mortgage Trust Series 2020-CX, Class B                                | CUSIP: 12656KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7959000 | PA      | $6676758.14   | 0.22%             | 2046-11-10      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| COLEM 2022-HLNE MORTGAGE TRUST                                           | Colem 2021-HLNE Mortgage Trust Series 22-HLNE Class B                      | CUSIP: 12659JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2764264.80   | 0.09%             | 2042-04-12      | Variable      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp                                                          | CVS Health Corporation 5.05%, Due 03/25/2048                               | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2247952.14   | 0.07%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                          | CVS Health Corporateion 3.75%, Due 04/01/2030                              | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488228.69    | 0.02%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                          | CVS Health Corporation 5.875%, Due 06/01/2053                              | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    450000 | PA      | $436948.47    | 0.01%             | 2053-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Coterra Energy Inc                                                       | Coterra Energy, Inc. 3.90%, Due 05/15/2027                                 | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99622.33     | 0.00%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| Capital One Financial Corp.                                              | Capital One Financial Company 6.377%, Due 06/08/2034                       | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $540465.37    | 0.02%             | 2034-06-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                              | Capital One Financial Company 4.493%, Due 09/11/2031                       | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3395013.12   | 0.11%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: —       |
| Capital One Financial Corp.                                              | Capital One Financial Company 5.197%, Due 09/11/2036                       | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    890000 | PA      | $885510.77    | 0.03%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corporation                                               | Carrier Global Corporation 2.722%, Due 02/15/2030                          | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235365.59    | 0.01%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: —       |
| Caterpillar Inc                                                          | Caterpillar Incorporated 5.20%, Due 05/15/2035                             | CUSIP: 149123CL3<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1710252.06   | 0.06%             | 2035-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                       | Cascade Funding Mortgage Trust Series 2024-HB15, Class M3                  | CUSIP: 15723AAD3<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5307718.35   | 0.17%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CHERRY SECURITIZATION TRUST 2024-1                                       | Cherry Securitization Trust Series 2024-1A, Class A                        | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2772048.95   | 0.09%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| CHERRY SECURITIZATION TRUST 2025-1                                       | Cherry Securitization Trust Series 2025-1A, Class A                        | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12400000 | PA      | $12588861.92  | 0.41%             | 2032-11-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 2.666%, due 01/29/2031                                     | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4537000 | PA      | $4246821.10   | 0.14%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup Inc 2.572% DUE 06/03/2031                                        | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4175000 | PA      | $3868270.64   | 0.13%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup Inc. 2.561%, Due 05/01/2032                                      | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1406666.56   | 0.05%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 5.174%, Due 02/13/2030                                     | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513075.60    | 0.02%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 2.976%, due 11/05/2030                                     | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3380000 | PA      | $3219034.36   | 0.10%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Citibank, N.A.                                                           | Citibank NA 5.57%, Due 04/30/2034                                          | CUSIP: 17325FBG2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1850986.52   | 0.06%             | 2034-04-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup Incorporated 3.057%, Due 01/25/2033                              | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2061144.83   | 0.07%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans 2019-A LLC                                  | College Avenue Student Loans Series 2019-A Class A1                        | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58532 | PA      | $58713.34     | 0.00%             | 2048-12-28      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2019-A LLC                                  | College Avenue Student Loans Series 2019-A Class C                         | CUSIP: 19421UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100763 | PA      | $99050.30     | 0.00%             | 2048-12-28      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2018-A LLC                                  | College Avenue Student Loans Series 2018-A Class B                         | CUSIP: 19423DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35231 | PA      | $34973.32     | 0.00%             | 2047-12-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2018-A LLC                                  | College Avenue Student Loans Series 2018-A Class C                         | CUSIP: 19423DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27311 | PA      | $27216.34     | 0.00%             | 2047-12-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2021-A Llc                                  | College Ave Student Loans Series 21-A Class B                              | CUSIP: 19424KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281377 | PA      | $262390.42    | 0.01%             | 2051-07-25      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| College Avenue Student Loans 2021-A Llc                                  | College Ave Student Loans Series 21-A Class D                              | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213716 | PA      | $204321.75    | 0.01%             | 2051-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 3.969%, Due 11/01/2047                                 | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    144000 | PA      | $107854.11    | 0.00%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 1.95%, Due 01/15/2031                                  | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2005607.30   | 0.07%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 5.35%, Due 05/15/2053                                  | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    925000 | PA      | $830896.27    | 0.03%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comerica Incorporated                                                    | Comerica Incorporated 5.982%, Due 01/30/2030                               | CUSIP: 200340AW7<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2973170.39   | 0.10%             | 2030-01-30      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Company                                              | Commonwealth Edison Company 5.30%, Due 06/01/2034                          | CUSIP: 202795JZ4<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    900000 | PA      | $937373.18    | 0.03%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                       | ConocoPhillips Company 5.55%, Due 03/15/2054                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    450000 | PA      | $432970.75    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Constellation Brands, Inc.                                               | Constellation Brands, Inc. 2.25%, Due 08/01/2031                           | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $1947650.06   | 0.06%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| CP EF ASSET SECURITIZATION II LLC                                        | CPF IV, LLC Series 2023-1A, Class A                                        | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607039 | PA      | $611556.38    | 0.02%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION II LLC                                        | CPF IV, LLC Series 2023-1A, Class C                                        | CUSIP: 224092AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1995297.60   | 0.06%             | 2032-03-15      | Fixed         | 7.56%                 | Yes           |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                                      | Credibility Asset Securitization Series 2024-1A, Class A                   | CUSIP: 22534NAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4050724.80   | 0.13%             | 2029-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                       | Energy Transfer, L.P. 5.625%, Due 05/01/2027                               | CUSIP: 226373AQ1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499952.02    | 0.02%             | 2027-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| CubeSmart LP                                                             | CubeSmart, L.P. 2.25%, Due 12/15/2028                                      | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $3984707.62   | 0.13%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                           | DTE Energy Company 2.85%, Due 10/01/2026                                   | CUSIP: 233331AY3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99132.37     | 0.00%             | 2026-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                           | DTE Energy Company 2.95%, Due 03/01/2030                                   | CUSIP: 233331BF3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118383.07    | 0.00%             | 2030-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                         | DTE Electric Company 5.2%, Due 04/01/2033                                  | CUSIP: 23338VAS5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    450000 | PA      | $467635.32    | 0.02%             | 2033-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Deere & Company                                                          | Deere & Company 3.10%, Due 04/15/2030                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1661901.23   | 0.05%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp.                                                 | John Deere Capital Corporation 5.10%, Due 04/11/2034                       | CUSIP: 24422EXP9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    750000 | PA      | $775537.61    | 0.03%             | 2034-04-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp.                                                 | John Deere Capital Corporation 4.40%, Due 09/08/2031                       | CUSIP: 24422EXX2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    900000 | PA      | $908850.24    | 0.03%             | 2031-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Dell International LLC / EMC Corp.                                       | Dell Technologies Incorporated 4.90%, Due 10/01/2026                       | CUSIP: 24703TAE6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   1488000 | PA      | $1494904.22   | 0.05%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                       | Dell International LLC / EMC Corporation 5.0%, Due 04/01/2030              | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    425000 | PA      | $435531.04    | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Deutsche Telekom International Finance B.V.                              | Deutsche Telekom International Finance 4.75%, Due 06/21/2038               | CUSIP: 25156PBC6<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96464.81     | 0.00%             | 2038-06-21      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| DEXT ABS                                                                 | Dext ABS Series 2023-2, Class D                                            | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1590509.70   | 0.05%             | 2034-05-15      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                   | Diamondback Energy, Inc 3.25% Due 12/01/2026                               | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198551.54    | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                   | Diamondback Energy, Inc. 6.25%, Due 03/15/2053                             | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504774.52    | 0.02%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Capital One, National Association                                        | Discover Bank 3.45%, Due 07/27/2026                                        | CUSIP: 25466AAJ0<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1495438.91   | 0.05%             | 2026-07-27      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Dollar Tree Inc                                                          | Dollar Tree, Inc. 4.200%, Due 5/15/2028                                    | CUSIP: 256746AH1<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4102454.88   | 0.13%             | 2028-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Dominion Energy South Carolina Inc                                       | Dominion Energy South Carolina 6.25%, Due 10/15/2053                       | CUSIP: 25731VAB0<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |    450000 | PA      | $484099.43    | 0.02%             | 2053-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Dominion Energy Inc                                                      | Dominion Energy Inc 1.45%, Due 04/15/2026                                  | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    750000 | PA      | $744412.91    | 0.02%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| DROP MTGE TST                                                            | Drop Mortgage Trust Series 2021-FILE, Class A                              | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3414083.75   | 0.11%             | 2043-10-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| DROP MTGE TST                                                            | Drop Mortgage Trust Series 2021-FILE, Class B                              | CUSIP: 26210YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10300000 | PA      | $9532160.75   | 0.31%             | 2043-10-15      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp                                                         | Duke Energy Corporation 4.3%, Due 03/15/2028                               | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    825000 | PA      | $829443.49    | 0.03%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Duke Energy Corp                                                         | Duke Energy Corporation 4.95%, Due 09/15/2035                              | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    880000 | PA      | $872616.69    | 0.03%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Duke Energy Ohio Inc.                                                    | Duke Energy Ohio, Inc. 5.25%, Due 04/01/2033                               | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258970.91    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                 | Duke Energy Progress Incorporation 2.00%, Due 08/15/2031                   | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    600000 | PA      | $532495.53    | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana, LLC.                                                | Duke Energy Indinana, LLC 2.75%, Due 04/01/2050                            | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    370000 | PA      | $231125.05    | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas SC Storm Funding LLC                               | Duke Energy Carolinas SC Storm Funding, LLC 4.898%, Due 03/01/2044         | CUSIP: 26443YAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4170000 | PA      | $4162004.98   | 0.14%             | 2044-03-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                  | Duke Energy Florida LLC 6.20%, Due 11/15/2053                              | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1069885.84   | 0.03%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ERP Operating Limited Partnership                                        | ERP Operating, L.P. 2.850%, Due 11/01/2026                                 | CUSIP: 26884ABF9<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99163.23     | 0.00%             | 2026-11-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ERP Operating Limited Partnership                                        | ERP Operating, L.P. 2.50%, Due 02/15/2030                                  | CUSIP: 26884ABM4<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1735456.29   | 0.06%             | 2030-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| EASY STREET MORTGAGE LOAN TRUST 2025-RTL1                                | Easy 2025-RTL1 Series 25-RTL1 Class A2                                     | CUSIP: 27786FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3441309.32   | 0.11%             | 2040-05-25      | Variable      | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                       | Energy Transfer LP 5.55%, Due 05/15/2034                                   | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513828.26    | 0.02%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                       | Energy Transfer LP 5.60%, Due 09/01/2034                                   | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3087347.22   | 0.10%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                  | Equitable Financial Life 1.80%, Due 03/08/2028                             | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1434000 | PA      | $1365086.91   | 0.04%             | 2028-03-08      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                  | Equitable Financial Life 5.0%, Due 03/27/2030                              | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    825000 | PA      | $843389.46    | 0.03%             | 2030-03-27      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Exeter Automobile Receivables Trust 2013-2                               | Exeter Automobile Receivables Trust Series 2021-2A, Class D                | CUSIP: 30165XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1981278 | PA      | $1971205.09   | 0.06%             | 2027-04-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Expedia Group Inc                                                        | Expedia, Inc. 3.8%, due 2/15/2028                                          | CUSIP: 30212PAP0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1243095.69   | 0.04%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Extra Space Storage LP                                                   | Extra Space Storage LP 5.70%, Due 04/01/2028                               | CUSIP: 30225VAJ6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103316.42    | 0.00%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                   | Extra Space Storage LP 2.20%, Due 10/15/2030                               | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |   1399000 | PA      | $1265684.66   | 0.04%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                   | Extra Space Storage LP 5.35%, Due 01/15/2035                               | CUSIP: 30225VAT4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $408948.40    | 0.01%             | 2035-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Freedom Mortgage Corporation                                             | FMC GMSR Issue Trust Series 2020-GT1, Class A                              | CUSIP: 30259RAE5<br>LEI: 549300LYRWPSYPK6S325 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1989184.80   | 0.06%             | 2026-01-25      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Freedom Mortgage Corporation                                             | FMC GMSR Issue Trust Series 2021-GT1, Class A                              | CUSIP: 30259RAH8<br>LEI: 549300LYRWPSYPK6S325 | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3185835.84   | 0.10%             | 2026-07-25      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Freedom Mortgage Corporation                                             | FMC GMSR Issuer Trust Series 2021-GT2                                      | CUSIP: 30259RAK1<br>LEI: 549300LYRWPSYPK6S325 | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3777658.95   | 0.12%             | 2026-10-25      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2018-KF46 Mortgage Trust                                           | FREMF Mortgage Trust Series 2018-KF46, Class B                             | CUSIP: 302955AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    133089 | PA      | $128806.83    | 0.00%             | 2028-03-25      | Variable      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                           | FREMF Mortgage Trust Series 18-KF43 Class B                                | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    236208 | PA      | $229326.06    | 0.01%             | 2028-01-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                           | FREMF Mortgage Trust Series 2019-KF57 CLASS B                              | CUSIP: 30297VAA8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1054297 | PA      | $1010650.51   | 0.03%             | 2029-01-25      | Variable      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FREMF MTG TR 2016-K1502                                                  | FREMF Mortgage Trust Series 2019-KF67, Class B                             | CUSIP: 30298NAG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    171741 | PA      | $163586.68    | 0.01%             | 2029-08-25      | Variable      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                           | Freedom Mortgage Trust Series 2018-KF48, Class B                           | CUSIP: 30308EAG0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1438424 | PA      | $1372075.20   | 0.04%             | 2028-06-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                     | FRESB Multifamily Mortgage Pass-Through Trust Series 2018-SB57, Class A10F | CUSIP: 30308LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2082652 | PA      | $2063220.15   | 0.07%             | 2028-07-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Farm Mortgage Trust 2024-2                                               | Farmer Mac Agricultural Real Estate Series 22-1 Class A                    | CUSIP: 30328CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17595348 | PA      | $14385358.26  | 0.47%             | 2051-07-25      | Variable      | 2.54%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2023-1                                                         | First Help Financial LLC Class B, Series 23-1A                             | CUSIP: 30331GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3269222.13   | 0.11%             | 2029-05-15      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2                                                  | First Help Financial LLC Series 2023-2A, Class D                           | CUSIP: 30333LAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1796468.28   | 0.06%             | 2030-10-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| FARM 2023-1 MORTGAGE TRUST                                               | Farm Mortgage Trust Series 2023-1, Class A                                 | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9133799 | PA      | $7611514.41   | 0.25%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FARM 2025-2 MORTGAGE TRUST                                               | Farmer Mac Agricultural Real Estate Series 2025-2, Class A                 | CUSIP: 30768BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10113904 | PA      | $10087587.15  | 0.33%             | 2054-09-25      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FARM 2025-1 MORTGAGE TRUST                                               | Farmer Mac Agricultural Real Estate Series 2025-1, Class A                 | CUSIP: 30768CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6269710 | PA      | $6143306.30   | 0.20%             | 2055-08-01      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Farm Mortgage Trust 2024-2                                               | FARM Mortgage Trust Series 2021-1, Class A                                 | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20737959 | PA      | $16839803.05  | 0.55%             | 2051-01-25      | Variable      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 237 Class S14                | CUSIP: 31282YEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185446 | PA      | $21536.47     | 0.00%             | 2036-05-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association Series 306 Class F3                 | CUSIP: 31283APR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9854 | PA      | $9845.47      | 0.00%             | 2028-05-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 226 Class PO                 | CUSIP: 3128HVBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63586 | PA      | $54945.80     | 0.00%             | 2034-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool S0-6050                        | CUSIP: 3128HXWK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110538 | PA      | $86163.57     | 0.00%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool #G06085                        | CUSIP: 3128M8CW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27797 | PA      | $29391.92     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool FH 2B7995                      | CUSIP: 31326N3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3472094 | PA      | $3272722.51   | 0.11%             | 2050-10-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool SD3000                         | CUSIP: 3132DQKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7642551 | PA      | $7793281.88   | 0.25%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool SD3394                         | CUSIP: 3132DQXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6692790 | PA      | $6822791.50   | 0.22%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool S0-6829                        | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203705 | PA      | $158468.14    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 322, Class V1                | CUSIP: 3132HTY67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1035424 | PA      | $952258.40    | 0.03%             | 2043-12-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 366, Class 200               | CUSIP: 3132J0VF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2418301 | PA      | $2091982.25   | 0.07%             | 2049-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association Pool FG G61909                      | CUSIP: 31335CDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202793 | PA      | $203487.68    | 0.01%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool QH7551                         | CUSIP: 3133CLL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4685320 | PA      | $4844001.85   | 0.16%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool RB5090                         | CUSIP: 3133KYUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13326051 | PA      | $11659206.51  | 0.38%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Pool RE-0015                               | CUSIP: 3133LWAQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5087495 | PA      | $4554540.89   | 0.15%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool #RE6080                        | CUSIP: 3133N3XH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4288507 | PA      | $3223723.03   | 0.10%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Pool RE-6085                               | CUSIP: 3133N3XN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751306 | PA      | $564762.21    | 0.02%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Pool RE-6093                               | CUSIP: 3133N3XW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162527 | PA      | $873883.23    | 0.03%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-40, Class GY             | CUSIP: 3136A5BK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    755987 | PA      | $734465.14    | 0.02%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association SERIES 2012-52 CLASS PQ              | CUSIP: 3136A6AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    683221 | PA      | $614898.86    | 0.02%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-56 Class WC              | CUSIP: 3136A6WE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1251000 | PA      | $1139898.06   | 0.04%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 12-92 Class Z                 | CUSIP: 3136A7K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5111954 | PA      | $4701266.15   | 0.15%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-79 Class QB              | CUSIP: 3136A7LK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     73323 | PA      | $64172.96     | 0.00%             | 2042-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-99, Class BY             | CUSIP: 3136A8TF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2712354 | PA      | $2344854.17   | 0.08%             | 2042-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-99 Class UY              | CUSIP: 3136A8WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    479000 | PA      | $391083.91    | 0.01%             | 2042-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2012-99, Class QS              | CUSIP: 3136A8WU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1256976 | PA      | $184704.40    | 0.01%             | 2042-09-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-124, Class JA            | CUSIP: 3136A9V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2456733 | PA      | $2250016.88   | 0.07%             | 2042-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-128, Class WS            | CUSIP: 3136A9VE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1065507 | PA      | $722511.66    | 0.02%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication SERIES 2012-128 CLASS SH             | CUSIP: 3136A9VH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4502962 | PA      | $3168346.76   | 0.10%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-148 Class IA             | CUSIP: 3136ABNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     20999 | PA      | $260.94       | 0.00%             | 2028-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-13, Class WH             | CUSIP: 3136ACD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1087000 | PA      | $905130.44    | 0.03%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 13-31 Class NT                | CUSIP: 3136ADFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     25198 | PA      | $24194.81     | 0.00%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-34 Class GP              | CUSIP: 3136ADQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    215839 | PA      | $207902.00    | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-35 Class YT              | CUSIP: 3136ADSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     76675 | PA      | $79232.36     | 0.00%             | 2032-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-35 Class CV              | CUSIP: 3136ADSQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    370000 | PA      | $359619.10    | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-43, Class XL             | CUSIP: 3136ADZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5000000 | PA      | $4490878.00   | 0.15%             | 2043-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-84, Class B              | CUSIP: 3136AF5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1351496.55   | 0.04%             | 2043-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-89 Class DI              | CUSIP: 3136AFY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    592185 | PA      | $38882.07     | 0.00%             | 2033-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 13-115, Class PB              | CUSIP: 3136AG5V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    300000 | PA      | $278995.59    | 0.01%             | 2043-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-104 Class CY             | CUSIP: 3136AGSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    300000 | PA      | $307348.44    | 0.01%             | 2043-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2014-2 Class PB               | CUSIP: 3136AJBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    434741 | PA      | $420553.31    | 0.01%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2015-24, Class ZA             | CUSIP: 3136AM6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2012181 | PA      | $1807371.83   | 0.06%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2015-11 Class MZ              | CUSIP: 3136AMXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5394463 | PA      | $5217974.06   | 0.17%             | 2043-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2015-82 Class AI              | CUSIP: 3136AQHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    242671 | PA      | $10058.08     | 0.00%             | 2034-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 16-28, Class DI               | CUSIP: 3136AR2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    256760 | PA      | $11690.49     | 0.00%             | 2035-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-30 Class IN              | CUSIP: 3136ARX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    360314 | PA      | $8822.83      | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-24 Class KI              | CUSIP: 3136ASED4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    191146 | PA      | $11706.33     | 0.00%             | 2035-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-32 Class GO              | CUSIP: 3136ASTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     11453 | PA      | $5112.92      | 0.00%             | 2043-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-68, Class AL             | CUSIP: 3136ATQ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    876551 | PA      | $800763.12    | 0.03%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2016-80, Class CZ              | CUSIP: 3136AUFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    664620 | PA      | $444290.54    | 0.01%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2017-10, Class LZ             | CUSIP: 3136AVPM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4135431 | PA      | $3653687.55   | 0.12%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2017-16, Class UW             | CUSIP: 3136AVZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2044494 | PA      | $1869273.71   | 0.06%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2017-34, Class KB             | CUSIP: 3136AWTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6378134 | PA      | $5695469.56   | 0.18%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2017-77 Class HZ              | CUSIP: 3136AYFY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3506388 | PA      | $3221239.86   | 0.10%             | 2047-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-08 Class DZ              | CUSIP: 3136B0VY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    495420 | PA      | $454486.69    | 0.01%             | 2048-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-37, Class CL             | CUSIP: 3136B15C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    622735 | PA      | $508292.50    | 0.02%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 18-31 Class KB                | CUSIP: 3136B1YC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    163434 | PA      | $144963.12    | 0.00%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | FEDERAL NATIONAL MORTGAGE ASSOC. Series 18-31 Class KQ                     | CUSIP: 3136B1YE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    600000 | PA      | $548393.70    | 0.02%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-66, Class PZ             | CUSIP: 3136B25U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    642451 | PA      | $517849.56    | 0.02%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-71, Class PZ             | CUSIP: 3136B2H47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  15746430 | PA      | $14993144.25  | 0.49%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2018-69, Class PZ              | CUSIP: 3136B2XT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1575044 | PA      | $1430876.34   | 0.05%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-01, Class MH             | CUSIP: 3136B3F62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    141624 | PA      | $128323.22    | 0.00%             | 2049-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-77, Class BY             | CUSIP: 3136B3JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2219225 | PA      | $1990123.98   | 0.06%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-8 Class ZD               | CUSIP: 3136B3W97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    583594 | PA      | $534346.45    | 0.02%             | 2049-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-40, Class PL             | CUSIP: 3136B4E38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    318000 | PA      | $252548.06    | 0.01%             | 2049-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2019-038 Class MT             | CUSIP: 3136B5FW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    695872 | PA      | $628664.58    | 0.02%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Assoication Series 209-31, Class CI              | CUSIP: 3136B5MM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    408338 | PA      | $18891.12     | 0.00%             | 2047-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 19-42 Class DZ                | CUSIP: 3136B5WJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1806573 | PA      | $1255589.82   | 0.04%             | 2049-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-60 ClassWZ               | CUSIP: 3136B6US0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    621827 | PA      | $409006.86    | 0.01%             | 2049-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-60, Class DZ             | CUSIP: 3136B6VK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1734690 | PA      | $1020749.24   | 0.03%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-83, Class EB             | CUSIP: 3136B8BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    171000 | PA      | $93045.51     | 0.00%             | 2050-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-15, Class KY             | CUSIP: 3136B8M63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2077414 | PA      | $1473810.14   | 0.05%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-42, Class BY             | CUSIP: 3136B95Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    935000 | PA      | $580622.38    | 0.02%             | 2050-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-22 Class AY              | CUSIP: 3136B9GY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1254000 | PA      | $739883.58    | 0.02%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-22, Class CA             | CUSIP: 3136B9HE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1246182 | PA      | $1140904.40   | 0.04%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-50, Class A              | CUSIP: 3136BAZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6199680 | PA      | $5215070.76   | 0.17%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-61, Class DB             | CUSIP: 3136BBG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4341756 | PA      | $3241074.72   | 0.11%             | 2060-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-55, Class EY             | CUSIP: 3136BBQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2300000 | PA      | $1651924.86   | 0.05%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2020-81, Class MA             | CUSIP: 3136BCKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3413041 | PA      | $2685345.83   | 0.09%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2020-95, Class KY             | CUSIP: 3136BDNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2060000 | PA      | $1215400.21   | 0.04%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2021-13, Class AG             | CUSIP: 3136BFPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4178398 | PA      | $3558319.98   | 0.12%             | 2049-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2021-15 Class HD              | CUSIP: 3136BFWW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    787741 | PA      | $589132.69    | 0.02%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-43, Class CJ             | CUSIP: 3136BH5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2898859 | PA      | $2168106.87   | 0.07%             | 2051-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-43, Class ME             | CUSIP: 3136BH6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2270577 | PA      | $1801528.68   | 0.06%             | 2051-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-25, Class JB             | CUSIP: 3136BHED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1326154 | PA      | $1023718.10   | 0.03%             | 2051-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-34, Class KC             | CUSIP: 3136BHVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    394110 | PA      | $209578.68    | 0.01%             | 2051-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-79, Class EL             | CUSIP: 3136BJB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6270200 | PA      | $5219397.64   | 0.17%             | 2051-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-73 Class ZD              | CUSIP: 3136BJE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1502869 | PA      | $701328.62    | 0.02%             | 2051-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 2021-66, Class NP             | CUSIP: 3136BJQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3313889 | PA      | $2469578.57   | 0.08%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 22-1 Class GE                 | CUSIP: 3136BLMX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3218208 | PA      | $2804662.79   | 0.09%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Series 22-4 Class QM                 | CUSIP: 3136BLXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1602020 | PA      | $1097618.56   | 0.04%             | 2048-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 22-49 Class GZ                | CUSIP: 3136BNA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5226584 | PA      | $4614615.58   | 0.15%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2023-21, Class MY             | CUSIP: 3136BP2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2047000 | PA      | $1931494.95   | 0.06%             | 2053-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2023-67, Class LA              | CUSIP: 3136BQC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8560967 | PA      | $8806783.18   | 0.29%             | 2054-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 23-56 Class BZ                | CUSIP: 3136BQNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7088273 | PA      | $7546149.99   | 0.25%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Strip SMBS 368                        | CUSIP: 3136FCJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245203 | PA      | $29394.36     | 0.00%             | 2036-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 378, Class 22                 | CUSIP: 3136FEMZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354519 | PA      | $46700.42     | 0.00%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Sieres 384 Class 11                  | CUSIP: 3136FES37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288652 | PA      | $37077.47     | 0.00%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Sereis 398 Class C5                  | CUSIP: 3136FGRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426077 | PA      | $73193.17     | 0.00%             | 2039-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association FNMA Strip                           | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667759 | PA      | $118387.08    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN 252409                       | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19164 | PA      | $19500.54     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3759, Clas ME                | CUSIP: 3137A2TQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    513073 | PA      | $492011.27    | 0.02%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3852, Class NT               | CUSIP: 3137ABA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1419579 | PA      | $1227043.83   | 0.04%             | 2041-05-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3895 Class BF                | CUSIP: 3137ACUF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     42884 | PA      | $42610.45     | 0.00%             | 2041-07-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3923, Class CZ               | CUSIP: 3137AFKF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    346701 | PA      | $351990.27    | 0.01%             | 2041-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3919 Class QS                | CUSIP: 3137AFRK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    439267 | PA      | $16088.65     | 0.00%             | 2030-08-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association Series 3959, Class PZ               | CUSIP: 3137AHHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3745882 | PA      | $3727589.76   | 0.12%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4074 Class JY                | CUSIP: 3137ASKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    699000 | PA      | $635172.35    | 0.02%             | 2042-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4074 Class SJ                | CUSIP: 3137ASM92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    538120 | PA      | $66493.93     | 0.00%             | 2042-07-15      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4122, Class AB               | CUSIP: 3137AUXZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7214107 | PA      | $6563299.99   | 0.21%             | 2042-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4120, Class ZA               | CUSIP: 3137AVJV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6303376 | PA      | $5833465.50   | 0.19%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4116, Class YC               | CUSIP: 3137AVPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1412000 | PA      | $1090951.87   | 0.04%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4136, Class LZ               | CUSIP: 3137AWJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3992742 | PA      | $3688334.24   | 0.12%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4153, Class YZ               | CUSIP: 3137AXT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4315698 | PA      | $3902717.39   | 0.13%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4165, Class ZT               | CUSIP: 3137AYTA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  17477221 | PA      | $14868927.53  | 0.48%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Lan Mortgage Corporation Series 4183 Class NQ                 | CUSIP: 3137B0EF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2920000 | PA      | $2707953.40   | 0.09%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 4180 Class BU                       | CUSIP: 3137B13L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2448026 | PA      | $2155924.83   | 0.07%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4180 Class ZB                | CUSIP: 3137B15N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    184063 | PA      | $149992.19    | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4210 Class Z                 | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1660816 | PA      | $1401247.95   | 0.05%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4204, Class QZ               | CUSIP: 3137B1ZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    727022 | PA      | $541134.32    | 0.02%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association Series 4265 Class FD                | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    144806 | PA      | $143744.21    | 0.00%             | 2035-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4312, Class ZB               | CUSIP: 3137B7Q36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9973938 | PA      | $9237817.33   | 0.30%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4333 Class GL                | CUSIP: 3137B9YV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    250000 | PA      | $226650.18    | 0.01%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp. Series 4377 Class KZ                      | CUSIP: 3137BDBN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    926462 | PA      | $836731.72    | 0.03%             | 2052-02-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4395, Class JZ               | CUSIP: 3137BEW59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3340854 | PA      | $2807372.90   | 0.09%             | 2052-12-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association 3.0%, Due 11/15/2044                | CUSIP: 3137BFBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1020410 | PA      | $878372.81    | 0.03%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4422 Class DO                | CUSIP: 3137BFJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    619094 | PA      | $488239.64    | 0.02%             | 2041-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4448, Class GZ               | CUSIP: 3137BGYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2946839 | PA      | $2423358.34   | 0.08%             | 2045-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 447 Class YZ                 | CUSIP: 3137BHBU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    858159 | PA      | $831976.84    | 0.03%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | FEDERAL NATIONAL MORTGAGE ASSOC. SERIES 4473 CLASS Z                       | CUSIP: 3137BJAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    439406 | PA      | $366618.97    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Association Series 4531 Class PZ                | CUSIP: 3137BLY44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1190177 | PA      | $1110814.44   | 0.04%             | 2045-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4613 Class AF                | CUSIP: 3137BRZK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    216217 | PA      | $216473.91    | 0.01%             | 2037-11-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4620, Class DZ               | CUSIP: 3137BSAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7001805 | PA      | $5864834.73   | 0.19%             | 2046-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4623, Class BZ               | CUSIP: 3137BSJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3210628 | PA      | $3011778.67   | 0.10%             | 2046-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4768, Class ZH               | CUSIP: 3137F3K60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1245236 | PA      | $1103270.46   | 0.04%             | 2048-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4776, Class CZ               | CUSIP: 3137F4MJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8869219 | PA      | $8433005.47   | 0.27%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5039, Class JL               | CUSIP: 3137F63U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1220468 | PA      | $940665.85    | 0.03%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 5057 Class DN                       | CUSIP: 3137F7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    809119 | PA      | $660602.40    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5072, Class DG               | CUSIP: 3137F96P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    670447 | PA      | $533021.05    | 0.02%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5072, Class ME               | CUSIP: 3137F97M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    749574 | PA      | $583103.40    | 0.02%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4710, Class GZ               | CUSIP: 3137FA5D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4749412 | PA      | $4045279.32   | 0.13%             | 2047-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 4738, Class LZ               | CUSIP: 3137FC4R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3684965 | PA      | $3215373.57   | 0.10%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 4738, Class TW               | CUSIP: 3137FC6F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1476000 | PA      | $1382087.58   | 0.04%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 4736 Class CL                | CUSIP: 3137FCHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    441240 | PA      | $388017.28    | 0.01%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 4745 Class CZ                       | CUSIP: 3137FDBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1322590 | PA      | $1228945.74   | 0.04%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4745, Class EZ               | CUSIP: 3137FDBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8678113 | PA      | $7660207.32   | 0.25%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 4753 Class EZ                       | CUSIP: 3137FDVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1579965 | PA      | $1453239.32   | 0.05%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 4839 Class AL                       | CUSIP: 3137FJGW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2326401 | PA      | $2000099.53   | 0.06%             | 2051-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 4892 Class PZ                       | CUSIP: 3137FMSZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1461637 | PA      | $972612.20    | 0.03%             | 2049-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4908, Class AB               | CUSIP: 3137FNBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6540338 | PA      | $5843119.37   | 0.19%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation SERIES 4911 CLASS JM                | CUSIP: 3137FNFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $776444.00    | 0.03%             | 2049-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4929, Class HP               | CUSIP: 3137FPKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6293777 | PA      | $5401505.51   | 0.18%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 4941, Class NW               | CUSIP: 3137FQU43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    758520 | PA      | $476084.09    | 0.02%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Association Series 4968, Class NP               | CUSIP: 3137FRYR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1296513 | PA      | $1376604.26   | 0.04%             | 2050-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5017, Class CB               | CUSIP: 3137FVRT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1069981 | PA      | $818585.69    | 0.03%             | 2050-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5011, Class DB               | CUSIP: 3137FVSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    262000 | PA      | $142490.43    | 0.00%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 5028 Class PW                       | CUSIP: 3137FWSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    684000 | PA      | $408911.41    | 0.01%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5019, Class PL               | CUSIP: 3137FXJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2026208 | PA      | $1559815.53   | 0.05%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5037, Class PA               | CUSIP: 3137FXM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4349213 | PA      | $3367837.81   | 0.11%             | 2050-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5038, Class PJ               | CUSIP: 3137FXP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5073714 | PA      | $3712436.00   | 0.12%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corp Series 5038 Class QP                       | CUSIP: 3137FXPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8071029 | PA      | $5884913.16   | 0.19%             | 2050-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5085, Class TY               | CUSIP: 3137FXRB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1263612 | PA      | $738967.37    | 0.02%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5099, Class CM               | CUSIP: 3137FY6S0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   3750000 | PA      | $2559451.13   | 0.08%             | 2047-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3740 Class FC                | CUSIP: 3137GAPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     51259 | PA      | $50832.15     | 0.00%             | 2040-10-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5103, Class LH               | CUSIP: 3137H0CZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1874468 | PA      | $1555469.66   | 0.05%             | 2050-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5115, Class AZ               | CUSIP: 3137H0UV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11397651 | PA      | $7884652.50   | 0.26%             | 2041-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5129, Class DM               | CUSIP: 3137H1NR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1184058 | PA      | $902473.45    | 0.03%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5146, Class ZW               | CUSIP: 3137H2GU2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1716375 | PA      | $850677.46    | 0.03%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5149, Class CA               | CUSIP: 3137H2RX4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1049335 | PA      | $754918.36    | 0.02%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corp Series 5155 Class MG                       | CUSIP: 3137H36W7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    857815 | PA      | $724405.54    | 0.02%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corp Series 5159 Class PL                       | CUSIP: 3137H3UE0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1228868 | PA      | $1026464.70   | 0.03%             | 2051-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corp Series 5159 Class WZ                       | CUSIP: 3137H3UW0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    697744 | PA      | $414492.31    | 0.01%             | 2050-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5173, Class BZ               | CUSIP: 3137H4CS7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1107358 | PA      | $653380.94    | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5189, Class ZP               | CUSIP: 3137H5VS3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   1077287 | PA      | $878783.75    | 0.03%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                  | Federal Home Loan Mortgage Corporation Series 5202, Class DZ               | CUSIP: 3137H5ZZ3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   2794677 | PA      | $1659886.69   | 0.05%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5210, Class BZ               | CUSIP: 3137H6WD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9132371 | PA      | $6286740.89   | 0.20%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5223, Class MZ               | CUSIP: 3137H7HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3788220 | PA      | $3340858.93   | 0.11%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5228, Class JL               | CUSIP: 3137H7UV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10614560 | PA      | $9010622.50   | 0.29%             | 2041-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5232, Class HL               | CUSIP: 3137H7YF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4120792 | PA      | $3586106.46   | 0.12%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 5249, Class PL               | CUSIP: 3137H8LS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2904186 | PA      | $2558722.33   | 0.08%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corp Series 5297 Class DB                       | CUSIP: 3137H9RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1239531 | PA      | $1153442.60   | 0.04%             | 2053-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5318, Class AZ               | CUSIP: 3137HA4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5221859 | PA      | $5152525.62   | 0.17%             | 2053-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5332, Class CZ               | CUSIP: 3137HADN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4561665 | PA      | $4672946.09   | 0.15%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5510, Class HB               | CUSIP: 3137HJN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6749677 | PA      | $4283128.36   | 0.14%             | 2048-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5519, Class GV               | CUSIP: 3137HK6U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11882435 | PA      | $12294153.81  | 0.40%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5526, Class DB               | CUSIP: 3137HKT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3595220 | PA      | $2266497.87   | 0.07%             | 2048-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5583, Class NV               | CUSIP: 3137HNGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  12013276 | PA      | $12413645.08  | 0.40%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL3200                          | CUSIP: 3138EKRW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146561 | PA      | $142903.79    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL5166                          | CUSIP: 3138EMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021712 | PA      | $983212.19    | 0.03%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL6685                          | CUSIP: 3138EPNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419739 | PA      | $414865.04    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN AM5015                       | CUSIP: 3138L5SD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687783 | PA      | $694059.86    | 0.02%             | 2043-12-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN3598                          | CUSIP: 3138LF7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243896 | PA      | $235002.64    | 0.01%             | 2028-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN6149                          | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $702545.61    | 0.02%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN7612                          | CUSIP: 3138LLN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238431 | PA      | $224689.19    | 0.01%             | 2032-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN0035                          | CUSIP: 3138NJBD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5455973 | PA      | $5129437.99   | 0.17%             | 2032-12-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool #AS4073                         | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132938 | PA      | $128778.40    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AS5236                          | CUSIP: 3138WEZA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866626 | PA      | $833992.24    | 0.03%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool # AS7287                        | CUSIP: 3138WHCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146684 | PA      | $145477.41    | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool #7120                           | CUSIP: 3138WU4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224472 | PA      | $220314.91    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2002-86 Class PG              | CUSIP: 31392FWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     28567 | PA      | $29650.90     | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2003-W2 Class 1-1A            | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    423938 | PA      | $444623.19    | 0.01%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2003-W10 Class 3A-5           | CUSIP: 31393DUU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2177337 | PA      | $2187935.61   | 0.07%             | 2043-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Pool# 2646                          | CUSIP: 31393W2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    153014 | PA      | $154166.93    | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2004-17 Class BA              | CUSIP: 31393XA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    429015 | PA      | $442777.28    | 0.01%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2004-56 Class Z               | CUSIP: 31393Y5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     56607 | PA      | $60886.31     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 2004-61, Ckass GO             | CUSIP: 31394ARR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    164845 | PA      | $150591.62    | 0.00%             | 2032-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 2004-91, Clas SP              | CUSIP: 31394BZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     78860 | PA      | $84748.99     | 0.00%             | 2031-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-3 Class CG               | CUSIP: 31394CBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    105195 | PA      | $109159.28    | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-52, Class JH             | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    144319 | PA      | $6885.48      | 0.00%             | 2035-05-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-62, Class ZL             | CUSIP: 31394EPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    165224 | PA      | $170926.11    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-56 Class DC              | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    211728 | PA      | $207904.69    | 0.01%             | 2036-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3102 Class TA                | CUSIP: 31396H6P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    144062 | PA      | $143813.79    | 0.00%             | 2036-01-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal Home Loan Mortgage Corporation SERIES 2006-71 CLASS ZH             | CUSIP: 31396KUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    159442 | PA      | $167988.39    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-96 Class MO              | CUSIP: 31396LCF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     10074 | PA      | $9203.29      | 0.00%             | 2036-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-108 Class FD             | CUSIP: 31396LTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     59493 | PA      | $58973.75     | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2007-39 Class NB              | CUSIP: 31396VSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     63664 | PA      | $63047.49     | 0.00%             | 2037-05-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2007-95 Class A3              | CUSIP: 31396XWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1543633.60   | 0.05%             | 2036-08-27      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Principal Only                      | CUSIP: 31397A4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     57109 | PA      | $49019.41     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2009-19 Class TD              | CUSIP: 31397NUG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     48585 | PA      | $49525.77     | 0.00%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association 4.0%, Due 12/25/2028                 | CUSIP: 31397Q4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     71578 | PA      | $71426.42     | 0.00%             | 2028-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2011-14 Class PB              | CUSIP: 31397SBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    334521 | PA      | $344790.65    | 0.01%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 11-62 Class UA                | CUSIP: 31397U6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    588930 | PA      | $578924.02    | 0.02%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2011-57 Class PD              | CUSIP: 31397UM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    321407 | PA      | $313320.79    | 0.01%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2009-103 Class MB             | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     83056 | PA      | $83737.14     | 0.00%             | 2039-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 3605 Class PB                | CUSIP: 31398KP95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     41084 | PA      | $41418.16     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Principal Only                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44638 | PA      | $38597.08     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Principal Only                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    172527 | PA      | $148420.97    | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2010-118, Class DZ            | CUSIP: 31398NUV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1546643 | PA      | $1527537.84   | 0.05%             | 2040-10-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2010-44 Class CS              | CUSIP: 31398PWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     33022 | PA      | $3339.11      | 0.00%             | 2040-05-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool DA1521                          | CUSIP: 3140A1VP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7093370 | PA      | $7333596.56   | 0.24%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN DC6991                       | CUSIP: 3140AUXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20913028 | PA      | $20917358.78  | 0.68%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN DC9203                       | CUSIP: 3140AXGM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8612818 | PA      | $8614601.50   | 0.28%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN DC6393                       | CUSIP: 3140B7C76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12819186 | PA      | $13288109.22  | 0.43%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BK8466                       | CUSIP: 3140HNMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009753 | PA      | $943285.18    | 0.03%             | 2050-12-01      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BL4548                          | CUSIP: 3140HWBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173885 | PA      | $165120.31    | 0.01%             | 2029-10-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BL9861                          | CUSIP: 3140J25X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2085000 | PA      | $1847143.78   | 0.06%             | 2030-12-01      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BM6452                          | CUSIP: 3140JBE28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2629384 | PA      | $2453360.77   | 0.08%             | 2050-10-01      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BM6530                          | CUSIP: 3140JBGH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254735 | PA      | $232182.30    | 0.01%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BM6504                       | CUSIP: 3140JBGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8642839 | PA      | $8123066.50   | 0.26%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BM6732                       | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12739534 | PA      | $12400614.11  | 0.40%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BM7598                          | CUSIP: 3140JCNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5043316 | PA      | $4651106.25   | 0.15%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BP7449                       | CUSIP: 3140KFH32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727731 | PA      | $715254.89    | 0.02%             | 2050-10-01      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BQ5239                       | CUSIP: 3140KQZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392250 | PA      | $1373678.70   | 0.04%             | 2050-10-01      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                         | Federal National Mortgage Association Pool FN BR9977                       | CUSIP: 3140L9CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2296197 | PA      | $2100159.90   | 0.07%             | 2051-06-01      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                         | Federal National Mortgage Association Pool BS0038                          | CUSIP: 3140LABG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1967596 | PA      | $1735163.31   | 0.06%             | 2031-01-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                         | Federal National Mortgage Association Pool BS0602                          | CUSIP: 3140LAU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12186000 | PA      | $10800247.68  | 0.35%             | 2031-01-01      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN BS0915                       | CUSIP: 3140LBAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $2789101.57   | 0.09%             | 2031-03-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BS3542                          | CUSIP: 3140LD5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850000 | PA      | $2022527.47   | 0.07%             | 2041-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BS3369                          | CUSIP: 3140LDW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7768000 | PA      | $5531471.62   | 0.18%             | 2041-10-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BS7220                          | CUSIP: 3140LJAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3187000 | PA      | $3328975.97   | 0.11%             | 2032-11-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BS7349                          | CUSIP: 3140LJEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1043873.12   | 0.03%             | 2032-12-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BZ0326                          | CUSIP: 3140NULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2834266 | PA      | $2929302.44   | 0.10%             | 2031-01-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BZ0414                          | CUSIP: 3140NUN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2094944 | PA      | $2161508.15   | 0.07%             | 2031-01-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool CA6940                          | CUSIP: 3140QEWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2211334 | PA      | $2078805.66   | 0.07%             | 2050-09-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool CA8249                          | CUSIP: 3140QGEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7788264 | PA      | $6034755.85   | 0.20%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool CA9112                          | CUSIP: 3140QHDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14710461 | PA      | $11058161.13  | 0.36%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FS9979                          | CUSIP: 3140XSCR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21758788 | PA      | $22536842.25  | 0.73%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN MA2198                       | CUSIP: 31418BNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166112 | PA      | $162083.20    | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN MA2778                       | CUSIP: 31418CCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74351 | PA      | $69420.24     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool MA3050                          | CUSIP: 31418CL85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242424 | PA      | $242594.78    | 0.01%             | 2037-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Pool MA4199                          | CUSIP: 31418DUZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725542 | PA      | $545401.81    | 0.02%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association PoOl MA4294                          | CUSIP: 31418DXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2692256 | PA      | $2023823.58   | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FedEx Corporation                                                        | Fedex Corporation 2.40%, Due 05/15/2031                                    | CUSIP: 31428XDH6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    500000 | PA      | $453648.69    | 0.01%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal National Mortgage Association Pool FH 8C0205                       | CUSIP: 3142BAGN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3212054 | PA      | $3036764.34   | 0.10%             | 2052-02-01      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Federal Express Corporation                                              | Fedex 1.875%, Due 08/20/2035                                               | CUSIP: 314353AA1<br>LEI: 2138002VCAKQQ63C7C03 | Long             | ABS-O            | CORP              | US        |   2744458 | PA      | $2394498.94   | 0.08%             | 2035-08-20      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FIDELIS MTG TR 2025-RTL1                                                 | Fidelis Mortgage Trust Series 25-RTL1 Class A2                             | CUSIP: 31575LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2236134.12   | 0.07%             | 2040-02-27      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                               | Fidelity National Information Services 1.65%, Due 03/01/2028               | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    300000 | PA      | $284778.07    | 0.01%             | 2028-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 1.707%, Due 11/01/2027                                 | CUSIP: 316773DD9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    450000 | PA      | $441409.33    | 0.01%             | 2027-11-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: —       |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 6.361%, Due 10/27/2028                                 | CUSIP: 316773DJ6<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520166.09    | 0.02%             | 2028-10-27      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 6.339%, Due 07/27/2029                                 | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    750000 | PA      | $789841.19    | 0.03%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Finbe USA Trust 2025-1                                                   | FinBe Series 2025-1A, Class B                                              | CUSIP: 317967AB3<br>LEI: 4469000001BR51E83192 | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3341981.38   | 0.11%             | 2030-12-16      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Bank                                                       | FIRST TENNESSEE BANK 5.75%, DUE 05/01/2030                                 | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258270.13    | 0.01%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| FLAGSHIP CREDIT AUTO TRUST 2023-1                                        | Flagship Credit Auto Trust Series 2023-1, Class C                          | CUSIP: 337955AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4625000 | PA      | $4611537.55   | 0.15%             | 2029-05-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                | Florida Power & Light Company 5.10%, Due 04/01/2033                        | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $517822.30    | 0.02%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ford Motor Company                                                       | Ford Motor Company 3.250% Due 02/12/2032                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $881167.88    | 0.03%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                            | Ford Motor Credit Company, LLC 6.80%, Due 05/12/2028                       | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2086951.32   | 0.07%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                   | Foundry JV Holdco, LLC 6.15%, Due 01/25/2032                               | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $529844.07    | 0.02%             | 2032-01-25      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 2021-MN1                     | CUSIP: 35563FAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    513212 | PA      | $512029.23    | 0.02%             | 2051-01-25      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 2021-MN3, Class M1           | CUSIP: 35563GAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3147161 | PA      | $3150732.53   | 0.10%             | 2051-11-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | MultiFamily Structured Credit Series 22-MN4, Class M1                      | CUSIP: 35563HAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2748147 | PA      | $2811030.10   | 0.09%             | 2052-05-25      | Floating      | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 2025-MN10, Class M1          | CUSIP: 35563UAA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3961400 | PA      | $3924522.14   | 0.13%             | 2045-02-25      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Federal Home Loan Mortgage Corporation Series 2025-MN10, Class M2          | CUSIP: 35563UAB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1550000 | PA      | $1534630.36   | 0.05%             | 2045-02-25      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Multifamily Structured Credit Risk Series 25-MN12 Class M1                 | CUSIP: 355913AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4992000 | PA      | $4992256.09   | 0.16%             | 2045-11-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | MultiFamily Structured Credit Series 2024-MN9, Class M1                    | CUSIP: 355917AA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3195997 | PA      | $3205884.86   | 0.10%             | 2044-10-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS TRUST 2022-3FP                                                 | Freedom Financial Series 2022-3FP, Class D                                 | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1231319 | PA      | $1237033.25   | 0.04%             | 2029-08-20      | Fixed         | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Fremf 2012 Kf01 Mortgage Trust                                           | FREMG Mortgage Trust Series 2018-KF50, Class B                             | CUSIP: 35709BAC9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    338254 | PA      | $326207.56    | 0.01%             | 2028-07-25      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA5738M                      | CUSIP: 36179ULT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109697 | PA      | $109970.22    | 0.00%             | 2034-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 MA7248                    | CUSIP: 36179WBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997107 | PA      | $879113.08    | 0.03%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA7385                       | CUSIP: 36179WF29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1248012 | PA      | $1108956.40   | 0.04%             | 2036-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA7929M                      | CUSIP: 36179WY28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5881887 | PA      | $5268570.38   | 0.17%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA9367                       | CUSIP: 36179YMQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3053286 | PA      | $3159634.58   | 0.10%             | 2053-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA9428                       | CUSIP: 36179YPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1118884 | PA      | $1158379.62   | 0.04%             | 2054-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Pool G2 CN5057                     | CUSIP: 3617F4TN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1697803 | PA      | $1641839.94   | 0.05%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool CN5236C                      | CUSIP: 3617F4Y98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3713799 | PA      | $3518904.08   | 0.11%             | 2062-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Pool G2 CN5237                     | CUSIP: 3617F4ZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436296 | PA      | $1388949.32   | 0.05%             | 2062-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool CP5023                       | CUSIP: 3617FUSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541273 | PA      | $1566537.90   | 0.05%             | 2062-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CI6717                    | CUSIP: 3617XBPA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1757377 | PA      | $1579809.15   | 0.05%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CM7497                    | CUSIP: 3617YTKJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4289359 | PA      | $4261977.63   | 0.14%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CQ3549                    | CUSIP: 3618A55J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219519 | PA      | $195135.14    | 0.01%             | 2062-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CR2128                    | CUSIP: 3618AGLH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802193 | PA      | $713140.87    | 0.02%             | 2055-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CS5780                    | CUSIP: 3618AYM56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323603 | PA      | $287658.84    | 0.01%             | 2063-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 CX4361                    | CUSIP: 3618FQZ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333125 | PA      | $351593.91    | 0.01%             | 2053-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool G2 DJ1126                    | CUSIP: 3618KMHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22671542 | PA      | $23557833.33  | 0.77%             | 2065-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 5.50%, Due 11/15/2038             | CUSIP: 3622A2XG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190612 | PA      | $196146.24    | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool GN 784541                    | CUSIP: 3622A3BJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73177 | PA      | $73427.67     | 0.00%             | 2046-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 4.50%, Due 08/20/2049             | CUSIP: 3622AAF90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356515 | PA      | $337343.09    | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool 784991                       | CUSIP: 3622AANG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3152789 | PA      | $2821016.41   | 0.09%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 3.50%, Due 08/20/2052             | CUSIP: 3622AC5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8703576 | PA      | $7817161.64   | 0.25%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool 711522X                      | CUSIP: 36297GPF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187015 | PA      | $189981.25    | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                   | General Motors Company 5.625%, Due 04/15/2030                              | CUSIP: 37045VBA7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4688657.96   | 0.15%             | 2030-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                                    | General Motors Financial Company, Inc 1.50% Due 06/10/2026                 | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $692081.60    | 0.02%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| General Motors Financial Company  Inc                                    | General Motors Financial Company 5.75%, Due 02/08/2031                     | CUSIP: 37045XER3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    500000 | PA      | $525902.66    | 0.02%             | 2031-02-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                                    | General Motros Financial Company 5.45%, Due 09/06/2034                     | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1724463.83   | 0.06%             | 2034-09-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GENESIS SLS FIN MSTR TR 2019-A                                           | Genesis Sales Finance Master Trust Series 2024-B, Class D                  | CUSIP: 37186XBA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5073490.00   | 0.16%             | 2032-12-20      | Fixed         | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Incorporated 5.207%, Due 01/28/2031                    | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1858762.60   | 0.06%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Inc 2.6%, Due 02/07/2030                               | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469835.10    | 0.02%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Inc 1.992%, Due 01/27/2032                             | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4042084.59   | 0.13%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group, Inc. 2.615%, Due 04/22/2032                           | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9175000 | PA      | $8365884.00   | 0.27%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Inc 1.948%, Due 10/21/2027                             | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $983087.54    | 0.03%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS                                      | GoodLeap Sustainable Home Improvement Loan Trust Series 2024-1GS, Class A  | CUSIP: 38237BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2170507 | PA      | $2112139.27   | 0.07%             | 2057-06-20      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS                                      | GoodLeap Sustainable Home Improvement Loan Trust Series 2023-1GS, Class A  | CUSIP: 38237VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3575414 | PA      | $3339135.54   | 0.11%             | 2055-02-22      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2004-49 Class MZ           | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    604423 | PA      | $607355.83    | 0.02%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2005-13 Class BG           | CUSIP: 38374KUK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    136232 | PA      | $137245.99    | 0.00%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 6.00%, Due 04/20/2036             | CUSIP: 38374MX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     84327 | PA      | $85100.06     | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2012-74 Class LY           | CUSIP: 38375CZ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    935000 | PA      | $724769.36    | 0.02%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-H16 Class DB          | CUSIP: 38375UE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     13673 | PA      | $13601.61     | 0.00%             | 2067-08-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2014-H14 Class FA          | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     79822 | PA      | $79837.91     | 0.00%             | 2064-07-20      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-H11 Class FD          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     62316 | PA      | $62733.17     | 0.00%             | 2066-05-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2009-2 Class PA            | CUSIP: 38375Y3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     24818 | PA      | $24828.13     | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-H18 Class EB          | CUSIP: 38376R6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     15306 | PA      | $15319.25     | 0.00%             | 2063-06-20      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-080 Class BZ          | CUSIP: 38376U3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    472441 | PA      | $358160.68    | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government Naitonal Mortgage Association Series 2011-21 , Class SA         | CUSIP: 38377TVT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1100590 | PA      | $108124.02    | 0.00%             | 2041-02-16      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2011-34, Class MB          | CUSIP: 38377UPB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1770005 | PA      | $1711176.99   | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2011-139 Class LS          | CUSIP: 38377YS43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1704118 | PA      | $84191.42     | 0.00%             | 2038-03-16      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 12-34 Class LC             | CUSIP: 38378D2S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1415051 | PA      | $1160932.96   | 0.04%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 13-6 Class PE              | CUSIP: 38378FHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    169000 | PA      | $134780.29    | 0.00%             | 2043-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 13-5 Class GY              | CUSIP: 38378FTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    809000 | PA      | $665670.28    | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 12-134 Class KM            | CUSIP: 38378GBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    342000 | PA      | $254120.09    | 0.01%             | 2042-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2012-145, Class PY         | CUSIP: 38378GPW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1900000 | PA      | $1596075.62   | 0.05%             | 2042-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2012-113 Class NZ          | CUSIP: 38378HSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    330016 | PA      | $307346.60    | 0.01%             | 2042-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-186, Class PY         | CUSIP: 38378PUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4500000 | PA      | $3987753.30   | 0.13%             | 2042-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-82, Class NS          | CUSIP: 38378TDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1294967 | PA      | $704065.36    | 0.02%             | 2043-05-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-149, Class LZ         | CUSIP: 38378UKN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3002158 | PA      | $2597508.36   | 0.08%             | 2043-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-147 Class SD          | CUSIP: 38378UPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    954940 | PA      | $119676.85    | 0.00%             | 2039-12-20      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-113 Class QS          | CUSIP: 38378WNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    171971 | PA      | $13654.00     | 0.00%             | 2042-02-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2014-79, Class HU           | CUSIP: 38379B3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    458502 | PA      | $374922.06    | 0.01%             | 2040-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2014-58, Class PE          | CUSIP: 38379BRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10388000 | PA      | $9999880.43   | 0.32%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-161, Class AV         | CUSIP: 38379FUL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    168080 | PA      | $165817.30    | 0.01%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-76, Class MZ          | CUSIP: 38379LN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2738545 | PA      | $2471874.09   | 0.08%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-123 Class VB          | CUSIP: 38379QDD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     94718 | PA      | $94442.84     | 0.00%             | 2035-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-179 Class ZB          | CUSIP: 38379TBD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     63280 | PA      | $46791.22     | 0.00%             | 2045-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION Series 2016-32 Class MS           | CUSIP: 38379VV50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1296349 | PA      | $148459.98    | 0.00%             | 2046-03-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-38 Class ZP           | CUSIP: 38379VWQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     84360 | PA      | $62154.04     | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 16-37, Class YA            | CUSIP: 38379VYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1052771 | PA      | $924698.38    | 0.03%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2016-74 Class PL            | CUSIP: 38379WXZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1042942 | PA      | $950217.63    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-77, Class GY          | CUSIP: 38379YKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1110000 | PA      | $1013715.49   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-116, Class ZB         | CUSIP: 38380AJZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1398604 | PA      | $1207546.90   | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-120, Class YA         | CUSIP: 38380ATH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    500000 | PA      | $434092.50    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association SERIES 2016-118 CLASS LB          | CUSIP: 38380AUC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    500000 | PA      | $441675.10    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association IO SERIES 2017-004 CLASS WI       | CUSIP: 38380CUH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    377277 | PA      | $16639.30     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-120, Class JZ         | CUSIP: 38380GSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    731062 | PA      | $619164.63    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 2018-006, Class JY         | CUSIP: 38380U5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    362000 | PA      | $319312.71    | 0.01%             | 2048-01-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-14 Class MZ           | CUSIP: 38380UX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    437356 | PA      | $285213.96    | 0.01%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-46, Class CZ          | CUSIP: 38380V4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12407810 | PA      | $11008852.77  | 0.36%             | 2048-03-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-024 Class DL          | CUSIP: 38380VAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1570935 | PA      | $1444088.61   | 0.05%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 18-097 Class GY            | CUSIP: 38380XJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1162000 | PA      | $1126560.16   | 0.04%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Federal National Mortgage Association Series 2018-091 Class VL             | CUSIP: 38380XUD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    788230 | PA      | $771200.11    | 0.03%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-124, Class Z          | CUSIP: 38380Y2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4117843 | PA      | $3869269.57   | 0.13%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2018-105, Class ZK          | CUSIP: 38380YRT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    536094 | PA      | $475492.48    | 0.02%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | GOV'T NATIONAL MORTGAGE ASSOC Series 18-120 Class PY                       | CUSIP: 38380YTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    480207 | PA      | $433380.22    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-154, Class ZU         | CUSIP: 38381AUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    571904 | PA      | $478304.66    | 0.02%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-166, Class Z          | CUSIP: 38381BAV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    547067 | PA      | $452940.65    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-031, Class AZ         | CUSIP: 38381RYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    153597 | PA      | $153114.36    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2019-42, Class AB           | CUSIP: 38381TE84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5907362 | PA      | $5318691.59   | 0.17%             | 2049-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Government National Mortgage Association Series 2019-052 Class HL          | CUSIP: 38381VBG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    490565 | PA      | $435616.81    | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae (Ze)                                                          | Government National Mortgage Assocation Series 2019-92, Class DB           | CUSIP: 38381WV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1359028 | PA      | $1196704.85   | 0.04%             | 2048-01-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2019-85, Class MC           | CUSIP: 38381XPL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    693841 | PA      | $626730.91    | 0.02%             | 2049-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 19-99 Class GP             | CUSIP: 38381XTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    517000 | PA      | $401629.90    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 19-99, Class EW            | CUSIP: 38381XUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    540446 | PA      | $427967.41    | 0.01%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 19-98 Class BI             | CUSIP: 38381YBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    847484 | PA      | $205272.66    | 0.01%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-152, Class LC         | CUSIP: 38382BF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2728826 | PA      | $2547901.38   | 0.08%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-15, Class EH          | CUSIP: 38382CRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1489363 | PA      | $1259767.97   | 0.04%             | 2050-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2020-093, Class AZ          | CUSIP: 38382FF33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    916200 | PA      | $654956.60    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-93, Class CP          | CUSIP: 38382FF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2514944 | PA      | $2165080.79   | 0.07%             | 2050-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-84, Class LB          | CUSIP: 38382FM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4298968 | PA      | $3395699.28   | 0.11%             | 2050-06-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 2020-97, Class ML          | CUSIP: 38382GWF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1975000 | PA      | $1235941.37   | 0.04%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 20-133, Class ZM           | CUSIP: 38382JG42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    506863 | PA      | $181782.99    | 0.01%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-160, Class QD         | CUSIP: 38382KR54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    163028 | PA      | $81094.98     | 0.00%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-165, Class BP         | CUSIP: 38382KV67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    411440 | PA      | $349678.52    | 0.01%             | 2050-11-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                         | Government National Mortgage Association Series 2020-183, Class AE         | CUSIP: 38382LSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    598103 | PA      | $315761.41    | 0.01%             | 2050-12-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-86, Class MB          | CUSIP: 38382QPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    689857 | PA      | $535242.18    | 0.02%             | 2051-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-89, Class JY          | CUSIP: 38382QXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1524647 | PA      | $892983.16    | 0.03%             | 2051-03-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-58, Class NA          | CUSIP: 38382RGV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    457375 | PA      | $355236.65    | 0.01%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-66, Class YM          | CUSIP: 38382RXZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1574554 | PA      | $1395621.67   | 0.05%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 21-81 Class KE             | CUSIP: 38382TSE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4136176 | PA      | $2363223.81   | 0.08%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-96, Class JK          | CUSIP: 38382UYF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2529677 | PA      | $1585904.82   | 0.05%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-97, Class PA          | CUSIP: 38382VJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1911563 | PA      | $1483933.92   | 0.05%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-121, Class JW         | CUSIP: 38382VMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1708699 | PA      | $966685.52    | 0.03%             | 2051-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-149, Class ZB         | CUSIP: 38382XCC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    324072 | PA      | $189169.95    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-158, Class KQ         | CUSIP: 38382XU94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2241331 | PA      | $1375639.23   | 0.04%             | 2051-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-205, Class ZL         | CUSIP: 38383C3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4765382 | PA      | $2165517.71   | 0.07%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-216, Class QM         | CUSIP: 38383D4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1172581 | PA      | $667633.15    | 0.02%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-216, Class Z          | CUSIP: 38383D6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6010138 | PA      | $3462825.04   | 0.11%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-196, Class YZ         | CUSIP: 38383DBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1144006 | PA      | $531323.28    | 0.02%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-101, Class PL         | CUSIP: 38383F5S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9199000 | PA      | $8580959.67   | 0.28%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-10, Class QJ          | CUSIP: 38383GAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1292813 | PA      | $762958.43    | 0.02%             | 2052-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-205, Class CE         | CUSIP: 38383HAT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2180598 | PA      | $2100732.51   | 0.07%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-205, Class CH         | CUSIP: 38383HAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3242719 | PA      | $3225291.01   | 0.10%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-206, Class GZ         | CUSIP: 38383HKG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1199195 | PA      | $1068130.21   | 0.03%             | 2051-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-13, Class JB          | CUSIP: 38383HNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    505050 | PA      | $455146.67    | 0.01%             | 2053-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-190, Class DZ         | CUSIP: 38383LAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2333324 | PA      | $2378606.58   | 0.08%             | 2052-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-197, Class JB         | CUSIP: 38383LFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1500715 | PA      | $1551345.52   | 0.05%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-200, Class SC         | CUSIP: 38383LPF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4232007 | PA      | $4655954.19   | 0.15%             | 2052-11-20      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-2019, Class JW        | CUSIP: 38383LQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2038000 | PA      | $2082955.43   | 0.07%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-69, Class BY          | CUSIP: 38383P2A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1000000 | PA      | $787076.00    | 0.03%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-84, Class AL          | CUSIP: 38383RT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2812353 | PA      | $2458654.05   | 0.08%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-125, Class JW         | CUSIP: 38383TWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2000000 | PA      | $1880499.40   | 0.06%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-129, Class PL         | CUSIP: 38383UCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3595000 | PA      | $3083717.66   | 0.10%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-136, Class PB         | CUSIP: 38383UPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1585000 | PA      | $1345841.89   | 0.04%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-4, Class BV           | CUSIP: 38383VKK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    978388 | PA      | $1003640.50   | 0.03%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-4, Class BZ           | CUSIP: 38383VKL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1789142 | PA      | $1686434.61   | 0.05%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2023-4, Class PB            | CUSIP: 38383VKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3932000 | PA      | $3845166.89   | 0.12%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-35, Class DB          | CUSIP: 38383VM62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1233954 | PA      | $1160362.46   | 0.04%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 23-18 Class ZA             | CUSIP: 38383VU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1887389 | PA      | $1755855.27   | 0.06%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-45, Class EZ          | CUSIP: 38383W4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2141202 | PA      | $2246685.67   | 0.07%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-45, Class HZ          | CUSIP: 38383W4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3441800 | PA      | $3200724.06   | 0.10%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-58, Class PZ          | CUSIP: 38383XTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6632933 | PA      | $6610099.26   | 0.21%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-260, Class GZ         | CUSIP: 38383YRT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14982385 | PA      | $9058166.94   | 0.29%             | 2052-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-160, Class QL         | CUSIP: 38383YSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5500000 | PA      | $5209798.00   | 0.17%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-172, Class MZ         | CUSIP: 38383YU59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2217638 | PA      | $2233482.71   | 0.07%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-70, Class BZ          | CUSIP: 38384ADW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5290682 | PA      | $5494463.72   | 0.18%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-065, Class LZ         | CUSIP: 38384AHJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1349892 | PA      | $1302265.43   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-82, Class GZ          | CUSIP: 38384AT29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2728231 | PA      | $2794307.41   | 0.09%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2023-66, Class ZE           | CUSIP: 38384AWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3320996 | PA      | $3521196.99   | 0.11%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                                     | Government National Mortgage Association Series 2023-96, Class CB          | CUSIP: 38384B2G5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1837597 | PA      | $1946657.92   | 0.06%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                                     | Government National Mortgage Association Series 2023-81, Class KB          | CUSIP: 38384BAV3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2641260 | PA      | $2783107.62   | 0.09%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-117, Class LZ         | CUSIP: 38384CGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7846742 | PA      | $8200613.82   | 0.27%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-115, Class VL         | CUSIP: 38384CH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3159882 | PA      | $3274222.01   | 0.11%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-128, Class LZ         | CUSIP: 38384CMZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7288051 | PA      | $7580948.67   | 0.25%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-113, Class QC         | CUSIP: 38384CWJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6188700 | PA      | $6488135.30   | 0.21%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-165, Class AZ         | CUSIP: 38384D6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5591741 | PA      | $6180784.43   | 0.20%             | 2053-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-152, Class MY         | CUSIP: 38384DC88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1592333 | PA      | $1662653.77   | 0.05%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-169, Class MB         | CUSIP: 38384DK97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1985821 | PA      | $2083621.58   | 0.07%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-148, Class CB         | CUSIP: 38384DNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4188291 | PA      | $4407420.29   | 0.14%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-152, Class GX         | CUSIP: 38384DUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6587217 | PA      | $6885451.27   | 0.22%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-152, Class JL         | CUSIP: 38384DWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2362155 | PA      | $2460115.69   | 0.08%             | 2052-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-152, Class TW         | CUSIP: 38384DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10605596 | PA      | $11195618.18  | 0.36%             | 2063-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2023-167, Class CV         | CUSIP: 38384FAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6763692 | PA      | $7031047.96   | 0.23%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2023-167, Class CZ          | CUSIP: 38384FAJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9012518 | PA      | $9707975.38   | 0.32%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2023-167, Class VC          | CUSIP: 38384FAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8559216 | PA      | $8776831.49   | 0.29%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2023-171, Class BZ          | CUSIP: 38384FDJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3814269 | PA      | $4008866.09   | 0.13%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2024-23, Class AZ          | CUSIP: 38384J2V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8884556 | PA      | $9345492.85   | 0.30%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2024-28, Class GM          | CUSIP: 38384JBH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4597202 | PA      | $4824802.11   | 0.16%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2024-127, Class VC         | CUSIP: 38384USD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2133503 | PA      | $2178314.95   | 0.07%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2024-127, Class VQ         | CUSIP: 38384UTH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5893594 | PA      | $5961298.59   | 0.19%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2025-168, Class CZ         | CUSIP: 38385HZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4923705 | PA      | $4891004.24   | 0.16%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                        | HF Sinclair Corporation 5.75%, Due 01/15/2031                              | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3823485.06   | 0.12%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                 | UnitedHealth Group, Inc. 4.45%, due 12/15/2048                             | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    650000 | PA      | $647795.96    | 0.02%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                 | HCA, Inc. 3.375%, Due 03/15/2029                                           | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1851035.65   | 0.06%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                 | HCA, Inc. 4.30%, Due 11/15/2030                                            | CUSIP: 404119DD8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1135690.74   | 0.04%             | 2030-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Hero Funding 2016-4                                                      | Hero Funding Trust Series 2016-4A Class A1                                 | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80652 | PA      | $76281.78     | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                        | HSBC Holdings plc 5.597%, Due 05/17/2028                                   | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3157935.09   | 0.10%             | 2028-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                        | HSBC Holdings plc 5.45%, Due 03/03/2036                                    | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1031703.43   | 0.03%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                        | HSBC Holdings plc 4.619%, Due 11/06/2031                                   | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003083.65   | 0.03%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HTAP 2024-2                                                              | HTAP Trust Series 2024-2, Class A                                          | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9977850 | PA      | $9967670.60   | 0.32%             | 2042-04-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| HTAP 2024-1                                                              | HTAP Trust Series 2024-1, Class A                                          | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5898211 | PA      | $5923337.30   | 0.19%             | 2037-04-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| HTAP 2024-1                                                              | HTAP Trust Series 2024-1, Class B                                          | CUSIP: 40445NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2630000 | PA      | $2597450.86   | 0.08%             | 2037-04-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                               | L3Harris Technologies Incorporated 4.40%, Due 06/15/2028                   | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1723125.86   | 0.06%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Helmerich & Payne Inc                                                    | Helmerich & Payne, Inc. 2.90%, Due 09/29/2031                              | CUSIP: 423452AG6<br>LEI: 254900NAOGHJ88RZ4C73 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1472517.32   | 0.05%             | 2031-09-29      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Hero Fdg Tr 2016-2                                                       | Hero Funding Trust Series 2016-2A Class A                                  | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54412 | PA      | $52270.86     | 0.00%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hero Fdg 2016-3                                                          | Hero Funding Trust Series 2016-3A Class A1                                 | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    849304 | PA      | $796116.03    | 0.03%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Hero Funding 2018-1                                                      | Hero Funding Trust Series 2017-3A Class A1                                 | CUSIP: 42771AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73685 | PA      | $67567.30     | 0.00%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Hero Funding 2018-1                                                      | HERO Funding Trust Series 17-3A Class A2                                   | CUSIP: 42771AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269577 | PA      | $253145.09    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Hero Funding 2018-1                                                      | Hero Funding Trust Series 2018-1A Class A2                                 | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28777 | PA      | $27967.65     | 0.00%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Home Depot Inc.                                                          | Home Depot Incorporated 4.20%, Due 04/01/2043                              | CUSIP: 437076BA9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $953860.02    | 0.03%             | 2043-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc.                                                          | Home Depot Incorporated 4.95%, Due 06/25/2034                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    750000 | PA      | $767087.24    | 0.02%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Home Partners Of America Trust 2019-1                                    | Home Partners of America Trust Series 2019-1, Class B                      | CUSIP: 43731QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457309 | PA      | $447789.87    | 0.01%             | 2039-09-17      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Home Partners Of America Trust 2019-2                                    | Home Partners of America Trust Series 2019-2 Class B                       | CUSIP: 43732TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4579254 | PA      | $4472822.80   | 0.15%             | 2039-10-19      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                      | Homeward Opportunities Funding Trust Series 2024-RTL1, Class A2            | CUSIP: 43789FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2302805.31   | 0.07%             | 2029-07-25      | Fixed         | 8.57%                 | Yes           |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FD TR 2024-                                       | Homeward Opportunities Fund Series 24-RRTL2 Class A2                       | CUSIP: 43789GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4009282.80   | 0.13%             | 2039-09-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares Incorporated                                       | Huntington Bancshares 5.023%, Due 05/17/2033                               | CUSIP: 446150BA1<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404675.86    | 0.01%             | 2033-05-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: —       |
| Huntington Bancshares Incorporated                                       | Huntington Bancshares, Inc. 6.208%, Due 08/21/2029                         | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    750000 | PA      | $786602.87    | 0.03%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank of Ohio                                         | The Huntington National Bank Series 2025-2, Class B1                       | CUSIP: 44644NAN9<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | ABS-O            | CORP              | US        |   5121215 | PA      | $5154227.91   | 0.17%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                  | Hyundai Capital America 5.25%, Due 01/08/2027                              | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404555.37    | 0.01%             | 2027-01-08      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                  | Hyundai Capital America 5.35%, Due 03/19/2029                              | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $3199487.92   | 0.10%             | 2029-03-19      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                  | Hyundai Capital America 5.40%, Due 06/24/2031                              | CUSIP: 44891ADD6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    850000 | PA      | $879590.99    | 0.03%             | 2031-06-24      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                  | Hyundai Capital America 4.75%, Due 09/26/2031                              | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401457.14    | 0.01%             | 2031-09-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                  | Hyundai Capital America 5.30%, Due 01/08/2030                              | CUSIP: 44891ADM6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    875000 | PA      | $901627.13    | 0.03%             | 2030-01-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Idaho Power Company                                                      | Idaho Power Company 5.50%, Due 03/15/2053                                  | CUSIP: 45138LBH5<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |    900000 | PA      | $875167.16    | 0.03%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Idaho Power Company                                                      | Idaho Power Company 5.80%, Due 04/01/2054                                  | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1877197.89   | 0.06%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange Inc                                            | Intercontinental Exhange Incorporated 4.95%, Due 06/15/2052                | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    875000 | PA      | $804352.50    | 0.03%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange Inc                                            | Intercontinental Exchange Incorporated 5.25%, Due 06/15/2031               | CUSIP: 45866FBA1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    400000 | PA      | $420500.00    | 0.01%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTOWN MTG TR 2025-STAY                                                  | INTOWN Mortgage Trust Series 2025-STAY, Class D                            | CUSIP: 46117WAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $3157870.28   | 0.10%             | 2042-03-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | J.P. Morgan Wealth Management Series 2021-CL1, Class M1                    | CUSIP: 46591HBK5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    514119 | PA      | $513110.92    | 0.02%             | 2051-03-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | J.P. Morgan Wealth Management Series 2021-CL1, Class M3                    | CUSIP: 46591HBM1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1422791 | PA      | $1402167.58   | 0.05%             | 2051-03-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | Chase Mortgage Finance Corporation Series 21-CL1 Class M3                  | CUSIP: 46591HBZ2<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    554166 | PA      | $523127.31    | 0.02%             | 2050-02-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase & Company 3.509%, Due 1/23/2019                            | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $3080488.00   | 0.10%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase &Co. 3.702%, Due 05/06/2030                                 | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1477415.96   | 0.05%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase & Company 2.739%, Due 10/15/2030                           | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1754995.34   | 0.06%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase and Co. 1.578%, Due 04/22/2027                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396999.92    | 0.01%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase and Company 2.069%, Due 06/01/2029                         | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1193631.80   | 0.04%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Co Sr 3.25%, Due 09/22/2027                               | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1325363.63   | 0.04%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Co 2.545%, Due 11/08/2032                                 | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    475000 | PA      | $428638.51    | 0.01%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company 2.963%, Due 01/25/2033                            | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8275000 | PA      | $7593804.23   | 0.25%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company 5.04%, Due 01/23/2028                             | CUSIP: 46647PEA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1010349.49   | 0.03%             | 2028-01-23      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company 5.294%, Due 07/22/2035                            | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    950000 | PA      | $980097.89    | 0.03%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company 4.603%, Due 10/22/2030                            | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1926676.99   | 0.06%             | 2030-10-22      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| Jackson National Life Global Funding                                     | Jackson National Life Global Funding 5.5% Due 01/09/2026                   | CUSIP: 46849LUX7<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    800000 | PA      | $800215.70    | 0.03%             | 2026-01-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: —       |
| Jackson National Life Global Funding                                     | Jackson National Life Global Funding 5.55%, Due 07/02/2027                 | CUSIP: 46849LVA6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2245359.18   | 0.07%             | 2027-07-02      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Jackson National Life Global Funding                                     | Jackson National Life Global 4.55%, Due 09/09/2030                         | CUSIP: 46849LVH1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    860000 | PA      | $856666.05    | 0.03%             | 2030-09-09      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Johnson Controls International PLC / Tyco Fire & Security Finance S.C.A. | Johnson Controls International 5.50%, Due 04/19/2029                       | CUSIP: 477921AA8<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    450000 | PA      | $467992.08    | 0.02%             | 2029-04-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International PLC / Tyco Fire & Security Finance S.C.A. | Johnson Controls International 2.00%, Due 09/16/2031                       | CUSIP: 47837RAD2<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    500000 | PA      | $440263.51    | 0.01%             | 2031-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAPITUS ASSET SECURITIZATION IV LLC                                      | Kapitus Asset Securitization, LLC Series 2024-1A, Class C                  | CUSIP: 48555MAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $349545.28    | 0.01%             | 2031-09-10      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| KAPITUS ASSET SECURITIZATION IV LLC                                      | Kapitus Asset Securitization LLC Series 2024-1A, Class 1A                  | CUSIP: 48555MAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4724656.67   | 0.15%             | 2031-09-10      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| KAPITUS ASSET SECURITIZATION IV LLC                                      | Kapitus Asset Securitization LLC Series 2024-1A, Class 2C                  | CUSIP: 48555MAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5093374.08   | 0.17%             | 2031-09-10      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                     | Keurig Dr. Pepper Incorporated 5.10%, Due 03/15/2027                       | CUSIP: 49271VAW0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    800000 | PA      | $808863.12    | 0.03%             | 2027-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                  | Keycorp Bank 4.789%, Due 06/01/2033                                        | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299843.42    | 0.01%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| KeyBank National Association                                             | Key Bank NA 5.00%, Due 01/26/2033                                          | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5959097.41   | 0.19%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Kirby Corp                                                               | Kirby Corporation 4.20%, Due 03/01/2028                                    | CUSIP: 497266AC0<br>LEI: I7NO6FZO5GUCG585T325 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599422.31    | 0.02%             | 2028-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                           | KROGER COMPANY (THE) 3.50% , DUE 02/01/2026                                | CUSIP: 501044DC2<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1249137.30   | 0.04%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| The Kroger Co.                                                           | Kroger Company (The) 2.650% Due 10/15/2026                                 | CUSIP: 501044DE8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98988.45     | 0.00%             | 2026-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                           | Kroger Company 1.70%, Due 01/15/2031                                       | CUSIP: 501044DQ1<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1552000 | PA      | $1367465.60   | 0.04%             | 2031-01-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| LHOME MTG TR 2024-RTL1                                                   | LHOME Mortgage Trust Series 2024-RTL1, Class A2                            | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2529891.75   | 0.08%             | 2029-01-25      | Fixed         | 9.16%                 | Yes           |                  2 | On Loan: No      |
| LHOME MTG TR 2024-RTL1                                                   | LHOME Mortgage Trust Series 2024-RTL1, Class M                             | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2024870.20   | 0.07%             | 2029-01-25      | Fixed         | 11.95%                | Yes           |                  2 | On Loan: No      |
| LHOME MTG TR 2024-RTL3                                                   | LHOME Mortgage Trust Series 2024-RTL3, Class A2                            | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4043239.60   | 0.13%             | 2029-05-25      | Fixed         | 8.37%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2024-RTL2                                           | LHOME Mortgage Trust Series 2024-RTL2, Class A2                            | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1513809.90   | 0.05%             | 2029-03-25      | Fixed         | 9.54%                 | Yes           |                  2 | On Loan: No      |
| LHOME MTG TR 2025-RTL1                                                   | LHOME Mortgage Trust Series 2025-RTL1, Class A1                            | CUSIP: 50205UAA9<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8051680.00   | 0.26%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME MTG TR 2025-RTL1                                                   | LHOME Mortgage Trust Series 2025-RTL1, Class A2                            | CUSIP: 50205UAB7<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-O            | CORP              | US        |   8950000 | PA      | $9028508.51   | 0.29%             | 2040-01-25      | Variable      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Laboratory Corporation of America Holdings                               | Laboratory Corporation American Holdings 1.55%, Due 06/01/2026             | CUSIP: 50540RAX0<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    375000 | PA      | $371129.39    | 0.01%             | 2026-06-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| LENDING FUNDING TRUST                                                    | Lendmark Funding Trust Series 2020-2A, Class B                             | CUSIP: 51507KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1195000 | PA      | $1174198.99   | 0.04%             | 2031-04-21      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| LENDING FUNDING TRUST                                                    | Lendmark Funding Trust Series 2020-2A, Class C                             | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $543326.91    | 0.02%             | 2031-04-21      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2025-2                                            | Lendmark Funding Trust Series 2025-2A, Class D                             | CUSIP: 52603GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7800000 | PA      | $7860218.34   | 0.26%             | 2034-10-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                   | Lendmark Funding Trust Series 21-1A Class C                                | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $719337.30    | 0.02%             | 2031-11-20      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST                                            | Lendbuzz Securitization Trust Series 2023-1A, Class A2                     | CUSIP: 52608LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2467429 | PA      | $2492595.90   | 0.08%             | 2028-08-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                                            | Life Financial Services Trust Series 2021-BMR, Class D                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6960732.80   | 0.23%             | 2038-03-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                                            | Life Financial Services Trust Series 2021-BMR, Class E                     | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5614700 | PA      | $5576056.27   | 0.18%             | 2038-03-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                                            | Life Financial Services Trust Series 2022-BMR2, Class A1                   | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10250000 | PA      | $9885038.50   | 0.32%             | 2039-05-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                                            | Life Financial Services Trust Series 2022-BMR2, Class B                    | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2711130.60   | 0.09%             | 2039-05-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                                            | Life Financial Services Trust Series 2022-BMR2, Class C                    | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1802565.80   | 0.06%             | 2039-05-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Lincoln Financial Global Funding                                         | Lincoln Financial Global Funding 4.625%, Due 08/18/2030                    | CUSIP: 53359KAC5<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    850000 | PA      | $855063.01    | 0.03%             | 2030-08-18      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Lincoln National Corp.                                                   | Lincoln National Corporation 3.625%, Due 12/12/2026                        | CUSIP: 534187BF5<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99642.00     | 0.00%             | 2026-12-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| LOANPAL SOLAR LOAN 2020-3 LLC                                            | LoanPal Solar Loan LLC Series 2020-3, Class B                              | CUSIP: 53948NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1774948 | PA      | $1248581.27   | 0.04%             | 2047-12-20      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Loanpal Solar Loan 2021-2 Ltd.                                           | Loanpal Solar Loan Ltd. Series 21-1GS Class A                              | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378264 | PA      | $319051.77    | 0.01%             | 2048-01-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Loanpal Solar Loan 2021-2 Ltd.                                           | Loanpal Solar Loan Ltd. Series 21-1GS Class B                              | CUSIP: 53948PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    608637 | PA      | $422645.79    | 0.01%             | 2048-01-20      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Loanpal Solar Ln 2021-2 Ltd / LLC.                                       | Loanpal Solar Loan Ltd. Series 2021-2GS, Class A                           | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2135670 | PA      | $1737892.93   | 0.06%             | 2048-03-20      | Fixed         | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                    | Lowes Cos. Inc. 2.625%, Due 04/01/2031                                     | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    950000 | PA      | $871557.17    | 0.03%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                    | Lowe's Cos. Inc. 2.80%, Due 09/15/2041                                     | CUSIP: 548661EE3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3025000 | PA      | $2174490.46   | 0.07%             | 2041-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| LUMINACE ABS-2024 ISSUER LLC                                             | Luminace ABS-2022 Issuer, LLC Series 2024-1, Class B                       | CUSIP: 55026NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3920261 | PA      | $3794345.48   | 0.12%             | 2031-10-30      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                        | MF1 Multifamily Housing Mortgage Trust Series 2022-FL10, Class B           | CUSIP: 55285BAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3001080.00   | 0.10%             | 2037-09-17      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                        | MF1 Multifamily Housing Series 2022-FL10, Class D                          | CUSIP: 55285BAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $752550.75    | 0.02%             | 2037-09-17      | Floating      | 9.46%                 | Yes           |                  2 | On Loan: No      |
| MMP CAPITAL 2025-A LLC                                                   | MMP Capital Series 2025-A, Class A                                         | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7269995 | PA      | $7334288.15   | 0.24%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                                  | MPLX LP 5.00%, Due 03/01/2033                                              | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3415977.31   | 0.11%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARINER FIN ISSUANCE TR 2024-A                                           | Mariner Finance Issuance Trust Series 2024-AA, Class D                     | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3329327.30   | 0.11%             | 2036-09-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| MARINER FINANCE ISSE TR 2021-A                                           | Mariner Finance Issuance Trust Series 2021-AA                              | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $972988.20    | 0.03%             | 2036-03-20      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Massmutual Global Funding II                                             | MassMutual Global Funding 5.05%, Due 08/26/2035                            | CUSIP: 57629TBZ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502746.10    | 0.02%             | 2035-08-26      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: —       |
| Massmutual Global Funding II                                             | MassMutual Global Funding 4.35%, Due 09/17/2031                            | CUSIP: 57629W3S7<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2278294.76   | 0.07%             | 2031-09-17      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Massmutual Global Funding II                                             | MassMutual Global Funding 5.15%, Due 05/30/2029                            | CUSIP: 57629W4T4<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4478124.86   | 0.15%             | 2029-05-30      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: —       |
| Massmutual Global Funding II                                             | MassMutual Global Funding 1.20%, Due 07/16/2026                            | CUSIP: 57629WDE7<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394169.80    | 0.01%             | 2026-07-16      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: —       |
| MasterCard Incorporated                                                  | Mastercard Incorporated 2.00%, Due 11/18/2031                              | CUSIP: 57636QAU8<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2049345.63   | 0.07%             | 2031-11-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| MasterCard Incorporated                                                  | Mastercard Incorporated 4.875%, Due 05/09/2034                             | CUSIP: 57636QAZ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    750000 | PA      | $768729.38    | 0.02%             | 2034-05-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MORTGAGE TRUST                                              | MCR Mortgage Trust Series 2024-TWA, Class D                                | CUSIP: 582923AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3542548.10   | 0.12%             | 2039-06-12      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                  | Mercedes-Benz Financing NA 5.0%, Due 01/11/2034                            | CUSIP: 58769JAS6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2020840.96   | 0.07%             | 2034-01-11      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Mercedes-Benz Finance North America LLC                                  | Mercedes-Benz Financing North America 4.75%, Due 03/31/2028                | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507947.92    | 0.02%             | 2028-03-31      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                              | Merchants Fleet Funding LLC Series 2023-1A, Class D                        | CUSIP: 588926AD7<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4052868.00   | 0.13%             | 2036-05-20      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                              | Merchants Fleet Funding, LLC Series 2025-1A, Class D                       | CUSIP: 588926AP0<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   5775000 | PA      | $5792234.33   | 0.19%             | 2039-01-20      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDITCARD                                             | Mercury Financial Credit Card Master Trust Series 2024-2A, Class B         | CUSIP: 58940BBB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5041418.00   | 0.16%             | 2029-07-20      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Funding I 4.30%, Due 08/25/2029                            | CUSIP: 59217GFD6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003904.95   | 0.03%             | 2029-08-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Fund I 5.15%, Due 03/28/2033                               | CUSIP: 59217GFP9<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514473.17    | 0.02%             | 2033-03-28      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Funding 5.40%, Due 09/12/2028                              | CUSIP: 59217GFQ7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1915701.40   | 0.06%             | 2028-09-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Funding I 5.05%, Due 01/08/2034                            | CUSIP: 59217GFS3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    850000 | PA      | $867017.12    | 0.03%             | 2034-01-08      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Financials 1.55%, Due 01/07/2031                           | CUSIP: 59217GGU7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1709013.81   | 0.06%             | 2031-01-07      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Midamerican Energy Company                                               | MidAmerican Energy Company 3.65%, Due 04/15/2029                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345848.17    | 0.01%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MILL CITY SOLAR LN 2019-2                                                | Mill City Solar Loan LTD Series 19-2GS Class A                             | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91223 | PA      | $83147.40     | 0.00%             | 2043-07-20      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| MISSION LANE CREDIT CARD MASTER TRU                                      | Mission Lane Credit Card Master Trust Series 2024-A, Class C               | CUSIP: 60510MBB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3019289.40   | 0.10%             | 2029-08-15      | Fixed         | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International Holdings Netherlands BV                           | Mondelez International Holdings 1.25%, Due 09/24/2026                      | CUSIP: 60920LAR5<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1568809.97   | 0.05%             | 2026-09-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 2.699%, Due 01/22/2031                                      | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9900000 | PA      | $9286166.24   | 0.30%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 3.622% Due 04/01/2031                                       | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2429061.18   | 0.08%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 1.794%, Due 02/13/2032                                      | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3293440.09   | 0.11%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 1.928%, Due 04/28/2032                                      | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    750000 | PA      | $658018.21    | 0.02%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley Floating rate, due 7/21/2032                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $888587.99    | 0.03%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 5.23%, Due 01/15/2031                                       | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    875000 | PA      | $902551.33    | 0.03%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank National Association                         | Morgan Stanley Private Bank 4.466%, Due 07/06/2028                         | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2013472.80   | 0.07%             | 2028-07-06      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-3                                           | Mosaic Solar Loans, LLC Series 2023-3A, Class A                            | CUSIP: 618933AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485238 | PA      | $2446190.39   | 0.08%             | 2053-11-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2025-1                                           | Mosaic Solar Loans LLC Series 2025-1A, Class A                             | CUSIP: 61945HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2101143 | PA      | $2105033.00   | 0.07%             | 2050-08-22      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-1                                           | Mosaic Solar Loans, LLC Series 2023-1A, Class A                            | CUSIP: 61945VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800709 | PA      | $2673537.75   | 0.09%             | 2053-06-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-1                                           | Mosaic Solar Loans LLC Series 23-1A Class B                                | CUSIP: 61945VAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2063680 | PA      | $1614187.50   | 0.05%             | 2053-06-20      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2023-2                                           | Mosaic Solar Loans LLC Series 2023-2A, Class C                             | CUSIP: 61945WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $1009942.65   | 0.03%             | 2053-09-22      | Fixed         | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2018-1                                           | Mosaic Solar Loans, LLC Series 2018-1A Class A                             | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44412 | PA      | $41879.75     | 0.00%             | 2043-06-22      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loans 2017-1 LLC                                            | Mosaic solar Loans LLC Series 2017-2A Class B                              | CUSIP: 61946GAB9<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |     25133 | PA      | $22772.66     | 0.00%             | 2043-06-22      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECT TR 2024-01                                           | Multifamily Connecticut Avenue Series 2024-01, Class M7                    | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-O            | CORP              | US        |   5795514 | PA      | $5866810.97   | 0.19%             | 2054-07-25      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECU                                      | Multifamily Connecticut Avenue Series 2025-1, Class M1                     | CUSIP: 62549CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4597630 | PA      | $4612131.25   | 0.15%             | 2055-05-25      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| NMEF FUNDING 2022-B LLC                                                  | NMEF Funding, LLC Series 2022-B, Class C                                   | CUSIP: 62890MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4590186.75   | 0.15%             | 2029-06-15      | Fixed         | 8.54%                 | Yes           |                  2 | On Loan: No      |
| NMEF FUNDING LLC 2023-A                                                  | NMEF Funding LLC Series 2023-A, Class C                                    | CUSIP: 62890QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3645513.20   | 0.12%             | 2030-06-17      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Nyt Mortgage Trust                                                       | NYT Mortgage Trust Series 2019-NYT, Class C                                | CUSIP: 62954PAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2592811.62   | 0.08%             | 2035-12-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Nyt Mortgage Trust                                                       | NYT Mortgage Trust Series 2019-NYT, Class D                                | CUSIP: 62954PAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2375751.50   | 0.08%             | 2035-12-15      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2024-BPL1                                         | New York Mortgage Trust Series 2024-BPL1, Class A1                         | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5766814.15   | 0.19%             | 2029-02-25      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2024-BPL1                                         | New York Mortgage Trust Series 2024-BPL1, Class A2                         | CUSIP: 62956MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2505359.00   | 0.08%             | 2029-02-25      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| NALP BUSINESS LOAN TRUST 2024-1                                          | Newtek Alternative Loan Program Series 2024-1, Class B                     | CUSIP: 629863AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2515055 | PA      | $2549945.92   | 0.08%             | 2049-12-27      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Company                                                     | Nevada Power Company 6.0%, Due 03/15/2054                                  | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    450000 | PA      | $461063.55    | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 1.2%, Due 08/07/2030                          | CUSIP: 64952WDS9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1747882.70   | 0.06%             | 2030-08-07      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: —       |
| New York Life Global Funding                                             | New York Life Global Funding 1.15%, Due 06/09/2026                         | CUSIP: 64952WED1<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49411.94     | 0.00%             | 2026-06-09      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 4.90%, Due 06/13/2028                         | CUSIP: 64952WFD0<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1022369.44   | 0.03%             | 2028-06-13      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 5.0%, Due 01/09/2034                          | CUSIP: 64952WFE8<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1016121.23   | 0.03%             | 2034-01-09      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 4.70%, Due 01/29/2029                         | CUSIP: 64952WFF5<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1016995.90   | 0.03%             | 2029-01-29      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SML BUS LN TR 2022-1                                              | Newtek Small Business Loan Trust Series 2022-1, Class B                    | CUSIP: 65254BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    645661 | PA      | $640450.95    | 0.02%             | 2049-10-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SMALL BUSI LN TR 2023-1                                           | Newtek Small Business Loan Trust Series 23-1 Class B                       | CUSIP: 65254RAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1848623 | PA      | $1841449.92   | 0.06%             | 2050-07-25      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                      | Nextera Energy Cap Holdings Inc 4.625%, Due 07/15/2027                     | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1551462.38   | 0.05%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| NextEra Energy Capital Holdings Inc                                      | Nextera Energy Capital Holdings Incorporated 5.25%, Due 03/15/2034         | CUSIP: 65339KCU2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512793.10    | 0.02%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Norfolk Southern Corporation                                             | Norfolk Sourthern Corporation 3.00%, Due 03/15/2032                        | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $552967.84    | 0.02%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                             | Norfolk Southern Corporation 5.95%, Due 03/15/2064                         | CUSIP: 655844CU0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511584.82    | 0.02%             | 2064-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                            | Northern Stars Power Company 2.25%, Due 04/01/2031                         | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $453882.87    | 0.01%             | 2031-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                            | Northern States Power 5.10%, Due 05/15/2053                                | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    900000 | PA      | $834251.95    | 0.03%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                             | Northrop Grumman Corporation 4.90%, Due 06/01/2034                         | CUSIP: 666807CL4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    900000 | PA      | $912538.91    | 0.03%             | 2034-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                       | Northwestern Mutual Global Funding 4.35%, Due 09/15/2027                   | CUSIP: 66815L2K4<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403021.53    | 0.01%             | 2027-09-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: —       |
| Northwestern Mutual Global Funding                                       | Northwestern Mutual Global 5.07%, Due 03/25/2027                           | CUSIP: 66815L2R9<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3042454.08   | 0.10%             | 2027-03-25      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                       | Northwestern Mutual Global 5.16%, Due 05/28/2031                           | CUSIP: 66815L2S7<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |   3245000 | PA      | $3368563.86   | 0.11%             | 2031-05-28      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: —       |
| Nucor Corporation                                                        | Nucor Corporation 3.125%, Due 04/01/2032                                   | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232378.82    | 0.01%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Ondeck Asset Sec tr II 2016-1                                            | Ondeck Asset Securitization Trust Series 2024-2A, Class B                  | CUSIP: 67108SAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1303376.36   | 0.04%             | 2031-10-17      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| NYC COMMERCIAL MTG TR 2025-3BP                                           | NYC Commercial Mortgage Trust Series 2025-3BP, Class B                     | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2994400.80   | 0.10%             | 2042-02-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NYSEG Storm Funding LLC                                                  | NYSEG Storm Funding LLC 4.713%, Due 05/01/2031                             | CUSIP: 67122QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6698738 | PA      | $6774990.19   | 0.22%             | 2031-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                               | Occidental Petroleum Corporation 3.0%, Due 02/15/2027                      | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1457847.23   | 0.05%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST 2023-HB                                      | Ocwen Loan Investment Trust Series 2023-HB1, Class M2                      | CUSIP: 67578KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2967378.30   | 0.10%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST 2023-HB                                      | Ocwen Loan Investment Trust Series 2023-HB1, Class M3                      | CUSIP: 67578KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3944991.20   | 0.13%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OCWEN LN INVESTMNT TR2024-HB1                                            | Ocwen Loan Investment Trust Series 2024-HB1, Class M2                      | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1457506.80   | 0.05%             | 2037-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OCWEN LN INVESTMNT TR2024-HB1                                            | Ocwen Loan Investment Trust Series 2024-HB1, Class M3                      | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3378515.70   | 0.11%             | 2037-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                      | Oncor Electric Delivery Co. LLC 7.0%, Due 05/01/2032                       | CUSIP: 68233DAT4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $3104213.61   | 0.10%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Oncor Electric Delivery Company LLC                                      | Oncor Electric Delivery Co. LLC 3.75%, Due 04/01/2045                      | CUSIP: 68233JBB9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    490000 | PA      | $383804.24    | 0.01%             | 2045-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                      | Oncor Electric Delivery 4.95%, Due 09/15/2052                              | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    500000 | PA      | $445294.04    | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| ONITY LN INVT TR 2024-HB2                                                | Onity Loan Investment Trust Series 2024-HB2, Class M3                      | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2450733.75   | 0.08%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2025-HB2                                     | Ocwen Loan Investment Trust Series 2025-HB2, Class M2                      | CUSIP: 68278FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3475000 | PA      | $3232931.85   | 0.11%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2025-HB2                                     | Ocwen Loan Investment Trust Series 2025-HB2, Class M3                      | CUSIP: 68278FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9050000 | PA      | $8273284.66   | 0.27%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                                            | Oportun Funding LLC Series 2021-B                                          | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    634116 | PA      | $622377.55    | 0.02%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                                            | Oportun Funding LLC Series 2021-B, Class C                                 | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1444528 | PA      | $1431424.66   | 0.05%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN FUNDING TR 2024-3                                                | Opportun Funding, LLC Series 2024-3, Class C                               | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725000 | PA      | $1733593.95   | 0.06%             | 2029-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                            | Oportun Funding, LLC Series 2025-A, Class C                                | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3840000 | PA      | $3833509.63   | 0.12%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-C                                            | Oportun Funding LLC Series 2021-C, Class A                                 | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768989 | PA      | $756286.93    | 0.02%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-C                                            | Oportun Funding LLC Series 2021-C, Class B                                 | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275978 | PA      | $1256625.58   | 0.04%             | 2031-10-08      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                            | Oportun Funding, LLC Series 2025-C, Class D                                | CUSIP: 68378RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3263860.71   | 0.11%             | 2033-07-08      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                            | Oportun Funding, LLC Series 2025-D, Class C                                | CUSIP: 68379HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6018927.60   | 0.20%             | 2033-02-08      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                            | Oportun Funding, LLC Series 2025-D, Class D                                | CUSIP: 68379HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9973566.00   | 0.32%             | 2033-02-08      | Fixed         | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                             | Oracle Corporation 3.60%, Due 04/01/2040                                   | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   7275000 | PA      | $5395415.07   | 0.18%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                             | Oracle Corporation 2.30%, Due 03/25/2028                                   | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3671338.83   | 0.12%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                             | Oracle Corporation 2.875%, Due 03/25/2031                                  | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $449295.87    | 0.01%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD /LLC                                                     | PFP III Series 2024-11, Class D                                            | CUSIP: 69291WAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2471980.00   | 0.08%             | 2039-09-17      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| PECO Energy Co.                                                          | PECO Energy Company 3.00%, due 09/15/2049                                  | CUSIP: 693304AX5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    200000 | PA      | $131255.65    | 0.00%             | 2049-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                        | PNC Financial Services 2.60%, Due 07/23/2026                               | CUSIP: 693475AX3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248247.87    | 0.01%             | 2026-07-23      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                        | PNC Financial Services 6.037%, Due 10/28/2033                              | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    850000 | PA      | $918069.64    | 0.03%             | 2033-10-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                        | PNC Financial Services Group, Inc. (The) 5.582%, Due 01/26/2027            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518560.05    | 0.02%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: —       |
| PNC Financial Services Group Inc.                                        | PNC Financial Services 5.939%, Due 08/18/2034                              | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1073581.30   | 0.03%             | 2034-08-18      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                        | PNC Financial Services 5.30%, Due 01/21/2028                               | CUSIP: 693475BV6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1012926.64   | 0.03%             | 2028-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| PNC Bank National Association Pittsburgh Pennsylvania                    | PNC Bank National Association 2.70%, Due 10/22/2029                        | CUSIP: 69349LAS7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236070.13    | 0.01%             | 2029-10-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PPG Industries, Inc.                                                     | PPG Industries, Inc. 2.550%, Due 06/15/2030                                | CUSIP: 693506BS5<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279217.15    | 0.01%             | 2030-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| PPL Electric Utilities Corporation                                       | PPL Electric Utilities 3.00%, Due 10/01/2019                               | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    160000 | PA      | $106285.36    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corporation                                       | PPL Electric Utilities 5.00%, Due 05/15/2033                               | CUSIP: 69351UBA0<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    900000 | PA      | $921373.72    | 0.03%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Global Funding II                                           | Pacific Life Global Fund II 1.45%, Due 01/20/2028                          | CUSIP: 6944PL2D0<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    790000 | PA      | $751188.91    | 0.02%             | 2028-01-20      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: —       |
| Pacific Life Global Funding II                                           | Pacific Life Global Funding II 4.85%, Due 02/10/2030                       | CUSIP: 6944PL3F4<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   5217000 | PA      | $5332054.73   | 0.17%             | 2030-02-10      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: —       |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                       | Pagaya Point of Sale Holdings Series 25-1 Class A                          | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5543231.65   | 0.18%             | 2034-01-20      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                       | Pagaya Point of Sale Holdings Series 25-1 Class D                          | CUSIP: 694952AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2522580.50   | 0.08%             | 2034-01-20      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                              | Pagaya AI Debt Selection Trust Series 24-2 Class C                         | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1719603 | PA      | $1728337.61   | 0.06%             | 2031-08-15      | Fixed         | 7.57%                 | Yes           |                  2 | On Loan: No      |
| PacifiCorp.                                                              | PacifiCorp 5.50%, Due 05/15/2054                                           | CUSIP: 695114DA3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    450000 | PA      | $402148.60    | 0.01%             | 2054-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-1                                      | Pagaya AI Debt Selection Trust Series 2025-1, Class D                      | CUSIP: 69544NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4309736 | PA      | $4328932.37   | 0.14%             | 2032-07-15      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-7                                      | Pagaya AI Debt Selection Trust Series 2025-7, Class B                      | CUSIP: 69545RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8000676.00   | 0.26%             | 2033-05-15      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                              | Pagaya AI Debt Selection Trust Series 2024-1, Class A                      | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385052 | PA      | $386039.60    | 0.01%             | 2031-07-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-5                                      | Pagaya AI Debt Selection Trust Series 25-5 Class B                         | CUSIP: 69548WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7774700 | PA      | $7807850.91   | 0.25%             | 2033-03-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Trust 2025 8                                              | Pagaya AI Debt Selection Trust Series 2025-8, Class B                      | CUSIP: 69549TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3805506.58   | 0.12%             | 2033-07-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co LP / PTL Finance Corp.                           | Penske Trust Leasing Co. / PTL Finance Corp. 5.35%, Due 03/30/2029         | CUSIP: 709599BZ6<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1389169.89   | 0.05%             | 2029-03-30      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte Ltd.                                   | Pfizer Incorporated 5.34%, Due 05/19/2063                                  | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1670042.11   | 0.05%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                              | Pfizer Incorporated 7.20%, Due 03/15/2039                                  | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1311329.78   | 0.04%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                         | Phillip Morris INTL INC 5.375%, Due 02/15/2033                             | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2666504.40   | 0.09%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                         | Phillip Morris International, Inc. 5.50%, Due 09/07/2030                   | CUSIP: 718172DD8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1577219.21   | 0.05%             | 2030-09-07      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                          | Phillips 66 3.55%, Due 10/01/2026                                          | CUSIP: 718547AF9<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99726.55     | 0.00%             | 2026-10-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                          | Phillips 66 5.30%, Due 06/30/2033                                          | CUSIP: 718547AR3<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    875000 | PA      | $902354.44    | 0.03%             | 2033-06-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| Phillips 66 Co.                                                          | Phillips 66 Company 4.95%, Due 03/15/2035                                  | CUSIP: 718547AY8<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1291843.11   | 0.04%             | 2035-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| POINT SECURITIZATION TRUST 2024-1                                        | Point Securitization Trust Series 2024-1, Class A1                         | CUSIP: 73071KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4242558 | PA      | $4253819.21   | 0.14%             | 2054-06-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST 2025-2                                        | Point Securitization Trust Series 2025-2, Class A1                         | CUSIP: 73071PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3639249 | PA      | $3634899.47   | 0.12%             | 2055-09-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST 2025-1                                        | Point Securitization Trust Series 2025-1, Class A1                         | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2743711 | PA      | $2754508.61   | 0.09%             | 2055-06-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| POWERPAY ISSUANCE TRUST 2024-1                                           | PowerPay Issuance Trust Series 2024-1A, Class A                            | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2028439 | PA      | $2092433.16   | 0.07%             | 2039-02-18      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| POWERPAY ISSUANCE TRUST 2025-1                                           | PowerPay Issuance Trust Series 2025-1A, Class A                            | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7892474 | PA      | $7914005.77   | 0.26%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Pricoa Global Funding I                                                  | Pricoa Globla Funding I 5.10%, Due 05/30/2028                              | CUSIP: 74153WCS6<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512422.91    | 0.02%             | 2028-05-30      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: —       |
| Pricoa Global Funding I                                                  | Pricoa Global Funding I 5.55%, Due 08/28/2026                              | CUSIP: 74153WCT4<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    700000 | PA      | $706447.62    | 0.02%             | 2026-08-28      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Pricoa Global Funding I                                                  | Pricoa Global Funding 4.65%, Due 08/27/2031                                | CUSIP: 74153WCV9<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    500000 | PA      | $506200.61    | 0.02%             | 2031-08-27      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Pricoa Global Funding I                                                  | Pricoa Global Funding I 5.35%, Due 05/28/2035                              | CUSIP: 74153WCX5<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1391956.14   | 0.05%             | 2035-05-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: —       |
| Pricoa Global Funding I                                                  | Pricoa Global Funding I 4.75%, Due 08/26/2032                              | CUSIP: 74153WCY3<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1711515.61   | 0.06%             | 2032-08-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Pricoa Global Funding I                                                  | Pricoa Global Funding I 4.35%, Due 11/25/2030                              | CUSIP: 74153WCZ0<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1849647.74   | 0.06%             | 2030-11-25      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                         | Principal Life Global Fund II 0.875%, Due 01/12/2026                       | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499537.07    | 0.02%             | 2026-01-12      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                         | Principal Life Global Funding 5.0%, Due 01/16/2027                         | CUSIP: 74256LEX3<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504733.42    | 0.02%             | 2027-01-16      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Principal Life Global Funding II                                         | Principal Life Global Funding II 4.60%, Due 08/19/2027                     | CUSIP: 74256LFA2<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302793.11    | 0.01%             | 2027-08-19      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                         | Principal Life Global Funding II 4.25%, Due 08/18/2028                     | CUSIP: 7425APAD7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    925000 | PA      | $928260.74    | 0.03%             | 2028-08-18      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| PRODIGY FINANCE CM2021-1 DESIGNATED                                      | Prodigy Finance Series 2021-1A, Class A                                    | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | US        |    126614 | PA      | $126299.45    | 0.00%             | 2051-07-25      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR2 TRUS                                      | Progress Residential Trust Series 2024-SFR2, Class E1                      | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1878580.20   | 0.06%             | 2041-04-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Energy Inc.                                                     | Progress Energy, Inc. 7.75%, Due 03/01/2031                                | CUSIP: 743263AE5<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1144695.67   | 0.04%             | 2031-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| The Progressive Corporation                                              | Progressive Corp. 3.2%, Due 03/26/2030                                     | CUSIP: 743315AW3<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    240000 | PA      | $232139.57    | 0.01%             | 2030-03-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR5 TR                                        | Progress Residential Trust Series 2024-SFR5, Class E1                      | CUSIP: 74332HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2797069.80   | 0.09%             | 2029-08-09      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RES TR 2021-SFR5                                                | Progress Residential Trust Series 21-SFR5 Class E                          | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2468696.50   | 0.08%             | 2038-07-17      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RES TR 2021-SFR5                                                | Progress Residential Trust Series 2021-SFR5, Class E2                      | CUSIP: 74333FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3551901.12   | 0.12%             | 2038-07-17      | Fixed         | 2.36%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TST 2020-SFR3                                       | Progress Residential Trust Series 2021-SFR3, Class E2                      | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2292061 | PA      | $2271959.40   | 0.07%             | 2026-05-17      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 TRUS                                      | Progress Residential Trust Series 25-SFR1 Class D                          | CUSIP: 74334NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4234783.05   | 0.14%             | 2042-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 1.737%, Due 09/21/2030                      | CUSIP: 74368CAY0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1325536.14   | 0.04%             | 2030-09-21      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Fund 1.618%, Due 04/15/2026                         | CUSIP: 74368CBC7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    800000 | PA      | $794532.01    | 0.03%             | 2026-04-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 1.90%, Due 07/06/2028                       | CUSIP: 74368CBG8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    650000 | PA      | $616451.16    | 0.02%             | 2028-07-06      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 5.209%, Due 04/14/2026                      | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003108.54   | 0.03%             | 2026-04-14      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 5.467%, Due 12/08/2028                      | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518040.53    | 0.02%             | 2028-12-08      | Fixed         | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 4.992%, Due 01/12/2027                      | CUSIP: 74368CBX1<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504891.45    | 0.02%             | 2027-01-12      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 5.432%, Due 01/14/2032                      | CUSIP: 74368CCB8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $4670588.16   | 0.15%             | 2032-01-14      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Public Service Company of Colorado                                       | Public Service Company of Colorado 4.50%, Due 06/01/2052                   | CUSIP: 744448CX7<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    400000 | PA      | $333217.53    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Public Service Electric &  Gas Co.                                       | Public Service Electric 2.25%, Due 09/15/2026                              | CUSIP: 74456QBR6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98892.77     | 0.00%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Public Service Electric &  Gas Co.                                       | Public Service Electric and Gas Company 4.90%, Due 08/15/2035              | CUSIP: 74456QCW4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $2477346.10   | 0.08%             | 2035-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Public Storage                                                           | Public Storage 1.85%, Due 05/01/2028                                       | CUSIP: 74460WAD9<br>LEI: 254900GLQZAD4N7N5Q19 | Long             | DBT              | CORP              | US        |    800000 | PA      | $763253.60    | 0.02%             | 2028-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: —       |
| RCKTL 2025-1                                                             | RCKT Trust Series 25-1A Class C                                            | CUSIP: 74939RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $4068344.07   | 0.13%             | 2034-07-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| RCKTL 2025-1                                                             | RCKT Trust Series 25-1A Class D                                            | CUSIP: 74939RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1858892.40   | 0.06%             | 2034-07-25      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                      | Redwood Funding Trust Series 2025-RR1, Class A1                            | CUSIP: 749433AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5674183 | PA      | $5688226.52   | 0.18%             | 2028-06-27      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| RFS ASSET SECURITIZATION II LLC                                          | RFS Asset Securitization II LLC Series 2024-1, Class C                     | CUSIP: 74969DAN5<br>LEI: 335800KGU1WWBLMPTP11 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2036706.20   | 0.07%             | 2031-07-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Tr 2018                                              | RMF Buyout Issuance Trust Series 2021-HB1, Class M3                        | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1484307.44   | 0.05%             | 2031-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Tr 2018                                              | RMF Buyout Issuance Trust Series 2021-HB1, Class M4                        | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4759258.00   | 0.15%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETORY ISSUANCE TRUST                                           | RMF Proprietary Issuance Trust Series 2021-2, Class A                      | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3979384 | PA      | $3778063.06   | 0.12%             | 2061-09-25      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| RMF PROP ISS TR 2022-1                                                   | RMF Proprietary Issuance Trust Series 2022-1, Class A1                     | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2807110 | PA      | $2689625.01   | 0.09%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RMF PROP ISS TR 2022-1                                                   | RMF Proprietary Issuance Trust Series 2022-1, Class M1                     | CUSIP: 74969XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1310450.12   | 0.04%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RMF PROP ISS TR 2022-1                                                   | RMF Proprietary Issuance Trust Series 2022-1, Class M2                     | CUSIP: 74969XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $918056.20    | 0.03%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022                                      | RMF Proprietary Issuance Trust Series 2022-2, Class M3                     | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $990666.93    | 0.03%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| RMF PRPTR ISSN TR 2022-3                                                 | RMF Proprietary Issuance Trust Series 2022-3, Class M1                     | CUSIP: 74970FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4753182.00   | 0.15%             | 2062-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RMF PRPTR ISSN TR 2022-3                                                 | RMF Proprietary Issuance Trust Series 2022-3, Class M3                     | CUSIP: 74970FAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2272814.00   | 0.07%             | 2062-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                                | RTX Corporation 6.10%, Due 03/15/2034                                      | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $2926703.06   | 0.10%             | 2034-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Citizens Bank National Association                                       | Citizens Bank 4.575%, Due 08/09/2028                                       | CUSIP: 75524KPG3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1360074.56   | 0.04%             | 2028-08-09      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                                   | Reach Financial LLC Series 2025-1A, Class B                                | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4566333.15   | 0.15%             | 2032-08-16      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                                   | Reach Financial LLC Series 2025-1A, Class C                                | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1832210.28   | 0.06%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| REACH ABS TRUST 2023-1                                                   | Reach Financial LLC Series 2024-1A, Class B                                | CUSIP: 75526PAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700061 | PA      | $2718817.64   | 0.09%             | 2031-02-18      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| REACH ABS TRUST 2023-1                                                   | Reach Financial LLC Series 2024-1A, Class C                                | CUSIP: 75526PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1181870.64   | 0.04%             | 2031-02-18      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 3.00%, Due 01/15/2027                            | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99111.64     | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corp .75%, Due 03/15/2026                                    | CUSIP: 756109AZ7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1365686.45   | 0.04%             | 2026-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 2.20%, Due 06/15/2028                            | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    151000 | PA      | $144827.56    | 0.00%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 4.45%, Due 09/15/2026                            | CUSIP: 756109BY9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    413000 | PA      | $413419.50    | 0.01%             | 2026-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 2.10%, Due 03/15/2028                            | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240033.39    | 0.01%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 4.0%, Due 07/15/2029                             | CUSIP: 756109CB8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59708.44     | 0.00%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 3.20%, Due 02/15/2031                            | CUSIP: 756109CD4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236900.99    | 0.01%             | 2031-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Realty Income Corporation                                                | Realty Income Corporation 5.125%, Due 02/15/2034                           | CUSIP: 756109CG7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1024492.09   | 0.03%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                      | Redaptive EAAS Issuer, LLC Series 2025-1A, Class A                         | CUSIP: 757204AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4350000 | PA      | $4358191.05   | 0.14%             | 2042-03-25      | None          | 5.94%                 | Yes           |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-2                                             | Redwood Funding Trust Series 2025-2, Class A                               | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619551 | PA      | $1625131.80   | 0.05%             | 2055-05-27      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust 2021-2                                | Regional Management Issuance Series 21-2 Class C                           | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $614107.85    | 0.02%             | 2033-08-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Renew 2017-2                                                             | Renew Financial, LLC Series 2017-2A Class A                                | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23407 | PA      | $21385.96     | 0.00%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                                       | Renew Financial, LLC Series 2017-1A Class A                                | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    211174 | PA      | $196637.65    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                                       | Renew Financial, LLC Series 2017-1A Class B                                | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2236 | PA      | $2227.56      | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 202                                      | Republic Finance Issuance Trust Series 2024-A, Class C                     | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1801794.75   | 0.06%             | 2032-08-20      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1                          | Research-Drive Pagaya Motor Asset Trust I Series 2024-1A, Class B          | CUSIP: 76088YAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5348702 | PA      | $5376861.06   | 0.17%             | 2032-06-25      | Fixed         | 7.96%                 | Yes           |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-1                          | Research-Driven Pagaya Motor Asset Trust Series 2025-1A, Class C           | CUSIP: 76089YAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9800000 | PA      | $9843740.34   | 0.32%             | 2033-06-27      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST 2024-2                                                         | Redwood Funding Trust Series 2024-2, Class A1                              | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4937855 | PA      | $4965171.58   | 0.16%             | 2028-09-27      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RFT TRUST 2024-2                                                         | Redwood Funding Trust Series 2024-2, Class A2                              | CUSIP: 76201AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1955586 | PA      | $1967225.95   | 0.06%             | 2028-09-27      | Fixed         | 8.81%                 | Yes           |                  2 | On Loan: No      |
| RGA Global Funding                                                       | RGA Global Funding 2.0%, Due 11/30/2026                                    | CUSIP: 76209PAA1<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    660000 | PA      | $648208.42    | 0.02%             | 2026-11-30      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: —       |
| Rmf Buyout Issuance Tr 2018                                              | RMF Buyout Issuance Trust Series 2020-HB1, Class A1                        | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600167 | PA      | $1508500.97   | 0.05%             | 2050-10-25      | Variable      | 1.72%                 | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Tr 2018                                              | RMF Buyout Issuance Trust Series 2020-HB1, Class AB                        | CUSIP: 76971EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2911509 | PA      | $2726814.10   | 0.09%             | 2050-10-25      | Variable      | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Tr 2018                                              | RMF Buyout Issuance Trust Series 2020-HB1, Class M1                        | CUSIP: 76971EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1294235.55   | 0.04%             | 2050-10-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST 2021-RTL1                                             | ROC Securities Trust Series 2021-RLT1, Class A2                            | CUSIP: 77118TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2055344 | PA      | $2050891.76   | 0.07%             | 2026-08-25      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Roche Holdings, Inc.                                                     | Roche Holdings Incorporated 2.076%, Due 12/13/2031                         | CUSIP: 771196BX9<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2034595.30   | 0.07%             | 2031-12-13      | Fixed         | 2.08%                 | Yes           |                  2 | On Loan: No      |
| Roche Holdings, Inc.                                                     | Roche Holdings Incorporated 5.593%, Due 11/13/2033                         | CUSIP: 771196CH3<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   2331000 | PA      | $2492092.82   | 0.08%             | 2033-11-13      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST 2025-RTL1                                             | ROC Securities Trust Series 2025-RTL1, Class A2                            | CUSIP: 77119RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8088077.60   | 0.26%             | 2040-02-25      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                     | Royal Bank of Canada 4.522%, Due 10/18/2028                                | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |    900000 | PA      | $908788.10    | 0.03%             | 2028-10-18      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                     | Royal Bank of Canada 4.65%, Due 10/18/2030                                 | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3193916.04   | 0.10%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Ryder System, Inc.                                                       | Ryder Sys, Inc. 2.85%, Due 03/01/2027                                      | CUSIP: 78355HKT5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493500.84    | 0.02%             | 2027-03-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Ryder System, Inc.                                                       | Ryder System Incorporated 5.30%, Due 03/15/2027                            | CUSIP: 78355HLA5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1014307.30   | 0.03%             | 2027-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ryder System, Inc.                                                       | Ryder System, Inc. 5.50%, Due 06/01/2029                                   | CUSIP: 78355HLB3<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520417.25    | 0.02%             | 2029-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Pvt Education Loan Trust 2018-C                                      | SMB Private Education Loan Trust Series 2018-C Class B                     | CUSIP: 78449QAD9<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $196763.10    | 0.01%             | 2042-11-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2025-NPL2                        | Saluda Grade Alternative Mortgage Trust Series 2025-NPL2, Class A1         | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4554956 | PA      | $4591887.79   | 0.15%             | 2030-05-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Shell Finance US Inc.                                                    | Shell Finance US Incorporated 2.375%, Due 11/07/2029                       | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    645000 | PA      | $608348.00    | 0.02%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Shell Finance US Inc.                                                    | Shell Finance US Incorporated 4.75%, Due 01/06/2036                        | CUSIP: 822905AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4160000 | PA      | $4153848.03   | 0.13%             | 2036-01-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Shell Finance US Inc.                                                    | Shell Finance US Incorporated 6.375%, Due 12/15/2038                       | CUSIP: 822905AT2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73000 | PA      | $81312.66     | 0.00%             | 2038-12-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2020-A Trust                              | Social Professional Loan Program Series 2018-D Class BFX                   | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $485528.95    | 0.02%             | 2048-02-25      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Sofi Professional Ln Program 2019-C Tr                                   | Social Pofessional Loan Program Series 19-C Class BFX                      | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1669000 | PA      | $1516101.91   | 0.05%             | 2048-11-16      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2020-A Trust                              | Social Professional Loan Program Series 2019-B, Class BFX                  | CUSIP: 83404WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $708472.95    | 0.02%             | 2048-08-17      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2020-A Trust                              | Social Professional Loan Program Series 2020-A Class BFX                   | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $381687.57    | 0.01%             | 2046-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Southwest Airlines Co.                                                   | Southwest Airlines Company 2.625%, Due 02/10/2030                          | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1207630.44   | 0.04%             | 2030-02-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| Southwest Airlines Co.                                                   | Southwest Airlines Company 5.125%, Due 06/15/2027                          | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1012593.95   | 0.03%             | 2027-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Southwestern Electric Power Company                                      | Southwestern Electric Power 2.750%, Due 10/01/2026                         | CUSIP: 845437BP6<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99086.24     | 0.00%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SPLITERO TRUST 2025-1                                                    | Splitero Trust Class A1 Series 25-1                                        | CUSIP: 848948AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3125000 | PA      | $3102485.94   | 0.10%             | 2055-12-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                                       | State Street Corporation 2.623%, Due 02/07/2033                            | CUSIP: 857477BT9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    258000 | PA      | $233136.39    | 0.01%             | 2033-02-07      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                       | State Street Corporation 4.164%, Due 08/04/2033                            | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294224.15    | 0.01%             | 2033-08-04      | Fixed         | 4.16%                 | No            |                  2 | On Loan: —       |
| State Street Corp.                                                       | State Street Corporation 5.272%, Due 08/03/2026                            | CUSIP: 857477CD3<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $704449.82    | 0.02%             | 2026-08-03      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| State Street Institutional Investment Trust                              | State Street Institutional US Government Money Market Fund, Premier Class  | CUSIP: 857492706<br>LEI: 549300P1E098W6ES7M39 | Long             | STIV             | RF                | US        |  77059833 | NS      | $77059832.69  | 2.50%             |  |  |  | No            |                  1 | On Loan: No      |
| STELLAR JAY US LLC 2021-1                                                | Stellar Jay Ireland Dac Series 2021-1, Class B                             | CUSIP: 858558AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326597 | PA      | $323961.29    | 0.01%             | 2041-10-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                        | Structured Asset Securities Corporation Series 2003-37A Class 2A           | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3553 | PA      | $3491.67      | 0.00%             | 2033-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS X ISSUER LLC                                              | Helios Issuer, LLC Series 22-C Class C                                     | CUSIP: 86744WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2559580 | PA      | $945003.93    | 0.03%             | 2049-11-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HELIOS III ISSUER LLC                                            | Helios Issuer, LLC Series 2019-AA Class A                                  | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6795803 | PA      | $6349595.98   | 0.21%             | 2046-06-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA SOL II ISSUER LLC                                                | Sunnova Solar Issuer, LLC Series 2020-2A Class A                           | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3499726 | PA      | $3010469.93   | 0.10%             | 2055-11-01      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA HESTIA I 2023-GRIDI                                              | Sunnova Hestia I Issuer, LLC Series 2023-GRID1, Class 1A                   | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2215253 | PA      | $2216016.81   | 0.07%             | 2050-12-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Swepco Storm Recovery Funding LLc                                        | Swepco Storm Recovery Fund 4.88%, Due 09/01/2039                           | CUSIP: 870696AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8078451 | PA      | $8154077.82   | 0.26%             | 2039-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                       | T Mobile USA Incorporated 5.05%, Due 07/15/2033                            | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4975000 | PA      | $5076746.41   | 0.16%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TVC MORTGAGE TRUST 2024-RRTL1                                            | TVC Mortgage Trust Series 2024-RRTL1, Class A2                             | CUSIP: 87306WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2008299.80   | 0.07%             | 2039-07-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Target Corp.                                                             | Target Corporation 5.0%, Due 04/15/2035                                    | CUSIP: 87612EBT2<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |   3340000 | PA      | $3383833.49   | 0.11%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Tennessee Valley Authority                                               | Tennessee Valley Authority 4.625%, Due 09/15/2060                          | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    525000 | PA      | $466902.36    | 0.02%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                               | Tennessee Valley Authority 4.25%, Due 09/15/2052                           | CUSIP: 880591EY4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    500000 | PA      | $425015.81    | 0.01%             | 2052-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto Dominion Bank 1.20%, Due 06/03/2026                                | CUSIP: 89114TZD7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1037947.28   | 0.03%             | 2026-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto Dominion Bank 3.2%, Due 03/10/2032                                 | CUSIP: 89114TZV7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    236000 | PA      | $219953.61    | 0.01%             | 2032-03-10      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto-Dominion Bank / The 5.156%, Due 01/10/2028                         | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511318.87    | 0.02%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto-Dominion Bank / The 5.523%, Due 07/17/2028                         | CUSIP: 89115A2U5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518028.50    | 0.02%             | 2028-07-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: —       |
| The Toronto-Dominion Bank                                                | Toronto-Dominion Bank / The 4.994%, Due 04/05/2029                         | CUSIP: 89115A2Y7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1025165.36   | 0.03%             | 2029-04-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: —       |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corporation 4.55%, Due 05/17/2030                      | CUSIP: 89236TKU8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1474728.42   | 0.05%             | 2030-05-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corporation 5.55%, Due 11/20/2030                      | CUSIP: 89236TLE3<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    800000 | PA      | $847336.07    | 0.03%             | 2030-11-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corp 4.65%, Due 09/03/2032                             | CUSIP: 89236TNT8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    440000 | PA      | $444095.62    | 0.01%             | 2032-09-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICN HM TR 2020-SFR1                                           | Tricon American Homes Series 2020-SFR1, Class A                            | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1268152 | PA      | $1248905.19   | 0.04%             | 2038-07-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                       | Tricolor Auto Securitization Trust Series 2024-1A, Class B                 | CUSIP: 89616LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3970000.00   | 0.13%             | 2027-12-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                       | Tricolor Auto Securitization Trust Series 2024-3A, Class B                 | CUSIP: 89617AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1096875.00   | 0.04%             | 2028-09-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                       | Tricolor Auto Securitization Trust Series 2024-3A, Class C                 | CUSIP: 89617AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920000 | PA      | $172800.00    | 0.01%             | 2028-12-15      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                                   | Truist Financial Corporation 1.887%, Due 06/07/2029                        | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $950049.11    | 0.03%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                   | Truist Financial Corporation 4.873%, Due 01/26/2029                        | CUSIP: 89788MAL6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507955.88    | 0.02%             | 2029-01-26      | Fixed         | 4.87%                 | No            |                  2 | On Loan: —       |
| Truist Financial Corp.                                                   | Truist Financial Corporation 6.047%, Due 06/08/2027                        | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504023.13    | 0.02%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| Truist Financial Corp.                                                   | Truist Financial Corp 7.161%, Due 10/30/2029                               | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $539388.48    | 0.02%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                   | Truist Financial Corporation 5.711%, Due 01/24/2035                        | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $525959.95    | 0.02%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                   | Truist Financial Corporation 5.071%, Due 05/20/2031                        | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    450000 | PA      | $462289.26    | 0.02%             | 2031-05-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: —       |
| U.S. Bank National Association                                           | US Bank Credit-Linked Notes Series 2025-SUP2, Class B1                     | CUSIP: 90355PAB2<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | ABS-O            | CORP              | US        |   3491284 | PA      | $3484901.76   | 0.11%             | 2032-09-25      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| U.S. Bank National Association                                           | US Bank Credit-Linked Notes Series 2025-SUP2, Class D                      | CUSIP: 90355PAE6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | ABS-O            | CORP              | US        |   2480649 | PA      | $2479649.34   | 0.08%             | 2032-09-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| U S Bank National Assn Minneapolis Minnesota                             | US Bank National Association Series 2023-1, Class B                        | CUSIP: 90357PAV6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | ABS-O            | CORP              | US        |    258926 | PA      | $261576.91    | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                               | United Airlines 5.875%, Due 10/15/2027                                     | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102018 | PA      | $104603.85    | 0.00%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings Inc                                             | United Airlines 4.875%, Due 07/15/2027                                     | CUSIP: 90932VAA3<br>LEI: 98450079DA0B78DD6764 | Long             | ABS-O            | CORP              | US        |    114562 | PA      | $114564.12    | 0.00%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                   | United Airlines 5.45%, Due 02/15/2037                                      | CUSIP: 90932WAA1<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | ABS-O            | CORP              | US        |    868969 | PA      | $893348.86    | 0.03%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United Parcel Service, Inc.                                              | United Parcel Service Incorporated 5.25%, Due 05/14/2035                   | CUSIP: 911312CJ3<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1347295.30   | 0.04%             | 2035-05-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| U.S. Bancorp.                                                            | US Bankcorp 2.215%, Due 01/27/2028                                         | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    800000 | PA      | $785718.39    | 0.03%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: —       |
| U.S. Bancorp.                                                            | US Bancorp 2.677%, Due 01/27/2033                                          | CUSIP: 91159HJD3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2479962.46   | 0.08%             | 2033-01-27      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                            | US Bancorp 4.548%, Due 07/22/2028                                          | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302486.30    | 0.01%             | 2028-07-22      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                            | US Bancorp 4.839%, Due 02/01/2034                                          | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007347.43   | 0.03%             | 2034-02-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: —       |
| U.S. Bancorp.                                                            | US Bancorp 5.083% Due 05/15/2031                                           | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    875000 | PA      | $901943.54    | 0.03%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: —       |
| United States Treasury Bonds                                             | U.S. TREASURY INFLATION-PROTECTED NOTES 0.625%, DUE 02/15/2043             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48147400 | PA      | $35815069.41  | 1.16%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. TREASURY BONDS 2.25%, DUE 08/15/2046                                  | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $39485156.40  | 1.28%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 3.00%, due 02/15/2048                                  | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 160000000 | PA      | $119062499.20 | 3.87%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 2.375%, Due 11/15/2049                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $9573437.60   | 0.31%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 1.125%, Due 08/15/2040                                 | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $37682812.80  | 1.22%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 1.625%, Due 11/15/2050                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $47250000.00  | 1.53%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 1.375%, Due 11/15/2040                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $29207812.50  | 0.95%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 2.25%, Due 08/15/2027                                  | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1961093.76   | 0.06%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 1.625%, Due 02/15/2026                                 | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4987519.50   | 0.16%             | 2026-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                             | U.S. Treasury Notes 0.625%, Due 08/15/2030                                 | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  81000000 | PA      | $70482656.25  | 2.29%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 0.5%, Due 10/31/2027                                   | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $10422929.66  | 0.34%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | US Treasury Inflation-Protected Note 0.125%, Due 04/15/2026                | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6207400 | PA      | $6153346.46   | 0.20%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 1.25%, Due 09/30/2028                                  | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $28219921.80  | 0.92%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 3.875%, Due 11/30/2029                                 | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17600000 | PA      | $17747125.09  | 0.58%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                             | U.S. Treasury Notes 4%, DUE 02/15/2034                                     | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $79750000.00  | 2.59%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 02/15/2033                                | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1494794.40   | 0.05%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2033                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $5107426.45   | 0.17%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2034                               | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $8328126.12   | 0.27%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 02/15/2036                                | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $9652430.85   | 0.31%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 02/15/2037                                | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $12177676.40  | 0.40%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 11/15/2031                                | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $3966469.90   | 0.13%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 05/15/2033                                | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1551620.72   | 0.05%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 11/15/2034                                | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6855301.60   | 0.22%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S Treasury STRIPS 0.000%, Due 05/15/2035                                 | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6682120.60   | 0.22%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 02/15/2038                                | CUSIP: 912833Z60<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $23045882.40  | 0.75%             | 2038-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2043                               | CUSIP: 912834DU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $27569883.00  | 0.90%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 08/15/2041                                | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $7005614.70   | 0.23%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2043                               | CUSIP: 912834MT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $6207245.10   | 0.20%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                  | UnitedHealth Group, Inc. 4.25%, due 06/15/2048                             | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $409160.46    | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                  | UnitedHealth Group, Inc. 4.20%, Due 05/15/32                               | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1135367.38   | 0.04%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                  | UnitedHealth Group, Inc. 5.20%, Due 02/15/2033                             | CUSIP: 91324PEX6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447749.82    | 0.01%             | 2063-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST 2025-2                                                  | Unlock HEA Trust Series 2025-2, Class A                                    | CUSIP: 914917AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1731161 | PA      | $1726293.76   | 0.06%             | 2041-11-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| UNLOCK HEA TRUST 2024-2                                                  | Unlock HEA Trust Series 24-2 Class A                                       | CUSIP: 91528AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4359583 | PA      | $4364950.94   | 0.14%             | 2039-10-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| UNLOCK HEA TRUST 2024-1                                                  | Unlock HEA Trust Series 24-1 Class A                                       | CUSIP: 91530QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8156100 | PA      | $8148647.77   | 0.26%             | 2039-04-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MSTR TR 25-ST2                                                   | Upgrade Master Pass-Thru Trust Series 2025-ST2, Class A                    | CUSIP: 91534JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800634 | PA      | $6884418.08   | 0.22%             | 2032-06-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MSTR PASS THR 2025-ST5                                           | Upgrade Master Pass-Thru Trust Series 2025-ST5, Class B                    | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5522105.60   | 0.18%             | 2032-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MSTR PASS THR 2025-ST5                                           | Upgrade Master Pass-Thru Trust Series 2025-ST5, Class C                    | CUSIP: 91535BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10450000 | PA      | $10456977.47  | 0.34%             | 2032-09-15      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| UPSTRT STR PSTHRU TR 2022-4A                                             | Upstart Structured Pass-Through Trust Series 2022-2A, Class A              | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155761 | PA      | $155374.36    | 0.01%             | 2030-06-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Valero Energy Corp.                                                      | Valero Energy Corporation 5.15%, Due 02/15/2030                            | CUSIP: 91913YBF6<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411651.56    | 0.01%             | 2030-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications Inc 1.75%, Due 01/20/2031                           | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    700000 | PA      | $616165.00    | 0.02%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Verizon Communications Inc.                                              | Verizon Wireless 2.55%, Due 03/21/2031                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1278470.84   | 0.04%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications, Inc. 2.355%, Due 03/15/2032                        | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1237000 | PA      | $1090105.74   | 0.04%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Wireless 5.0%, Due 01/15/2036                                      | CUSIP: 92343VHG2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1769846.74   | 0.06%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020-                                      | VLS Commercial Mortgage Trust Series 2020-LAB, Class A                     | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9060000 | PA      | $7775710.57   | 0.25%             | 2042-10-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                  | Volkswagen Group America 5.65%, Due 09/12/2028                             | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2474331.82   | 0.08%             | 2028-09-12      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Walmart Inc                                                              | Walmart Incorporated 4.50%, Due 04/15/2053                                 | CUSIP: 931142FE8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    450000 | PA      | $397951.63    | 0.01%             | 2053-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Waste Connections Inc.                                                   | Waste Connections Incorporated 3.20%, Due 06/01/2032                       | CUSIP: 94106BAE1<br>LEI: 549300ZX1Z8QGWASPX54 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1675160.69   | 0.05%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                   | Waste Management Incorporated 3.875%, Due 01/15/2029                       | CUSIP: 94106LCA5<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1372988.98   | 0.04%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo & Company 2.879%, Due 10/30/2030                               | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3805171.96   | 0.12%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo & Company 2.572%, due 02/11/2031                               | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $980683.78    | 0.03%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | WELLS FARGO & CO 2.393%, DUE 06/02/2028                                    | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635111.07    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo and Company 3.35%, Due 03/02/2033                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2520009.44   | 0.08%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo and Company 5.574%, Due 07/25/2029                             | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $932289.17    | 0.03%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo and Company 5.499%, Due 01/23/2035                             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1043370.18   | 0.03%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                        | Wells Fargo & Company 5.244%, Due 01/24/2031                               | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    875000 | PA      | $906079.94    | 0.03%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                           | Wells Fargo Mortgage Trust Series 21-SAVE Class B                          | CUSIP: 95003LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2123200 | PA      | $2120258.31   | 0.07%             | 2040-02-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                           | Wells Fargo Mortgage Trust Series 21-SAVE Class C                          | CUSIP: 95003LAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $580466.73    | 0.02%             | 2040-02-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                           | Wells Fargo Mortgage Trust Series 21-SAVE Class D                          | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2324000 | PA      | $2319158.19   | 0.08%             | 2040-02-15      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                           | Wells Fargo Commerical Mortgage Trust Series 2025-1918, Class B            | CUSIP: 95004QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5013907.00   | 0.16%             | 2040-09-15      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2012-Lc5                           | Wells Fargo Commerical Mortgage Trust Series 2025-1918, Class D            | CUSIP: 95004QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4281008.00   | 0.14%             | 2040-09-15      | Variable      | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Wisconsin Power and Light Company                                        | WISCONSIN PWR & LT CO SR GLBL DEB 1.95%, Due 09/16/31                      | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $700911.54    | 0.02%             | 2031-09-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| Xilinx Inc.                                                              | Xilinx, Incorporated 2.375%, Due 06/01/2030                                | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $1974885.50   | 0.06%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | State Street Navigator Securities Lending Portfolio I                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  43924185 | NS      | $43924185.00  | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** Diamond Hill Funds

**Signature:** Julie Roach

**Name of Signer:** Julie Roach

**Title:** Treasurer