# EDGAR Filing Document

**Accession Number:** 0001681576
**File Stem:** 0001681576-25-000026
**Filing Date:** 2025-7
**Character Count:** 645579
**Document Hash:** d9741fad79fb9006e2213bf9295189fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001681576-25-000026.hdr.sgml**: 20250729

**ACCESSION NUMBER**: 0001681576-25-000026

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250729

**DATE AS OF CHANGE**: 20250729

**PERIOD START**: 20250531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Total Return Fund, Inc.
- **CENTRAL INDEX KEY:** 0001681576

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23180
- **FILM NUMBER:** 251161573

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

## Series and Classes Contracts Data

### T. Rowe Price Total Return Fund (Series ID: S000055582)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000174964 | T. Rowe Price Total Return Fund                | PTTFX           |
| C000174965 | T. Rowe Price Total Return Fund--Advisor Class | PTATX           |
| C000174966 | T. Rowe Price Total Return Fund--I Class       | PTKIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

- **b. Investment Company Act file number:** 811-23180

- **c. CIK number of Registrant:** 0001681576

- **d. LEI of Registrant:** 54930030REW0J45PM043

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price Total Return Fund

- **b. EDGAR series identifier (if any):** S000055582

- **c. LEI of Series:** 549300ZQ4TOEETMBQY79

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

- **a. Date of fiscal year-end:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $671380832.72

**Total Liabilities:** $21131431.90

**Net Assets:** $650249400.82

**Delayed Delivery Securities:** $365000.00

**Stand-by Commitments:** $8383295.21

**Cash Not Reported:** $67541.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -502.228660 | **1-Year:** -14099.255507 | **5-Year:** -86230.746986 | **10-Year:** -73220.127436 | **30-Year:** -12697.389972

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

- **3-Month:** -71.308657 | **1-Year:** -1247.133442 | **5-Year:** -26300.077771 | **10-Year:** -8580.237036 | **30-Year:** -1688.549144

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174965 | -0.19%               | 0.04%                | -0.54%               |
| Class ID C000174966 | -0.16%               | 0.07%                | -0.50%               |
| Class ID C000174964 | -0.17%               | -0.06%               | -0.40%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $95391.83                | $-3569552.37                               |
| Month 2  | $-1559269.90             | $-604671.04                                |
| Month 3  | $-1098434.88             | $-2883975.04                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                            | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES Andes SA                                                                    | AES ANDES SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    650000 | PA      | $653723.20    | 0.10%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| AES Corp/The                                                                    | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1007003.83   | 0.15%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    175000 | PA      | $168570.15    | 0.03%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    350000 | PA      | $330022.70    | 0.05%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc                                             | ACRISURE LLC / ACRISURE FINANCE INC                                             | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $128593.75    | 0.02%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc                                             | ACRISURE LLC / ACRISURE FINANCE INC                                             | CUSIP: 00489LAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $354450.00    | 0.05%             | 2029-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Albion Financing 1 SARL / Aggreko Holdings Inc                                  | ALBION FINANCING 1 SARL / AGGREKO HOLDINGS INC                                  | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    200000 | PA      | $201500.00    | 0.03%             | 2030-05-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Alen 2021-ACEN Mortgage Trust                                                   | ALEN 2021-ACEN MORTGAGE TRUST                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $652802.99    | 0.10%             | 2034-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    155000 | PA      | $147548.22    | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $136350.00    | 0.02%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    322000 | PA      | $328440.00    | 0.05%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                     | ALLIED UNIVERSAL HOLDCO LLC                                                     | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    324000 | PA      | $335745.00    | 0.05%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1010000 | PA      | $-859248.53   | -0.13%            | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F050460<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $750320.12    | 0.12%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F050668<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160000 | PA      | $1122713.16   | 0.17%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-B                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193505 | PA      | $194264.75    | 0.03%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-B                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193505 | PA      | $193651.65    | 0.03%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-A                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                                | CUSIP: 02007GZ55<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160442 | PA      | $162206.77    | 0.02%             | 2032-05-17      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes Series 2024-A                                | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                                | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160442 | PA      | $162201.58    | 0.02%             | 2032-05-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                            | ALPHA GENERATION LLC                                                            | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295075.00    | 0.05%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America Inc                                               | AMCOR FLEXIBLES NORTH AMERICA INC                                               | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301531.20    | 0.05%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/JPY FWD 20250603 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2437.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Americredit Automobile Receivables Trust 2023-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                                 | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $438624.81    | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables X LLC                                        | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                        | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |   2520000 | PA      | $2503435.79   | 0.38%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC                                     | AMUR EQUIPMENT FINANCE RECEIVABLES XIII LLC                                     | CUSIP: 03237CAC6<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $848719.63    | 0.13%             | 2031-01-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-5                                                 | ANGEL OAK MORTGAGE TRUST 2020-5                                                 | CUSIP: 03464WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $232710.75    | 0.04%             | 2065-05-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-6                                                 | ANGEL OAK MORTGAGE TRUST 2020-6                                                 | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $413474.03    | 0.06%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2022-6                                                 | ANGEL OAK MORTGAGE TRUST 2022-6                                                 | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539734 | PA      | $1506576.67   | 0.23%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-3                                                 | ANGEL OAK MORTGAGE TRUST 2025-3                                                 | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |    163372 | PA      | $162940.60    | 0.03%             | 2070-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXVII                                                               | APIDOS CLO XXXVII                                                               | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |    525000 | PA      | $524869.01    | 0.08%             | 2034-10-22      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                       | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2077020 | PA      | $2039788.59   | 0.31%             | 2049-06-05      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp                                                                   | APPLOVIN CORP                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    220000 | PA      | $222090.00    | 0.03%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                             | EGYPT GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   1565000 | PA      | $1554951.85   | 0.24%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Ares Management Corp                                                            | ARES MANAGEMENT CORP                                                            | CUSIP: 03990B309<br>LEI: 529900JUV61FH7B8VW38 | Long             | EP               | CORP              | US        |      3077 | NS      | $162680.99    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Arsenal AIC Parent LLC                                                          | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04288BAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $394050.00    | 0.06%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Auxilior Term Funding 2024-1 LLC                                                | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $417025.15    | 0.06%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | AVIS BUDGET CAR RENTAL LLC / AVIS BUDGET FINANCE INC                            | CUSIP: 053773BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $192850.00    | 0.03%             | 2030-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RFX7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $120389.09    | 0.02%             | 2027-04-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RGN8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100528.43    | 0.02%             | 2027-10-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKG8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $245715.16    | 0.04%             | 2027-10-20      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $140772.11    | 0.02%             | 2028-02-20      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise Inc                                                             | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    335000 | PA      | $341700.00    | 0.05%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Axon Enterprise Inc                                                             | AXON ENTERPRISE INC                                                             | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    425000 | PA      | $431375.00    | 0.07%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                  | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $3642.30      | 0.00%             | 2034-11-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    470000 | PA      | $472992.49    | 0.07%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                                         | BSREP 2021-DC C                                                                 | CUSIP: 05591UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778838 | PA      | $654732.03    | 0.10%             | 2038-08-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                               | BPR TRUST 2021-TY                                                               | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $623951.00    | 0.10%             | 2038-09-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 Mortgage Trust                                                     | BMO 2024-5C5 MORTGAGE TRUST                                                     | CUSIP: 05593RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $925847.51    | 0.14%             | 2057-02-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-VIEW                                                              | BX TRUST 2021-VIEW                                                              | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195000 | PA      | $1160362.93   | 0.18%             | 2036-06-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                | FIEMEX ENERGIA - BANCO ACTINVER SA INSTITUCION DE BANCA MULTIPLE                | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    462326 | PA      | $457009.65    | 0.07%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $988230.46    | 0.15%             | 2035-08-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $987043.67    | 0.15%             | 2035-10-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BNK21                                                                 | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036000 | PA      | $765946.71    | 0.12%             | 2052-10-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $629901.88    | 0.10%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Battalion Clo XV Ltd                                                            | BATTALION CLO XV LTD                                                            | CUSIP: 07131AAT1<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |    635000 | PA      | $635380.31    | 0.10%             | 2033-01-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XII Ltd                                                           | BATTALION CLO XII LTD                                                           | CUSIP: 07133RBA2<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $655849.39    | 0.10%             | 2031-05-17      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp                                                              | BAUSCH + LOMB CORP                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $144725.00    | 0.02%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                            | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1605801.93   | 0.25%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Bayer US Finance LLC                                                            | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    390000 | PA      | $410506.59    | 0.06%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                         | BAYER US FINANCE II LLC                                                         | CUSIP: 07274NBH5<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    580000 | PA      | $413406.60    | 0.06%             | 2064-07-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    247222 | PA      | $248106.34    | 0.04%             | 2031-12-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    142082 | PA      | $142661.82    | 0.02%             | 2031-12-26      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318179 | PA      | $318178.52    | 0.05%             | 2029-11-01      | Variable      | 7.08%                 | Yes           |                  3 | On Loan: No      |
| Bellemeade Re 2022-1 Ltd                                                        | BELLEMEADE RE 2022-1 LTD                                                        | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    747679 | PA      | $749660.07    | 0.12%             | 2032-01-26      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA Inc                                                          | BIMBO BAKERIES USA INC                                                          | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    595000 | PA      | $617756.37    | 0.10%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2022-INV1                                            | BINOM SECURITIZATION TRUST 2022-INV1                                            | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397263 | PA      | $380739.44    | 0.06%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |      3734 | NS      | $251372.88    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    204000 | PA      | $139771.21    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1922000 | PA      | $2056443.90   | 0.32%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc                                                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    640000 | PA      | $634183.04    | 0.10%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | IDR/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ID        |         1 | NC      | $-30.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/IDR FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5727.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boston Gas Co                                                                   | BOSTON GAS CO                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    365000 | PA      | $355195.37    | 0.05%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    145000 | PA      | $144216.57    | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | FI TRS USD PAY IBOXHY 12/20/25 MSLN_C                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-62785.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-GPA3                                          | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                          | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529808 | PA      | $529808.41    | 0.08%             | 2039-12-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BX Trust 2025-TAIL                                                              | BX TRUST 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $225303.55    | 0.03%             | 2035-06-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-MDHS                                          | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677161 | PA      | $678007.68    | 0.10%             | 2041-05-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-MDHS                                          | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677161 | PA      | $677161.23    | 0.10%             | 2041-05-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $355875.00    | 0.05%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $387150.00    | 0.06%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $389062.50    | 0.06%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                      | CD 2017-CD6 MORTGAGE TRUST                                                      | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $498106.46    | 0.08%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CBRE Services Inc                                                               | CBRE SERVICES INC                                                               | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    315000 | PA      | $312293.84    | 0.05%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                | CHS/COMMUNITY HEALTH SYSTEMS INC                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    450000 | PA      | $480375.00    | 0.07%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CIFC Funding 2013-IV Ltd                                                        | CIFC FUNDING 2013-IV LTD                                                        | CUSIP: 12549FCA5<br>LEI: 549300QSQ98IRWUWDV20 | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $923392.48    | 0.14%             | 2031-04-27      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CMG Media Corp                                                                  | CMG MEDIA CORP                                                                  | CUSIP: 125773AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    565000 | PA      | $519800.00    | 0.08%             | 2029-06-18      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                   | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164059 | PA      | $162418.55    | 0.02%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                   | COMM 2016-CR28 MORTGAGE TRUST                                                   | CUSIP: 12593YBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1093350.48   | 0.17%             | 2049-02-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 Commercial Mortgage Trust                                        | CSAIL 2019-C18 COMMERCIAL MORTGAGE TRUST                                        | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $575853.94    | 0.09%             | 2052-12-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                 | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $152139.25    | 0.02%             | 2065-04-27      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| COLT 2021-5 Mortgage Loan Trust                                                 | COLT 2021-5 MORTGAGE LOAN TRUST                                                 | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985273 | PA      | $877455.75    | 0.13%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    230000 | PA      | $217925.00    | 0.03%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197500.00    | 0.03%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187500.00    | 0.03%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| COMM 2015-LC23 Mortgage Trust                                                   | COMM 2015-LC23 MORTGAGE TRUST                                                   | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $437497.54    | 0.07%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 Commercial Mortgage Trust                                         | CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST                                         | CUSIP: 12636MAE8<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $211335.69    | 0.03%             | 2049-01-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1213569.63   | 0.19%             | 2053-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    452000 | PA      | $441214.38    | 0.07%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    460000 | PA      | $463956.00    | 0.07%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                              | COTERRA ENERGY INC                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    225000 | PA      | $217843.20    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                       | CAESARS ENTERTAINMENT INC                                                       | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    185000 | PA      | $189162.50    | 0.03%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $616851.00    | 0.09%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    355000 | PA      | $364802.97    | 0.06%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2022-2                                                  | CARMAX AUTO OWNER TRUST 2022-2                                                  | CUSIP: 14317HAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1593438.86   | 0.25%             | 2027-12-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2024-1                                                  | CARMAX AUTO OWNER TRUST 2024-1                                                  | CUSIP: 14318WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515000 | PA      | $520063.79    | 0.08%             | 2029-08-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2023-3                                                  | CARMAX AUTO OWNER TRUST 2023-3                                                  | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $488785.78    | 0.08%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2024-2                                                  | CARMAX AUTO OWNER TRUST 2024-2                                                  | CUSIP: 14319EAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190000 | PA      | $1224799.88   | 0.19%             | 2030-10-15      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust 2024-A                                          | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $232872.65    | 0.04%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust 2024-A                                          | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $983574.67    | 0.15%             | 2030-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2024-3                                                  | CARMAX AUTO OWNER TRUST 2024-3                                                  | CUSIP: 14319GAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $217763.22    | 0.03%             | 2031-01-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Carpenter Technology Corp                                                       | CARPENTER TECHNOLOGY CORP                                                       | CUSIP: 144285AM5<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |    195000 | PA      | $200606.25    | 0.03%             | 2030-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Carvana Co                                                                      | CARVANA CO                                                                      | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    248882 | PA      | $288703.12    | 0.04%             | 2031-06-01      | Variable      | 14.00%                | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489969 | PA      | $484028.92    | 0.07%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2021-P1                                          | CUSIP: 14687BAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $508999.89    | 0.08%             | 2027-12-10      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $333641.25    | 0.05%             | 2030-05-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N1                                          | CUSIP: 14687QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $877717.06    | 0.13%             | 2030-05-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N2                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $354691.02    | 0.05%             | 2030-09-10      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-N2                                          | CARVANA AUTO RECEIVABLES TRUST 2024-N2                                          | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $457961.04    | 0.07%             | 2030-09-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1176228.78   | 0.18%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    700000 | PA      | $716625.00    | 0.11%             | 2032-07-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1397000 | PA      | $1348105.00   | 0.21%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1172975.50   | 0.18%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $291044.88    | 0.04%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    242000 | PA      | $253121.11    | 0.04%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust 2024-RPL4                                     | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                     | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99610 | PA      | $86819.67     | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Chenango Park CLO Ltd                                                           | CHENANGO PARK CLO LTD                                                           | CUSIP: 16409TAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1085000 | PA      | $1084074.93   | 0.17%             | 2030-04-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Chile Electricity Lux Mpc II Sarl                                               | CHILE ELECTRICITY LUX MPC II SARL                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    283476 | PA      | $282028.84    | 0.04%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2016-I Ltd                                                         | CIFC FUNDING 2016-I LTD                                                         | CUSIP: 17180TBS0<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |    735000 | PA      | $714311.67    | 0.11%             | 2031-10-21      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    715000 | PA      | $718191.76    | 0.11%             | 2036-01-24      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | CITIGROUP MORTGAGE LOAN TRUST INC                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    940393 | PA      | $803742.18    | 0.12%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Civitas Resources Inc                                                           | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    240000 | PA      | $241800.00    | 0.04%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Civitas Resources Inc                                                           | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130193.46    | 0.02%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP / Clarios US Finance Co                                       | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $213150.00    | 0.03%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Clarus Capital Funding 2024-1 LLC                                               | CLARUS CAPITAL FUNDING 2024-1 LLC                                               | CUSIP: 18271JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $268872.02    | 0.04%             | 2032-08-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       750 | NS      | $802.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $246712.50    | 0.04%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    199000 | PA      | $175866.25    | 0.03%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18453HAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $319487.50    | 0.05%             | 2028-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    750000 | PA      | $765937.50    | 0.12%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GROUP INC                                                        | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    155000 | PA      | $162556.25    | 0.02%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 Mortgage Loan Trust                                                 | COLT 2021-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220000 | PA      | $1464746.68   | 0.23%             | 2066-09-27      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co LLC                                               | COLUMBIA PIPELINES HOLDING CO LLC                                               | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $205871.40    | 0.03%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | CAD/USD FWD 20250725 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-43440.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/CLP FWD 20250702 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4515.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $638711.25    | 0.10%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comstock Resources Inc                                                          | COMSTOCK RESOURCES INC                                                          | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    335000 | PA      | $329975.00    | 0.05%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CONE Trust 2024-DFW1                                                            | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $672551.78    | 0.10%             | 2041-08-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Connect Finco SARL / Connect US Finco LLC                                       | CONNECT FINCO SARL / CONNECT US FINCO LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    290000 | PA      | $275500.00    | 0.04%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R02                                    | CONNECTICUT AVENUE SECURITIES TRUST 2025-R02                                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839655 | PA      | $838606.88    | 0.13%             | 2045-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Series 2025-R01                                   | CONNECTICUT AVENUE SECURITIES SERIES 2025-R01                                   | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368581 | PA      | $368763.76    | 0.06%             | 2045-01-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                        | CONSTELLATION BRANDS INC                                                        | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104818.35    | 0.02%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Continental Resources Inc/OK                                                    | CONTINENTAL RESOURCES INC/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    335000 | PA      | $255974.84    | 0.04%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1030000 | PA      | $-862732.66   | -0.13%            | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2490000 | PA      | $2472005.84   | 0.38%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $454289.98    | 0.07%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                       | IVORY COAST GOVERNMENT INTERNATIONAL BOND                                       | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1685000 | PA      | $1596012.44   | 0.25%             | 2036-04-01      | Fixed         | 8.07%                 | No            |                  2 | On Loan: No      |
| Cross 2024-H2 Mortgage Trust                                                    | CROSS 2024-H2 MORTGAGE TRUST                                                    | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82598 | PA      | $83052.05     | 0.01%             | 2069-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Cross 2025-H4 Mortgage Trust                                                    | CROSS 2025-H4 MORTGAGE TRUST                                                    | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760000 | PA      | $2759983.16   | 0.42%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Cross 2024-H6 Mortgage Trust                                                    | CROSS 2024-H6 MORTGAGE TRUST                                                    | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923113 | PA      | $917593.66    | 0.14%             | 2069-09-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 7 Ltd                                                           | CROWN POINT CLO 7 LTD                                                           | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    622391 | PA      | $622491.15    | 0.10%             | 2031-10-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield US Borrower LLC                                             | CUSHMAN & WAKEFIELD US BORROWER LLC                                             | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    165000 | PA      | $175725.00    | 0.03%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                              | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1228644.57   | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1 LLC                                                                | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $216204.67    | 0.03%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097327 | PA      | $968557.55    | 0.15%             | 2066-04-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-1                                             | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $177383.82    | 0.03%             | 2030-09-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100241.25    | 0.02%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $210784.35    | 0.03%             | 2031-02-24      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Diageo Investment Corp                                                          | DIAGEO INVESTMENT CORP                                                          | CUSIP: 25245BAC1<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203762.00    | 0.03%             | 2030-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    653000 | PA      | $640977.62    | 0.10%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    443000 | PA      | $395206.50    | 0.06%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc                        | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32154 | PA      | $31591.31     | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $124700.00    | 0.02%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $381800.00    | 0.06%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                   | DISH DBS CORP                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $147875.00    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Dryden 93 CLO Ltd                                                               | DRYDEN 93 CLO LTD                                                               | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1105345.26   | 0.17%             | 2038-01-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust 2021-3                                             | DRIVE AUTO RECEIVABLES TRUST 2021-3                                             | CUSIP: 262081AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1223558 | PA      | $1201074.21   | 0.18%             | 2029-06-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Dye & Durham Ltd                                                                | DYE & DURHAM LTD                                                                | CUSIP: 267486AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    510000 | PA      | $527850.00    | 0.08%             | 2029-04-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-INV2                                                                  | EFMT 2024-INV2                                                                  | CUSIP: 26844LAB4<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $485158.05    | 0.07%             | 2069-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| EFMT 2023-1                                                                     | EFMT 2023-1                                                                     | CUSIP: 26844QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359953 | PA      | $359536.21    | 0.06%             | 2068-02-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1                                                                  | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310015 | PA      | $309962.87    | 0.05%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                                         | ENI SPA                                                                         | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    620000 | PA      | $578535.64    | 0.09%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                                 | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    139000 | PA      | $151162.50    | 0.02%             | 2031-07-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp                                                                   | ECHOSTAR CORP                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    540000 | PA      | $542700.00    | 0.08%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2                                                                  | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332116 | PA      | $332011.62    | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| eG Global Finance PLC                                                           | EG GLOBAL FINANCE PLC                                                           | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    265000 | PA      | $292963.07    | 0.05%             | 2028-11-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192951 | PA      | $197844.65    | 0.03%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258624 | PA      | $265093.83    | 0.04%             | 2038-02-25      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    660000 | PA      | $668122.62    | 0.10%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                                        | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    475000 | PA      | $480174.18    | 0.07%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/COP FWD 20250702 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1598.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | MYR/USD FWD 20250604 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $-9772.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2023-4                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4                                      | CUSIP: 30166TAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223148 | PA      | $223566.51    | 0.03%             | 2027-10-15      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2023-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $137279.66    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| FS Luxembourg Sarl                                                              | FS LUXEMBOURG SARL                                                              | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    580000 | PA      | $588263.26    | 0.09%             | 2031-02-12      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | CAD/USD FWD 20250725 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-204.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       101 | PA      | $105.78       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        95 | PA      | $98.84        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $37.83        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       966 | PA      | $966.56       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        81 | PA      | $82.18        | 0.00%             | 2035-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       617 | PA      | $627.41       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       965 | PA      | $988.78       | 0.00%             | 2037-02-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       537 | PA      | $539.23       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45532 | PA      | $47125.17     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1923 | PA      | $1999.78      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2418 | PA      | $2522.93      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4784 | PA      | $4932.25      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2380 | PA      | $2343.90      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5741 | PA      | $5751.29      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22570 | PA      | $22608.94     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1632 | PA      | $1606.58      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3748 | PA      | $3809.74      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3603 | PA      | $3551.66      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1471 | PA      | $1496.52      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20498 | PA      | $20855.21     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3105 | PA      | $2962.17      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $111.72       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5379 | PA      | $5272.93      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63019 | PA      | $60834.64     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76537 | PA      | $66528.03     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2220 | PA      | $2302.89      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15616 | PA      | $15393.15     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52453 | PA      | $47761.31     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31514 | PA      | $27488.13     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $117.20       | 0.00%             | 2035-07-01      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1811 | PA      | $1858.45      | 0.00%             | 2034-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $138.85       | 0.00%             | 2036-10-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1068 | PA      | $1096.18      | 0.00%             | 2036-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       379 | PA      | $389.49       | 0.00%             | 2036-12-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       888 | PA      | $918.73       | 0.00%             | 2036-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1571 | PA      | $1608.39      | 0.00%             | 2036-03-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $41.47        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17667 | PA      | $16354.34     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21014 | PA      | $19422.10     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821674 | PA      | $760604.94    | 0.12%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2029330 | PA      | $1877232.28   | 0.29%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63099 | PA      | $58265.39     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7614 | PA      | $7505.60      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2635 | PA      | $2586.00      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1222 | PA      | $1224.55      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3823 | PA      | $3763.91      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3570 | PA      | $3576.25      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1283 | PA      | $1223.87      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       583 | PA      | $545.97       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $298.84       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1522 | PA      | $1451.98      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3004 | PA      | $2847.75      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6693 | PA      | $6383.81      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29863 | PA      | $28483.09     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       484 | PA      | $484.96       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1433 | PA      | $1436.92      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A4LW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101998 | PA      | $102039.21    | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40466 | PA      | $39343.73     | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A9UX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121199 | PA      | $118656.31    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132ACSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970594 | PA      | $880167.49    | 0.14%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CW4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235211 | PA      | $230068.55    | 0.04%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33805 | PA      | $33153.22     | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48876 | PA      | $46606.78     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D9LJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290937 | PA      | $269692.89    | 0.04%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMZ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2045746 | PA      | $1771251.91   | 0.27%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739563 | PA      | $583661.60    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DPUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544461 | PA      | $555130.50    | 0.09%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370583 | PA      | $290232.12    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256639 | PA      | $249148.62    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1235688 | PA      | $1200295.64   | 0.18%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160816 | PA      | $165894.10    | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345132 | PA      | $343531.74    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365477 | PA      | $364875.03    | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454997 | PA      | $452815.24    | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331465 | PA      | $321580.16    | 0.05%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428403 | PA      | $425888.37    | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349734 | PA      | $348303.75    | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199097 | PA      | $184675.90    | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971014 | PA      | $801255.98    | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089471 | PA      | $1103439.19   | 0.17%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1047560 | PA      | $816294.78    | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4175027 | PA      | $3403339.57   | 0.52%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3115143 | PA      | $2651508.88   | 0.41%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669890 | PA      | $650440.14    | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633068 | PA      | $598390.95    | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1347401 | PA      | $1344122.16   | 0.21%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132E0VQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388652 | PA      | $400931.34    | 0.06%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8617 | PA      | $8166.94      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17668 | PA      | $17400.45     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47326 | PA      | $46591.07     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178715 | PA      | $170111.33    | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ANKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367498 | PA      | $305091.66    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241965 | PA      | $1021080.73   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471185 | PA      | $386894.25    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389294 | PA      | $386048.67    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188260 | PA      | $193889.66    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551191 | PA      | $499088.56    | 0.08%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73105 | PA      | $69736.06     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134282 | PA      | $124680.41    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140592 | PA      | $130916.90    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1447652 | PA      | $1132057.59   | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731854 | PA      | $574960.15    | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460510 | PA      | $1203448.89   | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227779 | PA      | $1129281.71   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067145 | PA      | $897891.64    | 0.14%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854787 | PA      | $740251.31    | 0.11%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WGCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34023 | PA      | $34470.25     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $33.76        | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7371 | PA      | $7505.67      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4815 | PA      | $4922.18      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7953182 | PA      | $1250124.84   | 0.19%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BCJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2994752 | PA      | $394112.39    | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2314610 | PA      | $315960.03    | 0.05%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BPUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4742428 | PA      | $623231.83    | 0.10%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $13.91        | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $1769.17      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2691 | PA      | $2850.37      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1722 | PA      | $1758.56      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31379UFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.65         | 0.00%             | 2028-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FFHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5583527 | PA      | $887770.20    | 0.14%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FVHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3628494 | PA      | $610025.28    | 0.09%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                         | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                         | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96131 | PA      | $94235.97     | 0.01%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI2           | FREDDIE MAC STACR SECURITIZED PARTICIPATION INTERESTS TRUST 2018-SPI2           | CUSIP: 3137G1CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2280 | PA      | $2199.32      | 0.00%             | 2048-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1719269 | PA      | $223978.80    | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31383JVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $139.62       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1718 | PA      | $1796.43      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       766 | PA      | $794.18       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       711 | PA      | $737.69       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186 | PA      | $190.11       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21373 | PA      | $20086.09     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11239 | PA      | $10656.46     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8685 | PA      | $8269.40      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19123 | PA      | $18213.76     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152525 | PA      | $145287.59    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1276 | PA      | $1254.59      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20148 | PA      | $19777.51     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AKF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50382 | PA      | $50402.89     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5347 | PA      | $4948.73      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6443 | PA      | $6357.94      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61619 | PA      | $58579.69     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $403.71       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89210 | PA      | $87598.07     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24467 | PA      | $24011.43     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       938 | PA      | $942.31       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1097 | PA      | $1099.01      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6743 | PA      | $6425.99      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16530 | PA      | $16226.23     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3681 | PA      | $3575.08      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12646 | PA      | $12425.72     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18892 | PA      | $19680.79     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5426 | PA      | $5652.30      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3217 | PA      | $3074.60      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12659 | PA      | $12403.34     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13313 | PA      | $13039.33     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8551 | PA      | $8137.68      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9878 | PA      | $9714.47      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11124 | PA      | $11588.05     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21753 | PA      | $21762.08     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2111.20      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38529 | PA      | $38544.88     | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3686 | PA      | $3840.60      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3261 | PA      | $3416.01      | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28252 | PA      | $27782.25     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51541 | PA      | $50507.85     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4483 | PA      | $4144.41      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11567 | PA      | $10992.88     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110671 | PA      | $102344.15    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20730 | PA      | $19665.42     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42286 | PA      | $39600.98     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34417 | PA      | $33910.92     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120220 | PA      | $114265.10    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47056 | PA      | $43544.92     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19488 | PA      | $18854.88     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10637 | PA      | $10256.96     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4966 | PA      | $4615.80      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7492 | PA      | $6957.21      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26817 | PA      | $24385.76     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88392 | PA      | $84535.73     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3222 | PA      | $2872.83      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6327 | PA      | $5730.19      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11001 | PA      | $10140.50     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37069 | PA      | $35178.65     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132306 | PA      | $125056.14    | 0.02%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y32E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28866 | PA      | $27132.87     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3515 | PA      | $3434.65      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8697 | PA      | $8461.22      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $319.94       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31400B5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.61        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2804 | PA      | $2818.83      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2323 | PA      | $2337.35      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2434 | PA      | $2448.22      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3291 | PA      | $3310.35      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $2073.00      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3432 | PA      | $3437.35      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4270 | PA      | $4277.42      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11718 | PA      | $12169.03     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13233 | PA      | $13253.98     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65305 | PA      | $65411.19     | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2297.89      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3756 | PA      | $3762.52      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1725 | PA      | $1727.51      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21815 | PA      | $21951.50     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13337 | PA      | $13402.69     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30870 | PA      | $30919.87     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5702 | PA      | $5828.63      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3200 | PA      | $3207.29      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1285 | PA      | $1311.92      | 0.00%             | 2035-11-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19003 | PA      | $19053.17     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1913 | PA      | $1955.56      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63712 | PA      | $63906.48     | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12206 | PA      | $12476.89     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1618 | PA      | $1653.86      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $262.08       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4143 | PA      | $4312.59      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2620 | PA      | $2678.50      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1051 | PA      | $1077.61      | 0.00%             | 2036-08-01      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2383 | PA      | $2482.14      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       472 | PA      | $479.44       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        85 | PA      | $85.48        | 0.00%             | 2035-07-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       211 | PA      | $214.47       | 0.00%             | 2035-12-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1720 | PA      | $1750.89      | 0.00%             | 2035-12-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       751 | PA      | $757.02       | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       815 | PA      | $839.14       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       542 | PA      | $555.29       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $259.97       | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       426 | PA      | $443.49       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140A94B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309076 | PA      | $1298632.00   | 0.20%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140AXVY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122199 | PA      | $125482.44    | 0.02%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96634 | PA      | $84365.27     | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24792 | PA      | $21626.22     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72618 | PA      | $69739.61     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40132 | PA      | $37464.43     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81713 | PA      | $78507.31     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78097 | PA      | $74984.58     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34411 | PA      | $31135.74     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158116 | PA      | $151913.23    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3973 | PA      | $3616.36      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6787 | PA      | $6172.11      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19764 | PA      | $17994.25     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142065 | PA      | $126243.00    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003956 | PA      | $974349.57    | 0.15%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5836 | PA      | $5446.62      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144716 | PA      | $128714.57    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192140 | PA      | $184239.01    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15149 | PA      | $14054.39     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15883 | PA      | $15145.00     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LVQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826879 | PA      | $747935.25    | 0.12%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348806 | PA      | $338214.98    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25687 | PA      | $24593.86     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7482 | PA      | $7174.13      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74452 | PA      | $71359.07     | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QBUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126463 | PA      | $120999.91    | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92593 | PA      | $85783.34     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10140 | PA      | $9408.28      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18180 | PA      | $17342.64     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10798 | PA      | $10057.90     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10774 | PA      | $10020.37     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4879 | PA      | $4541.52      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77112 | PA      | $73653.42     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520952 | PA      | $1262098.55   | 0.19%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271890 | PA      | $1045298.51   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592399 | PA      | $488295.65    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262929 | PA      | $1038720.38   | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219099 | PA      | $1001920.46   | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009782 | PA      | $793316.80    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1227732 | PA      | $1012761.71   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803990 | PA      | $632096.80    | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959703 | PA      | $756741.39    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332566 | PA      | $286912.30    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824496 | PA      | $679227.42    | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002576 | PA      | $1037710.52   | 0.16%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424798 | PA      | $432872.64    | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377117 | PA      | $367788.87    | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686771 | PA      | $1714915.17   | 0.26%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252676 | PA      | $251852.85    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344724 | PA      | $344155.72    | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731760 | PA      | $757564.87    | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396546 | PA      | $408831.26    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277638 | PA      | $286409.74    | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192957 | PA      | $202733.04    | 0.03%             | 2054-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316588 | PA      | $313805.63    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809006 | PA      | $823300.05    | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174943 | PA      | $174484.85    | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136067 | PA      | $133849.24    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71956 | PA      | $70565.06     | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18844 | PA      | $16937.84     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101393 | PA      | $101681.45    | 0.02%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346380 | PA      | $273379.29    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285303 | PA      | $258873.94    | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52403 | PA      | $41358.05     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456963 | PA      | $360133.56    | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933320 | PA      | $843537.30    | 0.13%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738668 | PA      | $583417.83    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385409 | PA      | $304403.70    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106916 | PA      | $88538.58     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99264 | PA      | $97051.23     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782394 | PA      | $610792.76    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2040053 | PA      | $1902968.69   | 0.29%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218944 | PA      | $1131788.27   | 0.17%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844881 | PA      | $861271.51    | 0.13%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286732 | PA      | $291872.42    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2168973 | PA      | $1774178.07   | 0.27%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331535 | PA      | $321669.43    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362394 | PA      | $366258.94    | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410DUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1585 | PA      | $1649.75      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410ELD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $707.61       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2594 | PA      | $2600.03      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2666 | PA      | $2672.15      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1990 | PA      | $2071.64      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5865 | PA      | $5994.93      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1312 | PA      | $1366.28      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1988 | PA      | $2067.36      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40319 | PA      | $41048.27     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8394 | PA      | $8445.31      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49272 | PA      | $51125.06     | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1518 | PA      | $1581.20      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7492 | PA      | $7804.29      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       934 | PA      | $954.05       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1259 | PA      | $1311.36      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       898 | PA      | $935.80       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3324 | PA      | $3463.21      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $44.20        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2120 | PA      | $2208.18      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345 | PA      | $357.23       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       991 | PA      | $1034.26      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       594 | PA      | $610.52       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       413 | PA      | $422.31       | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334 | PA      | $344.89       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3817 | PA      | $3970.93      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1597.06      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       357 | PA      | $364.11       | 0.00%             | 2037-09-01      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1743 | PA      | $1785.78      | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8510 | PA      | $8698.84      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27371 | PA      | $28514.01     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10966 | PA      | $11209.32     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17759 | PA      | $18087.32     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $1938.23      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.02         | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23765 | PA      | $24759.78     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14683 | PA      | $15296.46     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2243 | PA      | $2207.63      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9065 | PA      | $9444.38      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17385 | PA      | $17076.52     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11185 | PA      | $9920.57      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36482 | PA      | $32458.29     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6062 | PA      | $5598.19      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4469 | PA      | $4398.95      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10622 | PA      | $10456.77     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1908 | PA      | $1877.72      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7892 | PA      | $7767.06      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2842 | PA      | $2796.53      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2685 | PA      | $2558.51      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16183 | PA      | $15918.94     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2478 | PA      | $2359.84      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2620 | PA      | $2512.09      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5286 | PA      | $4937.10      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6888 | PA      | $6431.28      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50793 | PA      | $46113.23     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2601 | PA      | $2428.36      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10800 | PA      | $10082.98     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121033 | PA      | $105426.75    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2421258 | PA      | $2196163.64   | 0.34%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479740 | PA      | $433752.55    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23367 | PA      | $21798.07     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152398 | PA      | $142164.83    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167436 | PA      | $137242.38    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262882 | PA      | $1107073.52   | 0.17%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38600 | PA      | $36916.78     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34864 | PA      | $28727.39     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301612 | PA      | $236635.40    | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243356 | PA      | $975046.60    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3077662 | PA      | $2414078.34   | 0.37%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972045 | PA      | $1544423.89   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1975051 | PA      | $1544837.31   | 0.24%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141590 | PA      | $893214.08    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2084665 | PA      | $1629275.22   | 0.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126827 | PA      | $103719.98    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357445 | PA      | $1155362.70   | 0.18%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872035 | PA      | $704982.32    | 0.11%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4075442 | PA      | $3176290.20   | 0.49%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535210 | PA      | $483724.65    | 0.07%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820245 | PA      | $719011.13    | 0.11%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656264 | PA      | $593133.84    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341509 | PA      | $278879.44    | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612533 | PA      | $578914.51    | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2146409 | PA      | $2028757.45   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646513 | PA      | $626466.23    | 0.10%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43295 | PA      | $39748.41     | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886011 | PA      | $878203.16    | 0.14%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12700 | PA      | $13221.26     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3296 | PA      | $3301.44      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3722 | PA      | $3876.98      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12887 | PA      | $13264.15     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13560 | PA      | $13855.23     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2970 | PA      | $2984.42      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32978 | PA      | $32991.15     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10522 | PA      | $10525.80     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12771 | PA      | $12776.33     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35858 | PA      | $35872.83     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22833 | PA      | $23786.59     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9584 | PA      | $9796.75      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2814 | PA      | $2877.00      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2573 | PA      | $2619.82      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1490 | PA      | $1458.53      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6472 | PA      | $6742.90      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9094 | PA      | $8942.72      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4034 | PA      | $3844.23      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13460 | PA      | $12827.84     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21353 | PA      | $20993.58     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6489 | PA      | $6517.87      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48703 | PA      | $47898.68     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53233 | PA      | $52320.99     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425UTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132731 | PA      | $136291.75    | 0.02%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67702 | PA      | $68669.68     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425WYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199271 | PA      | $204711.67    | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425YBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64971 | PA      | $66715.15     | 0.01%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83768 | PA      | $83597.42     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144922 | PA      | $146828.08    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72887 | PA      | $73846.34     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    230000 | PA      | $224126.49    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR2 Trust                                                  | FIRSTKEY HOMES 2020-SFR2 TRUST                                                  | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1386298.32   | 0.21%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                  | FIRSTKEY HOMES 2020-SFR1 TRUST                                                  | CUSIP: 33767MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $742470.98    | 0.11%             | 2037-08-17      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    640000 | PA      | $579792.64    | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    116000 | PA      | $101039.60    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                                   | FIVE CORNERS FUNDING TRUST II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    301000 | PA      | $277008.80    | 0.04%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2017-2                                                  | FLAGSTAR MORTGAGE TRUST 2017-2                                                  | CUSIP: 33850RAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214087 | PA      | $196403.68    | 0.03%             | 2047-10-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2019-1                                                  | FLAGSTAR MORTGAGE TRUST 2019-1                                                  | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49914 | PA      | $44503.20     | 0.01%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury DAC                                                            | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    655000 | PA      | $668581.43    | 0.10%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Goto Foods Funding LLC                                                          | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715800 | PA      | $1703178.58   | 0.26%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Goto Foods Funding LLC                                                          | GOTO FOODS FUNDING LLC                                                          | CUSIP: 34417RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1487925 | PA      | $1504367.32   | 0.23%             | 2052-07-30      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404204.36    | 0.06%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $333864.30    | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    725000 | PA      | $725978.03    | 0.11%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Fortitude Group Holdings LLC                                                    | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    495000 | PA      | $500443.52    | 0.08%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1197350.84   | 0.18%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207569.40    | 0.03%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    275000 | PA      | $278666.30    | 0.04%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    610000 | PA      | $622639.81    | 0.10%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1174848 | PA      | $1236865.05   | 0.19%             | 2053-08-20      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $215422.94    | 0.03%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1462109 | PA      | $1624706.05   | 0.25%             | 2054-06-20      | Fixed         | 11.16%                | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                         | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    830000 | PA      | $832328.98    | 0.13%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 Trust                                                            | GCAT 2025-NQM1 TRUST                                                            | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543209 | PA      | $542421.31    | 0.08%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3206 | PA      | $2914.71      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113397 | PA      | $103863.01    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12426 | PA      | $11387.44     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2992 | PA      | $2819.55      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250469 | PA      | $229459.08    | 0.04%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27285 | PA      | $24993.43     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39342 | PA      | $36017.42     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108906 | PA      | $99657.75     | 0.02%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23424 | PA      | $23846.50     | 0.00%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46442 | PA      | $42188.63     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1839383 | PA      | $1657944.73   | 0.25%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80306 | PA      | $72732.18     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10698 | PA      | $10290.90     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79275 | PA      | $71642.68     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17691 | PA      | $15986.35     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1669225 | PA      | $1474420.90   | 0.23%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1501840 | PA      | $1326181.31   | 0.20%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216557 | PA      | $207823.42    | 0.03%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19978 | PA      | $19707.02     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71867 | PA      | $70890.53     | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181140 | PA      | $173684.30    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4847 | PA      | $4781.49      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71960 | PA      | $70982.72     | 0.01%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21413 | PA      | $21207.67     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82444 | PA      | $81323.64     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82324 | PA      | $81205.77     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32752 | PA      | $33262.88     | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24807 | PA      | $25194.13     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41450 | PA      | $40848.12     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82954 | PA      | $84044.21     | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131795 | PA      | $130206.09    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171141 | PA      | $146779.81    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       286 | PA      | $289.70       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6693 | PA      | $6747.73      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32291 | PA      | $32633.95     | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128654 | PA      | $130094.60    | 0.02%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22530 | PA      | $22668.95     | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33797 | PA      | $34136.26     | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10523 | PA      | $10344.26     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401579 | PA      | $395747.84    | 0.06%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9109 | PA      | $7813.42      | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2283888 | PA      | $1835164.71   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405517 | PA      | $347806.86    | 0.05%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355041 | PA      | $328088.68    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432533 | PA      | $363135.97    | 0.06%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1312224 | PA      | $1213386.10   | 0.19%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453731 | PA      | $380302.24    | 0.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2477708 | PA      | $1990903.90   | 0.31%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361690 | PA      | $303156.54    | 0.05%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456135 | PA      | $382317.47    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2194733 | PA      | $1839552.53   | 0.28%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837788 | PA      | $702205.90    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630403 | PA      | $528382.49    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321549 | PA      | $269511.72    | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1111271 | PA      | $892935.91    | 0.14%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056540 | PA      | $885556.97    | 0.14%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540800 | PA      | $471453.52    | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228321 | PA      | $222615.17    | 0.03%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2026959 | PA      | $1864673.51   | 0.29%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273687 | PA      | $278509.07    | 0.04%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166310 | PA      | $169237.88    | 0.03%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301582 | PA      | $306821.24    | 0.05%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1708768 | PA      | $1618781.73   | 0.25%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069254 | PA      | $1041973.06   | 0.16%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14487 | PA      | $13075.78     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4511 | PA      | $4384.49      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15232 | PA      | $14844.83     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4715 | PA      | $4287.96      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3324 | PA      | $3034.02      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46864 | PA      | $42791.89     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19818 | PA      | $18034.54     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183W6J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108444 | PA      | $97014.65     | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14113 | PA      | $12625.23     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                             | GMF FLOORPLAN OWNER REVOLVING TRUST                                             | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1555000 | PA      | $1565398.75   | 0.24%             | 2028-06-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22109 | PA      | $19955.87     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8634 | PA      | $7504.04      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13315 | PA      | $11589.28     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10792 | PA      | $9393.65      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24776 | PA      | $21534.46     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17478 | PA      | $15180.47     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39974 | PA      | $34841.34     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32742 | PA      | $28537.55     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15455 | PA      | $13432.70     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39189 | PA      | $34061.05     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18326 | PA      | $15928.13     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17450 | PA      | $15188.52     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19240 | PA      | $16745.77     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14550 | PA      | $12645.50     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9420 | PA      | $8198.62      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       137 | PA      | $141.81       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3118 | PA      | $3118.50      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10604 | PA      | $10544.98     | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32597 | PA      | $33184.78     | 0.01%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5882 | PA      | $5861.66      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2332 | PA      | $2282.28      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10213 | PA      | $9994.11      | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2160 | PA      | $2160.10      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12887 | PA      | $12610.90     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11746 | PA      | $11777.67     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29895 | PA      | $29254.85     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8853 | PA      | $8827.88      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10013 | PA      | $9792.15      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15113 | PA      | $14789.36     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3716 | PA      | $3636.22      | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14199 | PA      | $14202.69     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3084 | PA      | $2906.01      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32095 | PA      | $31407.40     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2566 | PA      | $2511.09      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18092 | PA      | $18063.37     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57271 | PA      | $56866.00     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7603 | PA      | $7600.19      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78485 | PA      | $70749.97     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44523 | PA      | $39909.07     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29331 | PA      | $29366.10     | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15442 | PA      | $14912.05     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10599 | PA      | $10598.76     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46694 | PA      | $41998.59     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86711 | PA      | $80016.84     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15297 | PA      | $15313.92     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15297 | PA      | $15313.92     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56971 | PA      | $52078.14     | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                                           | GS MORTGAGE SECURITIES TRUST 2016-GS4                                           | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299963 | PA      | $1275449.88   | 0.20%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS8                                           | GS MORTGAGE SECURITIES TRUST 2017-GS8                                           | CUSIP: 36254KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $757536.60    | 0.12%             | 2050-11-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                    | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1298547 | PA      | $1029997.07   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-3                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $157949.53    | 0.02%             | 2029-01-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-3                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3                       | CUSIP: 36267KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $260274.78    | 0.04%             | 2029-02-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4853 | PA      | $4823.22      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28446 | PA      | $25703.05     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc                                                           | GENESEE & WYOMING INC                                                           | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197925.00    | 0.03%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2023-1                       | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1                       | CUSIP: 38013JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $292122.08    | 0.04%             | 2028-09-18      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    375000 | PA      | $331634.25    | 0.05%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund                                               | GOLUB CAPITAL PRIVATE CREDIT FUND                                               | CUSIP: 38179RAC9<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |   1027000 | PA      | $1017016.53   | 0.16%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16946 | PA      | $2724.39      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75235 | PA      | $11073.45     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380AVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98667 | PA      | $7349.75      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11235 | PA      | $10198.83     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15094 | PA      | $13992.09     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3475425 | PA      | $509921.66    | 0.08%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1811755 | PA      | $212616.10    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2312314 | PA      | $275377.68    | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1355355 | PA      | $184855.87    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460000 | PA      | $375944.75    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6830639 | PA      | $991064.91    | 0.15%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/CHF FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $236.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | MXN/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MX        |         1 | NC      | $7453.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MXN FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1223.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | GBP/USD FWD 20250822 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $-2159.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | MYR/USD FWD 20250604 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $9897.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HF Sinclair Corp                                                                | HF SINCLAIR CORP                                                                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    695000 | PA      | $698938.57    | 0.11%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp                                                                | HF SINCLAIR CORP                                                                | CUSIP: 403949AS9<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    730000 | PA      | $720102.66    | 0.11%             | 2035-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                         | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                         | CUSIP: 403956AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $803490.63    | 0.12%             | 2037-05-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-1                                                    | HPEFS EQUIPMENT TRUST 2024-1                                                    | CUSIP: 403963AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190000 | PA      | $1191968.86   | 0.18%             | 2031-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 Trust                                                           | HOMES 2025-NQM2 TRUST                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432726 | PA      | $432362.61    | 0.07%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $260723.06    | 0.04%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                 | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAG6<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |    322283 | PA      | $322333.88    | 0.05%             | 2030-05-06      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                 | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |   1830000 | PA      | $1836092.78   | 0.28%             | 2030-05-06      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141220.09    | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $354605.16    | 0.05%             | 2032-04-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Harbour Energy PLC                                                              | HARBOUR ENERGY PLC                                                              | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    790000 | PA      | $763533.42    | 0.12%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1919788 | PA      | $1829058.15   | 0.28%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547978 | PA      | $562525.59    | 0.09%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC / HAT Holdings II LLC                                        | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $999843.75    | 0.15%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| HAT Holdings I LLC / HAT Holdings II LLC                                        | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    227000 | PA      | $233242.50    | 0.04%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp A Mutual Legal Reserve Co                              | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    830000 | PA      | $781825.97    | 0.12%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co                                                   | HEWLETT PACKARD ENTERPRISE CO                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    211000 | PA      | $209076.95    | 0.03%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Hexcel Corp                                                                     | HEXCEL CORP                                                                     | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224061.53    | 0.03%             | 2035-02-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hightower Holding LLC                                                           | HIGHTOWER HOLDING LLC                                                           | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |    495000 | PA      | $517893.75    | 0.08%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    584000 | PA      | $581080.00    | 0.09%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $176225.00    | 0.03%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2020-A                                             | HILTON GRAND VACATIONS TRUST 2020-A                                             | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27211 | PA      | $27356.64     | 0.00%             | 2039-02-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Holcim Finance US LLC                                                           | HOLCIM FINANCE US LLC                                                           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    245000 | PA      | $246106.67    | 0.04%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Holcim Finance US LLC                                                           | HOLCIM FINANCE US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    285000 | PA      | $286739.36    | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2022-1 Trust                                           | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    633185 | PA      | $622199.69    | 0.10%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2022-1 Trust                                           | HOME PARTNERS OF AMERICA 2022-1 TRUST                                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1751210 | PA      | $1719292.54   | 0.26%             | 2039-04-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                          | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    352000 | PA      | $344080.00    | 0.05%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $323065.86    | 0.05%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $147277.95    | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    775000 | PA      | $803093.75    | 0.12%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    630000 | PA      | $657562.50    | 0.10%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1124681.98   | 0.17%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2025-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1002782 | PA      | $1000252.10   | 0.15%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2024-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347180 | PA      | $351802.46    | 0.05%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2024-2                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810916 | PA      | $815496.64    | 0.13%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201172.20    | 0.03%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HYT Commercial Mortgage Trust 2024-RGCY                                         | HYT COMMERCIAL MORTGAGE TRUST 2024-RGCY                                         | CUSIP: 449173AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $544659.38    | 0.08%             | 2041-09-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Ilpt Commercial Mortgage Trust 2022-Lpfx                                        | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                        | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1391989.68   | 0.21%             | 2032-03-15      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $204462.60    | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $199211.20    | 0.03%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2022-NQM4                                          | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                          | CUSIP: 45276NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1138375 | PA      | $1133740.74   | 0.17%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAD5<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    255000 | PA      | $240975.00    | 0.04%             | 2032-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    522000 | PA      | $484155.00    | 0.07%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Indianapolis Power & Light Co                                                   | INDIANAPOLIS POWER & LIGHT CO                                                   | CUSIP: 455434BW9<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |    220000 | PA      | $208861.62    | 0.03%             | 2054-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    410000 | PA      | $424350.00    | 0.07%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                  | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BKWD                  | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $229627.05    | 0.04%             | 2029-09-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73825 | PA      | $65864.06     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64228 | PA      | $57301.73     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Kaspi.KZ JSC                                                                    | KASPI.KZ JSC                                                                    | CUSIP: 466281AA0<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |    770000 | PA      | $763907.40    | 0.12%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                     | JACK IN THE BOX FUNDING LLC                                                     | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    949840 | PA      | $910225.21    | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $148729.83    | 0.02%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV2                                              | JP MORGAN MORTGAGE TRUST 2020-INV2                                              | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226980 | PA      | $195177.93    | 0.03%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2023-DSC2                                            | J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178462 | PA      | $1168839.21   | 0.18%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XV Ltd                                                            | JAMESTOWN CLO XV LTD                                                            | CUSIP: 47050EAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $1370367.20   | 0.21%             | 2035-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    358000 | PA      | $372767.50    | 0.06%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $309612.50    | 0.05%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $429450.00    | 0.07%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAA3<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    605000 | PA      | $647350.00    | 0.10%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $246162.50    | 0.04%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 43 Ltd                                                                  | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1775000 | PA      | $1784203.06   | 0.27%             | 2036-01-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                                | KILROY REALTY LP                                                                | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    170000 | PA      | $150416.85    | 0.02%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                                | KILROY REALTY LP                                                                | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    130000 | PA      | $102183.77    | 0.02%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                             | KINETIK HOLDINGS LP                                                             | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129025.00    | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CNH FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-137.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CNH/USD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CN        |         1 | NC      | $-64.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | NOK/USD FWD 20250725 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $744.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | BRL/USD FWD 20250603 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $-5003.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                           | BATH & BODY WORKS INC                                                           | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158400.00    | 0.02%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                           | BATH & BODY WORKS INC                                                           | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106968.75    | 0.02%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80310.40     | 0.01%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310740.28    | 0.05%             | 2028-04-03      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    625000 | PA      | $625279.38    | 0.10%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298BV4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    191748 | PA      | $217394.30    | 0.03%             | 2029-11-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298BZ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    351348 | PA      | $396144.87    | 0.06%             | 2030-12-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    155000 | PA      | $136400.00    | 0.02%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    700000 | PA      | $769125.00    | 0.12%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 53219LAX7<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    468000 | PA      | $489060.00    | 0.08%             | 2032-06-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc      | MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC      | CUSIP: 55303XAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $181274.58    | 0.03%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp                                 | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $251125.00    | 0.04%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                                  | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59332 | PA      | $58375.97     | 0.01%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                                 | MADISON IAQ LLC                                                                 | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    135000 | PA      | $129768.75    | 0.02%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd                                                   | MADISON PARK FUNDING XXXV LTD                                                   | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2504076.58   | 0.39%             | 2032-04-20      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIV Ltd                                                   | MADISON PARK FUNDING XXIV LTD                                                   | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $723191.28    | 0.11%             | 2029-10-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Magna International Inc                                                         | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $90777.78     | 0.01%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    630000 | PA      | $626839.29    | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    455000 | PA      | $445678.87    | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                     | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    225000 | PA      | $222468.75    | 0.03%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| McAfee Corp                                                                     | MCAFEE CORP                                                                     | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |    375000 | PA      | $346875.00    | 0.05%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP/Medline Co-Issuer Inc                                       | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $228937.50    | 0.04%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2018-1                                             | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125317 | PA      | $121064.26    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Stagwell Global LLC                                                             | STAGWELL GLOBAL LLC                                                             | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    205000 | PA      | $192700.00    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Midcontinent Communications                                                     | MIDCONTINENT COMMUNICATIONS                                                     | CUSIP: 59565XAD2<br>LEI: 549300ZI9GDQBS28C408 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30975.00     | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Midcap Financial Issuer Trust                                                   | MIDCAP FINANCIAL ISSUER TRUST                                                   | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $387000.00    | 0.06%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | EGP/USD FWD 20250911 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $-88717.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MYR FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-32.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    265000 | PA      | $254400.00    | 0.04%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    145000 | PA      | $128868.75    | 0.02%             | 2032-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    195000 | PA      | $194268.75    | 0.03%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24                     | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                     | CUSIP: 61765LAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103000 | PA      | $1095178.52   | 0.17%             | 2048-05-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                          | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251461.00    | 0.04%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MVW 2023-1 LLC                                                                  | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625312 | PA      | $628017.63    | 0.10%             | 2040-10-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NGL Energy Operating LLC / NGL Energy Finance Corp                              | NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP                              | CUSIP: 62922LAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $202100.00    | 0.03%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| National Fuel Gas Co                                                            | NATIONAL FUEL GAS CO                                                            | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    615000 | PA      | $625955.61    | 0.10%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340000 | PA      | $1134411.97   | 0.17%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    470000 | PA      | $506425.00    | 0.08%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    360000 | PA      | $402300.00    | 0.06%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    244000 | PA      | $244610.00    | 0.04%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust II                            | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II                            | CUSIP: 63938PBU2<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250798.35    | 0.04%             | 2028-08-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust                               | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $85605.17     | 0.01%             | 2029-04-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust                               | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST                               | CUSIP: 63938PBY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $130808.83    | 0.02%             | 2029-04-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $839116.10    | 0.13%             | 2069-01-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $521654.16    | 0.08%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                                | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $334522.56    | 0.05%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                            | NEPTUNE BIDCO US INC                                                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    446000 | PA      | $422027.50    | 0.06%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 32 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 32 LTD                                       | CUSIP: 64132DAL2<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249999.37    | 0.04%             | 2032-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $435127.09    | 0.07%             | 2036-07-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2022-SFR1                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $593019.21    | 0.09%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                                               | NEWELL BRANDS INC                                                               | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    137000 | PA      | $141452.50    | 0.02%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Nielsen Holdings PLC                                                            | NIELSEN HOLDINGS                                                                | CUSIP: 6539989A4<br>LEI: 549300ZVCBHQE0XHG367 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126750.00    | 0.02%             | 2029-10-11      | Variable      | 14.08%                | No            |                  2 | On Loan: No      |
| Northwoods Capital XIV-B Ltd                                                    | NORTHWOODS CAPITAL XIV-B LTD                                                    | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |    573928 | PA      | $572502.03    | 0.09%             | 2031-11-13      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/NOK FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NOK/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $1.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    705000 | PA      | $705348.40    | 0.11%             | 2037-11-26      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76061 | PA      | $70548.80     | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                             | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27818 | PA      | $26165.10     | 0.00%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                                             | OBX 2021-NQM1 TRUST                                                             | CUSIP: 67114BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598000 | PA      | $430029.99    | 0.07%             | 2066-02-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-INV1                                                       | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |    223472 | PA      | $223367.26    | 0.03%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 Trust                                                             | OBX 2024-HYB1 TRUST                                                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230579 | PA      | $226864.55    | 0.03%             | 2053-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                                             | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42619 | PA      | $36850.95     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP3 Trust                                                             | OBX 2020-EXP3 TRUST                                                             | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152345 | PA      | $131203.55    | 0.02%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM8 Trust                                                             | OBX 2025-NQM8 TRUST                                                             | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1189992.62   | 0.18%             | 2065-03-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    195000 | PA      | $181350.00    | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    715000 | PA      | $802587.50    | 0.12%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-1                                                 | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40574 | PA      | $40667.74     | 0.01%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-3                                                 | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101948.72    | 0.02%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47 Ltd                                              | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1655000 | PA      | $1662438.18   | 0.26%             | 2038-01-22      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47 Ltd                                              | OCTAGON INVESTMENT PARTNERS 47 LTD                                              | CUSIP: 67576XBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1690000 | PA      | $1676068.43   | 0.26%             | 2038-01-22      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2024-RVM1                                              | OCTANE RECEIVABLES TRUST 2024-RVM1                                              | CUSIP: 67579FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206004 | PA      | $207317.49    | 0.03%             | 2046-01-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                                                       | ONEOK INC                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    555000 | PA      | $527364.33    | 0.08%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd                                                                  | 1261229 BC LTD                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    530000 | PA      | $524700.00    | 0.08%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc                                         | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                         | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    105000 | PA      | $103556.25    | 0.02%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                                  | OPAL BIDCO SAS                                                                  | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $244081.25    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                                                       | PG&E CORP                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    238000 | PA      | $232942.50    | 0.04%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Vibrantz Technologies Inc                                                       | VIBRANTZ TECHNOLOGIES INC                                                       | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |    195000 | PA      | $136500.00    | 0.02%             | 2030-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| PSEG Power LLC                                                                  | PSEG POWER LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $176716.40    | 0.03%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Panther Escrow Issuer LLC                                                       | PANTHER ESCROW ISSUER LLC                                                       | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $346725.00    | 0.05%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | USD/CLP FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5056.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Paychex Inc                                                                     | PAYCHEX INC                                                                     | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    290000 | PA      | $293631.67    | 0.05%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Paychex Inc                                                                     | PAYCHEX INC                                                                     | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    240000 | PA      | $243943.44    | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                                 | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14737.50     | 0.00%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1145000 | PA      | $1160270.87   | 0.18%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Port of Beaumont Navigation District                                            | PORT OF BEAUMONT NAVIGATION DISTRICT                                            | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |    865000 | PA      | $885037.73    | 0.14%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance 2024-1 LLC                                          | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69825 | PA      | $70143.63     | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Prairie Acquiror LP                                                             | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197437.50    | 0.03%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | USD/MYR FWD 20250702 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5987.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                            | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                            | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $724069.43    | 0.11%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3F2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     39666 | PA      | $39693.71     | 0.01%             | 2025-07-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     78721 | PA      | $80786.91     | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     77444 | PA      | $81142.72     | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     71329 | PA      | $68570.75     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     64116 | PA      | $60508.26     | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     55029 | PA      | $50808.31     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     74817 | PA      | $64076.62     | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     91794 | PA      | $62108.42     | 0.01%             | 2033-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                     | COMMONWEALTH OF PUERTO RICO                                                     | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   3068285 | PA      | $1840971.22   | 0.28%             | 2043-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    400000 | PA      | $405000.00    | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    321000 | PA      | $325815.00    | 0.05%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    320000 | PA      | $317066.57    | 0.05%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    760000 | PA      | $704386.03    | 0.11%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Range Resources Corp                                                            | RANGE RESOURCES CORP                                                            | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    215000 | PA      | $206668.75    | 0.03%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    185000 | PA      | $182786.66    | 0.03%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     53000 | PA      | $54303.43     | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    700000 | PA      | $725240.60    | 0.11%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America Inc                                                | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    736000 | PA      | $760653.06    | 0.12%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America Inc                                                | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    390000 | PA      | $383765.46    | 0.06%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| RenaissanceRe Holdings Ltd                                                      | RENAISSANCERE HOLDINGS LTD                                                      | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    315000 | PA      | $317569.65    | 0.05%             | 2035-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Rentokil Terminix Funding LLC                                                   | RENTOKIL TERMINIX FUNDING LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |    995000 | PA      | $989882.72    | 0.15%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |  17153270 | NS      | $17153269.52  | 2.64%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund - Collateral                              | CUSIP: 76105YYY8<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   3607602 | NS      | $3607602.50   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Rivian Automotive Inc                                                           | RIVIAN AUTO INC SR UNSECURED 144A 03/29 4.625                                   | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |     85000 | PA      | $90525.00     | 0.01%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC                            | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                            | CUSIP: 76954LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $316575.00    | 0.05%             | 2026-10-15      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2024-1 LLC                                                | SCF EQUIPMENT LEASING 2024-1 LLC                                                | CUSIP: 783896AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $719944.89    | 0.11%             | 2033-06-21      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $88282.69     | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2811842.32   | 0.43%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                                                 | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    958000 | PA      | $975120.03    | 0.15%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $1050576.65   | 0.16%             | 2031-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $96204.58     | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    218000 | PA      | $191295.00    | 0.03%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2020-PTB                                       | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                       | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229808 | PA      | $215486.91    | 0.03%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    195000 | PA      | $198900.00    | 0.03%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: —       |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78573NAM4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143675.00    | 0.02%             | 2030-07-15      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | EUR/USD FWD 20250822 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-95708.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | NOK/USD FWD 20250603 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $-1458.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust 2025-NQM2                             | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700503 | PA      | $703599.53    | 0.11%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249466.25    | 0.04%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $259293.89    | 0.04%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust 2021-A                                | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A                                | CUSIP: 80282YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $657928.72    | 0.10%             | 2027-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3478433.35   | 0.53%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117058 | PA      | $117421.92    | 0.02%             | 2033-06-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A                           | CUSIP: 80290CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62187 | PA      | $62380.02     | 0.01%             | 2033-06-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                           | CUSIP: 80290CCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964561 | PA      | $968162.02    | 0.15%             | 2033-12-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260825 | PA      | $262454.75    | 0.04%             | 2032-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2024-A                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                           | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313875 | PA      | $315638.08    | 0.05%             | 2032-06-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | GBP/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $98.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/GBP FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-29.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Scripps Escrow II Inc                                                           | SCRIPPS ESCROW II INC                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $111150.00    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Securitized Term Auto Receivables Trust                                         | SECURITIZED TERM AUTO RECEIVABLES TRUST                                         | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    272139 | PA      | $273352.83    | 0.04%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                   | SEQUOIA MORTGAGE TRUST 2013-4                                                   | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175066 | PA      | $168725.80    | 0.03%             | 2043-04-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-CH2                                                 | SEQUOIA MORTGAGE TRUST 2017-CH2                                                 | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44247 | PA      | $41112.08     | 0.01%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                 | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      5711 | PA      | $5633.82      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                 | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     15544 | PA      | $14016.02     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                        | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    505000 | PA      | $537825.00    | 0.08%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                        | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200000.00    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc                           | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                           | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $122400.00    | 0.02%             | 2032-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2023-2 Receivables Funding LLC                                 | SIERRA TIMESHARE 2023-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423374 | PA      | $436014.71    | 0.07%             | 2040-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2020-2 Receivables Funding LLC                                 | SIERRA TIMESHARE 2020-2 RECEIVABLES FUNDING LLC                                 | CUSIP: 826525AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12757 | PA      | $12653.49     | 0.00%             | 2037-07-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 5 Ltd                                                           | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $955517.10    | 0.15%             | 2037-04-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                             | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6903.75      | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                             | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189000.00    | 0.03%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Six Flags Entertainment Corp /Six Flags Theme Parks Inc/ Canada s Wonderland Co | SIX FLAGS ENTERTAINMENT CORP /SIX FLAGS THEME PARKS INC/ CANADA'S WONDERLAND CO | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $193562.50    | 0.03%             | 2032-05-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| South Bow USA Infrastructure Holdings LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148551.90    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2017-B                                         | SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                         | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |     31065 | PA      | $30673.09     | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1030000 | PA      | $994673.06    | 0.15%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    995000 | PA      | $1004950.00   | 0.15%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    425000 | PA      | $433592.23    | 0.07%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1024574.39   | 0.16%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    670000 | PA      | $642788.62    | 0.10%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXII LTD                                                        | SOUND POINT CLO XXII LTD                                                        | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249986.55    | 0.04%             | 2032-01-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| South32 Treasury Ltd                                                            | SOUTH32 TREASURY LTD                                                            | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |   2120000 | PA      | $1953768.68   | 0.30%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                                      | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310407.65    | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    685000 | PA      | $683987.57    | 0.11%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    325000 | PA      | $323096.48    | 0.05%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    295000 | PA      | $278360.23    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                             | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    825000 | PA      | $987937.50    | 0.15%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                                                      | STANLEY BLACK & DECKER INC                                                      | CUSIP: 854502AM3<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $975516.58    | 0.15%             | 2060-03-15      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Star Parent Inc                                                                 | STAR PARENT INC                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    196000 | PA      | $201880.00    | 0.03%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-1                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                      | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $528436.08    | 0.08%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                      | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1762416.00   | 0.27%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Montenegro Government International Bond                                        | MONTENEGRO GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |   2155000 | PA      | $2212953.34   | 0.34%             | 2031-03-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics Inc                                                              | STEEL DYNAMICS INC                                                              | CUSIP: 858119BS8<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    710000 | PA      | $698641.42    | 0.11%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US Inc                                                       | STELLANTIS FINANCE US INC                                                       | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1002507.00   | 0.15%             | 2030-03-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                       | SUNOCO LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    215000 | PA      | $223331.25    | 0.03%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152022.60    | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    460000 | PA      | $466357.66    | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Swiss RE Subordinated Finance PLC                                               | SWISS RE SUBORDINATED FINANCE PLC                                               | CUSIP: 87088QAB0<br>LEI: 636700H29EH5Z8ZU8L04 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $586969.20    | 0.09%             | 2046-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    595000 | PA      | $567262.89    | 0.09%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd                                                            | SYMPHONY CLO XVI LTD                                                            | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   1014223 | PA      | $1016324.73   | 0.16%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TPIC SPV I LLC                                                                  | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |   1394542 | PA      | $1394542.46   | 0.21%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    432000 | PA      | $460080.00    | 0.07%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CUSIP: 87470LAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $217687.50    | 0.03%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    785000 | PA      | $767130.26    | 0.12%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                                                           | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GAV2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    180000 | PA      | $188550.00    | 0.03%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     91000 | PA      | $91544.27     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    212000 | PA      | $214216.25    | 0.03%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-3                                                | TOWD POINT MORTGAGE TRUST 2024-3                                                | CUSIP: 89183FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152655 | PA      | $153775.87    | 0.02%             | 2065-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    136000 | PA      | $139910.00    | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    460000 | PA      | $476100.00    | 0.07%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    325000 | PA      | $320937.50    | 0.05%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Transocean Aquila Ltd                                                           | TRANSOCEAN AQUILA LTD                                                           | CUSIP: 893790AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    118231 | PA      | $118230.77    | 0.02%             | 2028-09-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Transocean Inc                                                                  | TRANSOCEAN INC                                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |    257600 | PA      | $258888.00    | 0.04%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR2 Trust                                              | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132849 | PA      | $132289.89    | 0.02%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR2 Trust                                              | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $869242.84    | 0.13%             | 2040-06-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | AUD/USD FWD 20250603 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | AU        |         1 | NC      | $5514.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | USD/IDR FWD 20250702 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1001.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    311000 | PA      | $266113.06    | 0.04%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |    340000 | PA      | $350200.00    | 0.05%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| USI Inc/NY                                                                      | USI INC/NY                                                                      | CUSIP: 90346KAB5<br>LEI: 2549006D7UF7072T7I27 | Long             | DBT              | CORP              | US        |    350000 | PA      | $367062.50    | 0.06%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                                                      | US BANK NA                                                                      | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96222 | PA      | $97364.93     | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | USD/INR FWD 20250702 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10464.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    360000 | PA      | $349793.64    | 0.05%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $166304.69    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1026624.02   | 0.16%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1480000 | PA      | $1018020.31   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2215000 | PA      | $1389652.92   | 0.21%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15580000 | PA      | $7270869.57   | 1.12%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9130000 | PA      | $4376693.75   | 0.67%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2255000 | PA      | $1368503.13   | 0.21%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1009218.75   | 0.16%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10795000 | PA      | $6426398.44   | 0.99%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2395000 | PA      | $1705034.17   | 0.26%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $549747.66    | 0.08%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    825000 | PA      | $705600.59    | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2715000 | PA      | $2429925.00   | 0.37%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2145000 | PA      | $1711978.13   | 0.26%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    960000 | PA      | $843000.00    | 0.13%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $397662.89    | 0.06%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7260000 | PA      | $7042767.15   | 1.08%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6475000 | PA      | $6347776.35   | 0.98%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1015000 | PA      | $906402.93    | 0.14%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1535000 | PA      | $1455551.76   | 0.22%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14605000 | PA      | $13060635.32  | 2.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8225000 | PA      | $7392540.02   | 1.14%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4080000 | PA      | $3919987.50   | 0.60%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1622039.05   | 0.25%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6730000 | PA      | $6572002.75   | 1.01%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $447968.75    | 0.07%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1137691.40   | 0.17%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5370000 | PA      | $4535132.81   | 0.70%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $503014.06    | 0.08%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5495000 | PA      | $5496717.19   | 0.85%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6555000 | PA      | $6653325.00   | 1.02%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    555000 | PA      | $542360.74    | 0.08%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3280000 | PA      | $3290250.00   | 0.51%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16660000 | PA      | $16055424.26  | 2.47%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10685000 | PA      | $10584828.13  | 1.63%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2733960.92   | 0.42%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1980000 | PA      | $2017898.43   | 0.31%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7165000 | PA      | $7152125.35   | 1.10%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $4408593.73   | 0.68%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5185000 | PA      | $5169404.51   | 0.79%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34405000 | PA      | $34275981.25  | 5.27%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    193000 | PA      | $192276.25    | 0.03%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                    | UNIVISION COMMUNICATIONS INC                                                    | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    190000 | PA      | $182400.00    | 0.03%             | 2031-07-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp                                                              | VALERO ENERGY CORP                                                              | CUSIP: 91913YBF6<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    515000 | PA      | $520765.43    | 0.08%             | 2030-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125100.00    | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    415000 | PA      | $436268.75    | 0.07%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    425000 | PA      | $453687.50    | 0.07%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    590000 | PA      | $554600.00    | 0.09%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables 2024-1 LLC                                                  | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187313 | PA      | $189901.40    | 0.03%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2025-INV1                                            | VERUS SECURITIZATION TRUST 2025-INV1                                            | CUSIP: 924929AE2<br>LEI: 213800YO7QOQOFRSRN78 | Long             | ABS-MBS          | CORP              | US        |    732564 | PA      | $735241.55    | 0.11%             | 2070-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV3                                            | VERUS SECURITIZATION TRUST 2019-INV3                                            | CUSIP: 92537MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $333158.59    | 0.05%             | 2059-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-4                                               | VERUS SECURITIZATION TRUST 2022-4                                               | CUSIP: 92538NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392799 | PA      | $390509.52    | 0.06%             | 2067-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-1                                               | VERUS SECURITIZATION TRUST 2023-1                                               | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725409 | PA      | $724250.90    | 0.11%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2025-2                                               | VERUS SECURITIZATION TRUST 2025-2                                               | CUSIP: 92540VAA3<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    161767 | PA      | $161308.25    | 0.02%             | 2070-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Viasat Inc                                                                      | VIASAT INC                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |    280000 | PA      | $222250.00    | 0.03%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Vista Point Securitization Trust 2020-1                                         | VISTA POINT SECURITIZATION TRUST 2020-1                                         | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $330921.76    | 0.05%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    944000 | PA      | $961700.00    | 0.15%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1707262.50   | 0.26%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    380000 | PA      | $380809.78    | 0.06%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd                                                             | VOYA CLO 2018-3 LTD                                                             | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    556932 | PA      | $557147.20    | 0.09%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd                                                             | VOYA CLO 2018-3 LTD                                                             | CUSIP: 92917KAU8<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $410091.84    | 0.06%             | 2031-10-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Voyager Parent LLC                                                              | VOYAGER PARENT LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    325000 | PA      | $335156.25    | 0.05%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust 2024-HQ                                            | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $220533.04    | 0.03%             | 2040-03-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Wand NewCo 3 Inc                                                                | WAND NEWCO 3 INC                                                                | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |    185000 | PA      | $192168.75    | 0.03%             | 2032-01-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2018-2 Ltd                                                        | WELLFLEET CLO 2018-2 LTD                                                        | CUSIP: 94949JAN5<br>LEI: 254900QO5AI38SSR4719 | Long             | ABS-CBDO         | CORP              | KY        |   1310000 | PA      | $1312683.81   | 0.20%             | 2031-10-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    655000 | PA      | $673831.25    | 0.10%             | N/A             | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| THL Credit Wind River 2019-3 Clo Ltd                                            | THL CREDIT WIND RIVER 2019-3 CLO LTD                                            | CUSIP: 97314JAN5<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    965000 | PA      | $967809.18    | 0.15%             | 2031-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| WinWater Mortgage Loan Trust 2016-1                                             | WINWATER MORTGAGE LOAN TRUST 2016-1                                             | CUSIP: 97655JCD2<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    434821 | PA      | $411605.11    | 0.06%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Yum  Brands Inc                                                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108350.00    | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | CAD/USD FWD 20250725 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $401.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/CLP FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4523.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CLP/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CL        |         1 | NC      | $-289.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CLP FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $339.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ZAR/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | ZA        |         1 | NC      | $33.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/ZAR FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-26.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/SEK FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-52.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | SEK/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SE        |         1 | NC      | $390.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | PEN/USD FWD 20250702 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $-1592.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | NOK/USD FWD 20250725 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $-959.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF                                   | HYG US 06/20/25 C79                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      -407 | NC      | $-21164.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF                                   | HYG US 06/20/25 P79                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      -407 | NC      | $-15262.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPDR EURO STOXX 50 ETF                                                          | FEZ US 08/15/25 P50                                                             | CUSIP: 000000000<br>LEI: 549300FS6B2JRJXYB418 | N/A              | DE               | CORP              | US        |       600 | NC      | $22500.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | KRW/USD FWD 20250604 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-34830.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    578000 | PA      | $560681.76    | 0.09%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | 10YR MINI JGB FUT JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         2 | NC      | $-332.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | 10YR MINI JGB FUT JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | SG        |         3 | NC      | $-498.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd                                                        | KAISA GROUP HOLDINGS LTD                                                        | CUSIP: AX9574382<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    850000 | PA      | $38250.00     | 0.01%             | 2022-04-09      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Blackstone Property Partners Europe Holdings Sarl                               | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    655000 | PA      | $695623.39    | 0.11%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| IMCD NV                                                                         | IMCD NV                                                                         | CUSIP: YV4272758<br>LEI: 724500NSJPNFJPDAUP02 | Long             | DBT              | CORP              | NL        |    605000 | PA      | $686541.95    | 0.11%             | 2030-04-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    547885 | PA      | $536927.40    | 0.08%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    774046 | PA      | $745987.30    | 0.11%             | 2028-01-31      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| CoreLogic Inc                                                                   | CORELOGIC INC                                                                   | CUSIP: BCG4Z6XF7<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    200000 | PA      | $193250.00    | 0.03%             | 2029-06-04      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                               | ENGINEERED MACHINERY HOLDINGS INC                                               | CUSIP: 26658NAN9<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    720000 | PA      | $720000.00    | 0.11%             | 2029-05-21      | Floating      | 11.06%                | No            |                  3 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    463357 | PA      | $438164.49    | 0.07%             | 2029-01-20      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                               | ENGINEERED MACHINERY HOLDINGS INC                                               | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    920000 | PA      | $920000.00    | 0.14%             | 2029-05-21      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Radiate Holdco LLC                                                              | RADIATE HOLDCO LLC                                                              | CUSIP: 75025KAH1<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |    306155 | PA      | $268614.45    | 0.04%             | 2026-09-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAM6<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    395865 | PA      | $392524.32    | 0.06%             | 2029-12-10      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Vibrantz Technologies Inc                                                       | PMHC II INC                                                                     | CUSIP: 69346EAG2<br>LEI: 549300GYZ1T3S8OPH343 | Long             | LON              | CORP              | US        |    161682 | PA      | $141978.15    | 0.02%             | 2029-04-23      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Viasat Inc                                                                      | VIASAT INC                                                                      | CUSIP: 92555WAD7<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | LON              | CORP              | US        |    134474 | PA      | $126833.53    | 0.02%             | 2029-03-02      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp                                                              | BAUSCH + LOMB CORP                                                              | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    546209 | PA      | $544220.86    | 0.08%             | 2027-05-10      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                            | NEPTUNE BIDCO US INC                                                            | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |    283369 | PA      | $264508.00    | 0.04%             | 2029-04-11      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                | CSC HOLDINGS LLC                                                                | CUSIP: 64072UAM4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |    477529 | PA      | $470962.53    | 0.07%             | 2028-01-18      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Ontario Gaming GTA LP                                                           | ONTARIO GAMING GTA LP                                                           | CUSIP: 000000000<br>LEI: 894500EC9KLZLOC3V025 | Long             | LON              | CORP              | CA        |    457735 | PA      | $449953.84    | 0.07%             | 2030-08-01      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Star Parent Inc                                                                 | STAR PARENT INC                                                                 | CUSIP: 87169DAB1<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |    128050 | PA      | $125745.10    | 0.02%             | 2030-09-27      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                              | CUSIP: 18452RAF2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    546150 | PA      | $534249.41    | 0.08%             | 2028-08-21      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| TIH Insurance Holdings LLC                                                      | TRUIST INSURANCE HOLDINGS LLC                                                   | CUSIP: 89788VAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    779737 | PA      | $779736.84    | 0.12%             | 2032-05-06      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Connect Finco SARL                                                              | CONNECT FINCO SARL                                                              | CUSIP: 4576399B0<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |    142551 | PA      | $129811.45    | 0.02%             | 2029-09-27      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Dye & Durham Corp                                                               | DYE & DURHAM CORP                                                               | CUSIP: 000000000<br>LEI: 549300XUQDPIC5QRY347 | Long             | LON              | CORP              | CA        |    185668 | PA      | $186596.20    | 0.03%             | 2031-04-11      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                                          | LUMEN TECHNOLOGIES INC                                                          | CUSIP: 55024EAD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    131479 | PA      | $134217.47    | 0.02%             | 2028-06-01      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| RFS OPCO LLC                                                                    | RFS OPCO LLC                                                                    | CUSIP: 74970UAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    203975 | PA      | $201935.25    | 0.03%             | 2031-04-04      | Floating      | 9.05%                 | No            |                  3 | On Loan: No      |
| Delta Topco Inc                                                                 | DELTA TOPCO INC                                                                 | CUSIP: 24780DAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1049352 | PA      | $1045742.18   | 0.16%             | 2030-11-29      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    447700 | PA      | $447180.72    | 0.07%             | 2028-10-23      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| OneDigital Borrower LLC                                                         | ONEDIGITAL BORROWER LLC                                                         | CUSIP: 68252HAB0<br>LEI: 2549009GTKWWAO1E9X77 | Long             | LON              | CORP              | US        |    818752 | PA      | $807494.39    | 0.12%             | 2032-07-02      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| BCPE Pequod Buyer Inc                                                           | BCPE PEQUOD BUYER INC                                                           | CUSIP: 05624AAB8<br>LEI: 254900HEEOS2IWC84V94 | Long             | LON              | CORP              | US        |    450000 | PA      | $450900.00    | 0.07%             | 2031-09-19      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| AMC Entertainment Holdings Inc                                                  | AMC ENTERTAINMENT HLDGS                                                         | CUSIP: 00164CAD7<br>LEI: 549300ZO77UNR6NRBR11 | Long             | LON              | CORP              | US        |    194026 | PA      | $194228.01    | 0.03%             | 2029-01-04      | Floating      | 11.32%                | No            |                  2 | On Loan: No      |
| Icon Parent Inc                                                                 | ICON PARENT INC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    280000 | PA      | $279627.60    | 0.04%             | 2031-11-13      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Icon Parent Inc                                                                 | ICON PARENT INC                                                                 | CUSIP: 45115MAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    465000 | PA      | $465000.00    | 0.07%             | 2032-09-11      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                            | LIFEPOINT HEALTH INC                                                            | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |    595687 | PA      | $587311.87    | 0.09%             | 2031-05-17      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Delta 2 Lux Sarl                                                                | DELTA 2 LUX SARL                                                                | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |    265000 | PA      | $264867.50    | 0.04%             | 2031-09-10      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                                               | ALLIANT HOLDINGS INTERMEDI                                                      | CUSIP: 01881UAM7<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |   1179244 | PA      | $1173901.88   | 0.18%             | 2031-09-19      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                            | ALPHA GENERATION LLC                                                            | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    259185 | PA      | $260077.06    | 0.04%             | 2031-09-30      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Javelin Buyer Inc                                                               | JAVELIN BUYER INC                                                               | CUSIP: 000000000<br>LEI: 254900GL30A9G6Z7OW50 | Long             | LON              | CORP              | US        |    430000 | PA      | $430808.40    | 0.07%             | 2031-10-07      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Javelin Buyer Inc                                                               | JAVELIN BUYER INC                                                               | CUSIP: 000000000<br>LEI: 254900GL30A9G6Z7OW50 | Long             | LON              | CORP              | US        |    570000 | PA      | $557534.10    | 0.09%             | 2032-10-07      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| MITER Brands Acquisition Holdco Inc                                             | MITER BRANDS ACQUISITION HOLDCO INC                                             | CUSIP: 55336CAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    232437 | PA      | $231746.29    | 0.04%             | 2031-03-28      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Cornerstone Generation LLC                                                      | CORNERSTONE GENERATION L                                                        | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |    485000 | PA      | $486818.75    | 0.07%             | 2031-10-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |   1095536 | PA      | $1097289.02   | 0.17%             | 2031-02-10      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Charter Next Generation Inc                                                     | CHARTER NEXT GENERATION                                                         | CUSIP: 16125TAM4<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |   1186793 | PA      | $1188549.00   | 0.18%             | 2030-11-29      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBE9<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    277627 | PA      | $276802.89    | 0.04%             | 2031-03-21      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| QualityTech LP                                                                  | QUALITYTECH LP                                                                  | CUSIP: 74758JAB3<br>LEI: 549300GWD2FYVWRWCZ90 | Long             | LON              | CORP              | US        |    210000 | PA      | $208425.00    | 0.03%             | 2031-10-30      | Floating      | 7.83%                 | No            |                  3 | On Loan: No      |
| UFC Holdings LLC                                                                | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAK9<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    249212 | PA      | $249740.83    | 0.04%             | 2031-11-21      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| CMG Media Corp                                                                  | TERRIER MEDIA BUYER INC                                                         | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    568639 | PA      | $538785.19    | 0.08%             | 2029-06-18      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Project Alpha Intermediate Holding Inc                                          | PROJECT ALPHA INTERMEDIA                                                        | CUSIP: 74339D9B6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1189601 | PA      | $1171756.92   | 0.18%             | 2032-11-21      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Ellucian Holdings Inc                                                           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 83578B9H8<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |   1098297 | PA      | $1110652.37   | 0.17%             | 2032-11-22      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Ellucian Holdings Inc                                                           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    472458 | PA      | $472793.92    | 0.07%             | 2029-10-29      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                       | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    249100 | PA      | $247931.72    | 0.04%             | 2031-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings Inc                                                             | WEC US HOLDINGS INC                                                             | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    253469 | PA      | $252873.42    | 0.04%             | 2031-01-27      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBF6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    592249 | PA      | $590400.74    | 0.09%             | 2029-03-29      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                  | SABRE GLBL INC                                                                  | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |    313862 | PA      | $310199.72    | 0.05%             | 2029-11-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                                                | IRB HOLDING CORP                                                                | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |    247648 | PA      | $247289.01    | 0.04%             | 2027-12-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Sandisk Corp/DE                                                                 | SANDISK CORP                                                                    | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    708901 | PA      | $698267.88    | 0.11%             | 2031-12-13      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| EG America LLC                                                                  | EG AMERICA LLC                                                                  | CUSIP: 0389899K7<br>LEI: 549300BY1CRYVPEG9R57 | Long             | LON              | CORP              | US        |    259023 | PA      | $259590.63    | 0.04%             | 2028-02-07      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| TIH Insurance Holdings LLC                                                      | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    330444 | PA      | $329478.65    | 0.05%             | 2031-05-06      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                           | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    452630 | PA      | $451317.58    | 0.07%             | 2031-12-10      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| RFS OPCO LLC                                                                    | RFS OPCO LLC                                                                    | CUSIP: 74970UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    100000 | PA      | $99250.00     | 0.02%             | 2031-04-04      | Floating      | 9.08%                 | No            |                  3 | On Loan: No      |
| RealPage Inc                                                                    | REALPAGE INC                                                                    | CUSIP: 75605VAH5<br>LEI: 5493001RSFZX4122A604 | Long             | LON              | CORP              | US        |    248635 | PA      | $248401.77    | 0.04%             | 2028-04-24      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corp                                                            | EPICOR SOFTWARE CORP                                                            | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |   1008262 | PA      | $1010046.69   | 0.16%             | 2031-05-30      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    358775 | PA      | $358717.60    | 0.06%             | 2031-12-11      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Prairie Acquiror LP                                                             | PRAIRIE ACQUIROR LP                                                             | CUSIP: 73955HAE4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |    278068 | PA      | $278938.23    | 0.04%             | 2029-08-01      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| McAfee Corp                                                                     | MCAFEE CORP                                                                     | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    443541 | PA      | $426020.77    | 0.07%             | 2029-03-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |    557956 | PA      | $558217.76    | 0.09%             | 2030-05-17      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Phoenix Newco Inc                                                               | PHOENIX NEWCO INC                                                               | CUSIP: 71911KAE4<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    275239 | PA      | $275175.38    | 0.04%             | 2028-11-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Wand NewCo 3 Inc                                                                | WAND NEWCO 3 INC                                                                | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |    309176 | PA      | $306050.71    | 0.05%             | 2031-01-30      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                               | CLARIOS GLOBAL LP                                                               | CUSIP: 7399969F5<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |    465000 | PA      | $463400.40    | 0.07%             | 2032-01-28      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp                                                           | FILTRATION GROUP CORP                                                           | CUSIP: 31732FAV8<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    920991 | PA      | $923422.66    | 0.14%             | 2028-10-24      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURA                                                        | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |    701787 | PA      | $692719.61    | 0.11%             | 2030-03-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |   1413009 | PA      | $1412486.41   | 0.22%             | 2030-06-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| EOC Borrower LLC                                                                | EOC BORROWER LLC                                                                | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    270000 | PA      | $269071.20    | 0.04%             | 2032-03-24      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Townsquare Media Inc                                                            | TOWNSQUARE MEDIA INC                                                            | CUSIP: 8922319C7<br>LEI: 549300XBA8C68H0DR538 | Long             | LON              | CORP              | US        |    330000 | PA      | $298650.00    | 0.05%             | 2030-02-06      | Floating      | 9.32%                 | No            |                  3 | On Loan: No      |
| Aggreko Holdings Inc                                                            | AGGREKO HOLDINGS INC                                                            | CUSIP: 00847NAE6<br>LEI: 213800VFJ5CIN2NUQ821 | Long             | LON              | CORP              | US        |    254200 | PA      | $254517.75    | 0.04%             | 2029-08-02      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Delta Topco Inc                                                                 | DELTA TOPCO INC                                                                 | CUSIP: 24780DAJ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    463444 | PA      | $460611.86    | 0.07%             | 2029-12-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    252263 | PA      | $250949.15    | 0.04%             | 2028-12-10      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    407480 | PA      | $405516.24    | 0.06%             | 2029-02-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| LTI Holdings Inc                                                                | LTI HOLDINGS INC                                                                | CUSIP: 50217UBF3<br>LEI: 5493003GUY3WBOTOAP97 | Long             | LON              | CORP              | US        |    690175 | PA      | $685288.56    | 0.11%             | 2029-07-29      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBD2<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    884560 | PA      | $887328.27    | 0.14%             | 2031-02-24      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   1261052 | PA      | $1289110.10   | 0.20%             | 2032-02-23      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    462586 | PA      | $460273.28    | 0.07%             | 2032-01-30      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                             | HILCORP ENERGY I LP                                                             | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |   1618401 | PA      | $1613675.64   | 0.25%             | 2030-02-11      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Arsenal AIC Parent LLC                                                          | ARSENAL AIC PARENT LLC                                                          | CUSIP: 04287KAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    467620 | PA      | $465515.71    | 0.07%             | 2030-08-18      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| QXO Building Products Inc                                                       | QXO BUILDING PRODUCTS                                                           | CUSIP: 07368RAJ0<br>LEI: 549300HDXQWWCBOYXP31 | Long             | LON              | CORP              | US        |     90000 | PA      | $90243.90     | 0.01%             | 2032-04-30      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Edgewater Generation LLC                                                        | EDGEWATER GENERATION LLC                                                        | CUSIP: 28031FAM2<br>LEI: 5493004PLDT1L28SWG83 | Long             | LON              | CORP              | US        |    468860 | PA      | $470571.69    | 0.07%             | 2030-08-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Pro Mach Group Inc                                                              | PRO MACH GROUP INC                                                              | CUSIP: 74273JAK9<br>LEI: 5493008SZGSVUCSNB151 | Long             | LON              | CORP              | US        |    199188 | PA      | $199243.27    | 0.03%             | 2028-08-31      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Cogentrix Finance Holdco I LLC                                                  | COGENTRIX FINANCE HOLDCO                                                        | CUSIP: 19239LAB2<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |    267180 | PA      | $267780.98    | 0.04%             | 2032-02-13      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| X Corp                                                                          | X CORP                                                                          | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    380000 | PA      | $378039.20    | 0.06%             | 2029-10-26      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd                                                       | AADVANTAGE LOYALTY IP                                                           | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    432098 | PA      | $427128.95    | 0.07%             | 2028-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Kaseya Inc                                                                      | KASEYA INC                                                                      | CUSIP: 48578AAB4<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |    355000 | PA      | $354747.95    | 0.05%             | 2032-03-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Kaseya Inc                                                                      | KASEYA INC                                                                      | CUSIP: 000000000<br>LEI: 254900MISXMLRZ63NH46 | Long             | LON              | CORP              | US        |    947286 | PA      | $944027.39    | 0.15%             | 2033-03-20      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| TK Elevator US Newco Inc                                                        | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |    708342 | PA      | $709468.63    | 0.11%             | 2030-04-30      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Brazos Delaware II LLC                                                          | BRAZOS DELAWARE II LLC                                                          | CUSIP: 10620UAL6<br>LEI: 549300V1BTYXZRGYUU04 | Long             | LON              | CORP              | US        |    282715 | PA      | $281920.34    | 0.04%             | 2030-02-11      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Madison Safety & Flow LLC                                                       | MADISON SAFETY & FLOW                                                           | CUSIP: 55822DAM3<br>LEI: 5493007D2J7BBIFYBY65 | Long             | LON              | CORP              | US        |    253737 | PA      | $253896.50    | 0.04%             | 2031-09-26      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Loire Finco Luxembourg Sarl                                                     | LOIRE FINCO LUXEMBOURG                                                          | CUSIP: 5039999D8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    350000 | PA      | $349125.00    | 0.05%             | 2030-01-31      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Avalara Inc                                                                     | AVALARA INC                                                                     | CUSIP: 05338G9A6<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |    475000 | PA      | $474914.50    | 0.07%             | 2032-03-26      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 52729KAT3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    800000 | PA      | $804000.00    | 0.12%             | 2032-03-27      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd                                                                  | 1261229 BC LTD                                                                  | CUSIP: 91911K9L8<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    455000 | PA      | $431176.20    | 0.07%             | 2030-10-08      | Floating      | 10.59%                | No            |                  2 | On Loan: No      |
| Opal US LLC                                                                     | OPAL US LLC                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    910000 | PA      | $910455.00    | 0.14%             | 2032-03-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| EW Scripps Co/The                                                               | EW SCRIPPS CO                                                                   | CUSIP: 26928BAQ2<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    120000 | PA      | $114249.60    | 0.02%             | 2028-06-30      | Floating      | 10.20%                | No            |                  2 | On Loan: No      |
| EW Scripps Co/The                                                               | EW SCRIPPS CO                                                                   | CUSIP: 26928BAR0<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    294245 | PA      | $263287.43    | 0.04%             | 2029-11-30      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments LLC                                                             | SHIFT4 PAYMENTS LLC                                                             | CUSIP: 82453JAB4<br>LEI: 254900GTEMR7L40VPI74 | Long             | LON              | CORP              | US        |     55000 | PA      | $55320.65     | 0.01%             | 2032-05-08      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alera Group Intermediate Holdings Inc                                           | ALERA GROUP INC                                                                 | CUSIP: 01451PAB2<br>LEI: 549300BPCKH0Q3R2H875 | Long             | LON              | CORP              | US        |    175000 | PA      | $175098.00    | 0.03%             | 2032-05-21      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Alera Group Intermediate Holdings Inc                                           | ALERA GROUP INTERMEDIATE                                                        | CUSIP: 000000000<br>LEI: 549300BPCKH0Q3R2H875 | Long             | LON              | CORP              | US        |    980000 | PA      | $984900.00    | 0.15%             | 2033-05-23      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $402975.75    | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cellnex Telecom SA                                                              | CELLNEX TELECOM SA                                                              | CUSIP: ZO9508185<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |    500000 | PA      | $528086.44    | 0.08%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BR3179453<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    900000 | PA      | $920971.44    | 0.14%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TK Elevator Holdco GmbH                                                         | TK ELEVATOR HOLDCO GMBH                                                         | CUSIP: BK2282626<br>LEI: 2549008GCHWX9EEMIS56 | Long             | DBT              | CORP              | DE        |    733500 | PA      | $833618.80    | 0.13%             | 2028-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Autostrade per l Italia SpA                                                     | AUTOSTRADE PER L'ITALIA SPA                                                     | CUSIP: BN4840177<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |   1030000 | PA      | $1110453.07   | 0.17%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    120000 | PA      | $134474.52    | 0.02%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bulgaria Government International Bond                                          | BULGARIA GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YO0398140<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    840000 | PA      | $973416.32    | 0.15%             | 2038-05-07      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VEON Holdings BV                                                                | VEON HOLDINGS BV                                                                | CUSIP: YX4775913<br>LEI: 5493000XDKGUH5NQGE22 | Long             | DBT              | CORP              | NL        |    720000 | PA      | $658800.00    | 0.10%             | 2027-11-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Axian Telecom                                                                   | AXIAN TELECOM                                                                   | CUSIP: BU2732222<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |    780000 | PA      | $786106.00    | 0.12%             | 2027-02-16      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Health & Happiness H&H International Holdings Ltd                               | HEALTH & HAPPINESS H&H INTERNATIONAL HOLDINGS LTD                               | CUSIP: YS7023080<br>LEI: 2138007WU5DJFZFDDV59 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $1019162.50   | 0.16%             | 2028-07-24      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership LP / MPT Finance Corp                                 | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                 | CUSIP: BR5786222<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $933342.68    | 0.14%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Kosmos Energy Ltd                                                               | KOSMOS ENERGY LTD                                                               | CUSIP: BS0630753<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |    950000 | PA      | $828701.07    | 0.13%             | 2027-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                                         | SRI LANKA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: YS0719403<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    238257 | PA      | $207879.23    | 0.03%             | 2030-01-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                                         | SRI LANKA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: YS0722613<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    219005 | PA      | $171371.41    | 0.03%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                                         | SRI LANKA GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: YS0724148<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    438196 | PA      | $345022.38    | 0.05%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Aldar Properties PJSC                                                           | ALDAR PROPERTIES PJSC                                                           | CUSIP: YS4097384<br>LEI: 98450048CD8AEF13B480 | Long             | DBT              | CORP              | AE        |    640000 | PA      | $642690.56    | 0.10%             | 2055-04-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Cologix Canadian Issuer LP                                                      | COLOGIX CANADIAN ISSUER LP                                                      | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   1460000 | PA      | $1042016.69   | 0.16%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                               | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   1878881 | PA      | $1367591.51   | 0.21%             | 2060-01-12      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                               | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   2530000 | PA      | $1840031.84   | 0.28%             | 2060-01-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | ILS/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IL        |         1 | NC      | $2923.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE 10 YEAR CANADIAN BOND FUTURE                                  | CAN 10YR BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        16 | NC      | $14777.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE 10 YEAR CANADIAN BOND FUTURE                                  | CAN 10YR BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         7 | NC      | $6465.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | KRW/USD FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-86.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/KRW FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11312.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PLN/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PL        |         1 | NC      | $9.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PLN FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4016.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX 2 YEAR EURO SCHATZ FUTURE                                                 | EURO-SCHATZ FUT   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -13 | NC      | $-2920.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 2 YEAR EURO SCHATZ FUTURE                                                 | EURO-SCHATZ FUT   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -20 | NC      | $-4493.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 2 YEAR EURO SCHATZ FUTURE                                                 | EURO-SCHATZ FUT   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -2 | NC      | $-449.36      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CHF FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-217.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CHF/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CH        |         1 | NC      | $70.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | COP/USD FWD 20250606 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $-43867.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | PEN/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $-7129.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/BRL FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-55.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | IDR/USD FWD 20250603 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | ID        |         1 | NC      | $5813.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | USD/IDR FWD 20250603 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | USD/BRL FWD 20250603 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-79100.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | BRL/USD FWD 20250603 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $457842.83    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | EUR/USD FWD 20250822 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-629.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | JPY/USD FWD 20250725 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $-349.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | USD/GBP FWD 20250603 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4290.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | PLN/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | PL        |         1 | NC      | $2433.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | GBP/USD FWD 20250822 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $25413.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOT 5 YEAR US TREASURY NOTE                                                    | US 5YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       191 | NC      | $41250.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONG GILT FUTURE                                                                | LONG GILT FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |        -2 | NC      | $-827.72      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONG GILT FUTURE                                                                | LONG GILT FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |        -8 | NC      | $-3310.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                                                | USD/BRL FWD 20250702 SOGEFRPP                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9017.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | COP/USD FWD 20250606 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $120885.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/TWD FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-38816.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | TWD/USD FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $16379.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | BRL/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $2556.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | USD/BRL FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-93044.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | AUD/USD FWD 20250725 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | AU        |         1 | NC      | $-3650.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | SGD/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | SG        |         1 | NC      | $-56.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/SGD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-436.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | NOK/USD FWD 20250725 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $-56269.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | PEN/USD FWD 20250603 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $9134.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/CHF FWD 20250725 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $606.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | NZD/USD FWD 20250604 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $697.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/PHP FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1961.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | NZD/USD FWD 20250725 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $-2888.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | GBP/USD FWD 20250822 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | GB        |         1 | NC      | $-34966.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BTP ITALIAN BOND FUTURES                                                   | EURO-BTP FUTURE   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         4 | NC      | $6891.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/SEK FWD 20250829 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1725.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | BRL/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | BR        |         1 | NC      | $249.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/BRL FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $33.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CLP FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TRY/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TR        |         1 | NC      | $139.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/TRY FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | HUF/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | HU        |         1 | NC      | $315.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | CNH/USD FWD 20250604 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | CN        |         1 | NC      | $-12549.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | USD/CZK FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $226.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | TWD/USD FWD 20250702 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $750.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | JPY/USD FWD 20250725 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $5802.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/EUR FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3616.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EUR/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-798.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/COP FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1835.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | COP/USD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $1486.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/COP FWD 20250604 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1700.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/CHF FWD 20250725 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $19869.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/JPY FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $80.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | JPY/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $-221.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PHP FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | EGP/USD FWD 20250911 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | EG        |         1 | NC      | $109370.51    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/NZD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1240.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | NZD/USD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $177.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/TWD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2996.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TWD/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $582.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                                                     | INR/USD FWD 20250603 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | IN        |         1 | NC      | $3788.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | AUD/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | AU        |         1 | NC      | $64.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/AUD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1178.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | SWAPTION_IRS_USD_OTC_E_PAYER_K_4.75_EFF_2025-01-08_MAT_2025-07-08 GSIL          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |         1 | NC      | $1536.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                                                        | SWAPTION_IRS_USD_OTC_E_PAYER_K_4.55_EFF_2025-01-09_MAT_2025-07-09 BARC          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              | CORP              | US        |         1 | NC      | $20698.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_BEAZER HOMES USA INC CDS 12/20/2029 MSLN                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-204057.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_SES SA CDS 06/20/2030 GSIL                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |         1 | NC      | $-128387.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $7003.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $1098.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $7006.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $4912.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX IG CDSI S44 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $431081.90    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $5637.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $5537.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_ITRX EUR CDSI S43 5Y 06/20/2030                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $865001.63    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/31/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-21223.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX HY CDSI S44 5Y 06/20/2030 BOFA                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $1403531.54   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/24/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $67039.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX HY CDSI S40 V3 5Y 06/20/2028 BARC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2267232.15  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/30/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $248943.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-7442.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-11818.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-7689.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-5251.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-413.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $-2415.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 5/16/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-478965.79   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | USD/TWD FWD 20250603 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-242.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | TWD/USD FWD 20250603 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $963.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | MYR/USD FWD 20250604 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $-6414.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | USD/MYR FWD 20250604 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3105.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | NZD/USD FWD 20250725 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $35.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | TRY/USD FWD 20250603 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | TR        |         1 | NC      | $7043.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | HUF/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | HU        |         1 | NC      | $88.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/HUF FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4162.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | SGD/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | SG        |         1 | NC      | $-16395.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/IDR FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | ZAR/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | ZA        |         1 | NC      | $4035.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRENCH GOVERNMENT BOND FUTURES                                                  | EURO-OAT FUTURE   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-9028.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRENCH GOVERNMENT BOND FUTURES                                                  | EURO-OAT FUTURE   JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-9028.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -19 | NC      | $-1502.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -2 | NC      | $-158.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS SECURITIES LLC                                                              | PHP/USD FWD 20250603 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | PH        |         1 | NC      | $3015.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PHP/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PH        |         1 | NC      | $-107.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PHP FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $45.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PEN/USD FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $10.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/THB FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10389.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | THB/USD FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $-24.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                             | ILS/USD FWD 20250603 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | IL        |         1 | NC      | $-24366.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                                                    | SEK/USD FWD 20250603 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | SE        |         1 | NC      | $-689.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/EUR FWD 20250822 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6593.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/INR FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $359.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | INR/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IN        |         1 | NC      | $-134.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | PEN/USD FWD 20250603 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $1557.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | USD/JPY FWD 20250725 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-177434.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | NOK/USD FWD 20250725 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | NO        |         1 | NC      | $-742.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | CZK/USD FWD 20250718 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | CZ        |         1 | NC      | $-3090.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | THB/USD FWD 20250605 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $-10605.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/THB FWD 20250605 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-328.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | THB/USD FWD 20250605 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | TH        |         1 | NC      | $-15260.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX 10 YEAR EURO BUND FUTURE                                                  | EURO-BUND FUTURE  JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -6 | NC      | $-8666.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | TWD/USD FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | TW        |         1 | NC      | $-2.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CAD/USD FWD 20250602 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $90.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CAD FWD 20250602 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1093.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | KRW/USD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | KR        |         1 | NC      | $-3863.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/KRW FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-332.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | CHF/USD FWD 20250725 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | CH        |         1 | NC      | $-264.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | COP/USD FWD 20250604 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CO        |         1 | NC      | $9034.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | CZK/USD FWD 20250718 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CZ        |         1 | NC      | $3959.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                             | JPY/USD FWD 20250725 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $180275.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | AH PARENT,INC. SER A PREFERRED SHARES PP                                        | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1310 | NS      | $1312567.60   | 0.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | ACRISURE INC SEC A-2 CVT PFD STK PP                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     20764 | NS      | $499997.12    | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                             | AP GRANGE HOLDINGS PP                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $700000.00    | 0.11%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| CITIBANK N A                                                                    | USD/INR FWD 20250603 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10890.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/PHP FWD 20250702 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2065.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US 2YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       316 | NC      | $66207.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOT 10 YEAR US TREASURY NOTE                                                   | US 10YR NOTE (CBT)SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      -107 | NC      | $-12778.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOT 10 YEAR US TREASURY NOTE                                                   | US 10YR NOTE (CBT)SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-358.27      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/CZK FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3619.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CZK/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | CZ        |         1 | NC      | $6.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX 30 YEAR EURO BUXL FUTURE                                                  | EURO-BUXL 30Y BND JUN25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-2862.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | MYR/USD FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | MY        |         1 | NC      | $-68.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/MYR FWD 20250604 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-35.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | IDR/USD FWD 20250603 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | ID        |         1 | NC      | $-142.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | USD/IDR FWD 20250603 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $17.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | USD/ILS FWD 20250603 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOT US TREASURE BOND FUTURES                                                   | US LONG BOND(CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        17 | NC      | $24711.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA 10-YEAR US TREASURY NOTE FUTURES                                          | US 10YR ULTRA FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        23 | NC      | $18347.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA 10-YEAR US TREASURY NOTE FUTURES                                          | US 10YR ULTRA FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       686 | NC      | $547239.40    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | PEN/USD FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | PE        |         1 | NC      | $62.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | USD/PEN FWD 20250603 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-138.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | USD/NZD FWD 20250725 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-240.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | INR/USD FWD 20250702 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | IN        |         1 | NC      | $-252.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE 5 YEAR CANADIAN BOND FUTURE                                   | CAN 5YR BOND FUT  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |       -36 | NC      | $-21573.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-03

**Name of Applicant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President