# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-009326
**Filing Date:** 2026-4
**Character Count:** 734111
**Document Hash:** cfebb4cc4864d3f582744b917a211bbe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009326.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009326

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26912572

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Short Duration Bond Fund (Series ID: S000003490)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009653 | Class I      | HLLVX           |
| C000009654 | Class A      | OGLVX           |
| C000009656 | Class C      | OSTCX           |
| C000009657 | Class R6     | JSDUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

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

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

- **a. Name of Series:** JPMorgan Short Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000003490

- **c. LEI of Series:** F9RLRLTOX821HGOUUJ26

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $12418253804.65

**Total Liabilities:** $19335255.16

**Net Assets:** $12398918549.49

**Cash Not Reported:** $423261.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 22317.39106000 | **1-Year:** 1045946.10742000 | **5-Year:** 694563.52688000 | **10-Year:** 9602.33135000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00112000 | **1-Year:** 4897.50402000 | **5-Year:** 8400.48702000 | **10-Year:** 0.00000000 | **30-Year:** 138.51995000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009653 | 0.35%                | 0.24%                | 0.60%                |
| Class ID C000009654 | 0.33%                | 0.31%                | 0.49%                |
| Class ID C000009656 | 0.28%                | 0.26%                | 0.44%                |
| Class ID C000009657 | 0.35%                | 0.24%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $495697.97               | $-5925372.13                               |
| Month 2  | $982457.82               | $-3732927.73                               |
| Month 3  | $47579.65                | $28405858.79                               |

**Designated Index Information**

- **Index Name:** 1-3 Yr Gov/Credit

- **Index Identifier:** 1030TRUSD0

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                       | ABN AMRO Bank NV                                                                   | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   3100000 | PA      | $2965424.26   | 0.02%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| ACHD Trust                                             | ACHD Trust, Series 2025-DS1, Class A                                               | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290587 | PA      | $2295290.54   | 0.02%             | 2034-01-09      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                          | AIB Group plc                                                                      | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14120000 | PA      | $14945315.41  | 0.12%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                          | AIB Group plc                                                                      | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14630000 | PA      | $15197623.52  | 0.12%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR1, Class B                                              | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8230000 | PA      | $7809319.44   | 0.06%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class B                                              | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15095555 | PA      | $14898751.23  | 0.12%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class C                                              | CUSIP: 00179VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1973406.00   | 0.02%             | 2038-08-17      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2022-SFR1, Class C                                              | CUSIP: 00179WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5429229.85   | 0.04%             | 2039-03-17      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR2, Class A                                              | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995000 | PA      | $9959071.97   | 0.08%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class A                                              | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11422000 | PA      | $11222059.03  | 0.09%             | 2038-10-17      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class B                                              | CUSIP: 00180UAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7207000 | PA      | $7084757.75   | 0.06%             | 2038-10-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                        | Accelerated LLC, Series 2021-1H, Class A                                           | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514027 | PA      | $484133.38    | 0.00%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| ACHM Trust                                             | ACHM Trust, Series 2025-HE3, Class A                                               | CUSIP: 00449VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11966879 | PA      | $12132628.97  | 0.10%             | 2055-11-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $4951611.10   | 0.04%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  14854000 | PA      | $15227809.97  | 0.12%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                             | Alliant Energy Finance LLC                                                         | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4631108.83   | 0.04%             | 2026-03-15      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                            | Ally Auto Receivables Trust, Series 2024-1, Class A3                               | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4689725 | PA      | $4720000.53   | 0.04%             | 2028-12-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                    | Amcor Flexibles North America, Inc.                                                | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15276649.05  | 0.12%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2024-4, Class C               | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7700000 | PA      | $7738278.24   | 0.06%             | 2031-08-12      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2024-4, Class D               | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561000 | PA      | $2603249.07   | 0.02%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-1, Class B               | CUSIP: 02528DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10625000 | PA      | $10658486.81  | 0.09%             | 2029-03-12      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-1, Class C               | CUSIP: 02528DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11470000 | PA      | $11572739.08  | 0.09%             | 2031-08-12      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-3, Class B               | CUSIP: 02528EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5033755.50   | 0.04%             | 2029-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-3, Class C               | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5416000 | PA      | $5482049.74   | 0.04%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2023-2, Class D               | CUSIP: 02529YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4648178 | PA      | $4704275.86   | 0.04%             | 2029-08-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2023-1, Class D               | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3189788 | PA      | $3220726.36   | 0.03%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2024-2, Class C               | CUSIP: 02531BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10288279 | PA      | $10358574.49  | 0.08%             | 2030-04-12      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2026-1, Class A               | CUSIP: 02531FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6775000 | PA      | $6775055.56   | 0.05%             | 2029-07-12      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2026-1, Class C               | CUSIP: 02531FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25068000 | PA      | $25226758.15  | 0.20%             | 2033-01-12      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2026-1, Class D               | CUSIP: 02531FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3510000 | PA      | $3544029.80   | 0.03%             | 2033-01-12      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  20170000 | PA      | $20214615.43  | 0.16%             | 2027-04-23      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  13755000 | PA      | $13969957.91  | 0.11%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816ED7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  23360000 | PA      | $23746892.29  | 0.19%             | 2029-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC                 | Amur Equipment Finance Receivables LLC, Series 2022-2A, Class B                    | CUSIP: 03236XAC1<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1607371.04   | 0.01%             | 2028-10-20      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC                 | Amur Equipment Finance Receivables LLC, Series 2023-1A, Class A2                   | CUSIP: 03236YAB1<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |   1198762 | PA      | $1207230.63   | 0.01%             | 2029-12-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC                 | Amur Equipment Finance Receivables LLC, Series 2024-1A, Class A2                   | CUSIP: 03237CAB8<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |   2641222 | PA      | $2665817.13   | 0.02%             | 2031-01-21      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                  | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502521 | PA      | $487156.04    | 0.00%             | 2065-05-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                                | Ansley Park Capital LLC, Series 2025-A, Class A2                                   | CUSIP: 03637AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24082766 | PA      | $24193351.40  | 0.20%             | 2035-04-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2019-A, Class A                                         | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741445 | PA      | $727213.91    | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                              | Aqua Finance Issuer Trust, Series 2025-A, Class A                                  | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17734608 | PA      | $18157459.78  | 0.15%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2020-AA, Class A                                        | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320130 | PA      | $304781.90    | 0.00%             | 2046-07-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2021-A, Class A                                         | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713945 | PA      | $662647.85    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A           | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1174826 | PA      | $1174842.34   | 0.01%             | 2036-11-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust, Series 2025-A, Class A2                                     | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5519516 | PA      | $5538014.29   | 0.04%             | 2034-01-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust, Series 2025-A, Class A3                                     | CUSIP: 04033CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6084586.20   | 0.05%             | 2034-01-17      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                              | Auxilior Term Funding LLC, Series 2023-1A, Class A2                                | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430456 | PA      | $1435156.10   | 0.01%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A                  | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  11899000 | PA      | $11688006.93  | 0.09%             | 2028-02-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class B                  | CUSIP: 05377RFB5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3001119.90   | 0.02%             | 2028-08-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A                  | CUSIP: 05377RGU2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14142479.40  | 0.11%             | 2028-02-22      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class C                  | CUSIP: 05377RHJ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6584600.63   | 0.05%             | 2029-12-20      | Fixed         | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class B                  | CUSIP: 05377RHZ0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5993519.40   | 0.05%             | 2030-06-20      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                  | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2095404.80   | 0.02%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  22610000 | PA      | $23520504.70  | 0.19%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  11265000 | PA      | $11301160.65  | 0.09%             | 2031-01-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  21600000 | PA      | $22440421.66  | 0.18%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12000000 | PA      | $12329826.48  | 0.10%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  24789000 | PA      | $24609884.85  | 0.20%             | 2027-10-23      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2021-FL4, Class A                                                | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2494568 | PA      | $2489871.00   | 0.02%             | 2038-05-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2021-7A, Class A1R                            | CUSIP: 05682NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24088000 | PA      | $24024889.44  | 0.19%             | 2035-01-22      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO                                | Bain Capital Credit CLO, Series 2018-2A, Class BR                                  | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250327.25    | 0.00%             | 2031-07-19      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                     | Banco Bilbao Vizcaya Argentaria SA                                                 | CUSIP: 05946KAT8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  15800000 | PA      | $15803467.47  | 0.13%             | 2029-03-03      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                                 | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4940185.75   | 0.04%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                                 | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8200000 | PA      | $8739574.19   | 0.07%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6558000 | PA      | $6537051.32   | 0.05%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  51100000 | PA      | $52354312.35  | 0.42%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  24600000 | PA      | $25655693.50  | 0.21%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series FIX                                                  | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14935000 | PA      | $15201829.61  | 0.12%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  23220000 | PA      | $23549564.01  | 0.19%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                              | Bank of Ireland Group plc                                                          | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   8870000 | PA      | $9229049.71   | 0.07%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                       | Bank of Montreal, Series f2f                                                       | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  23025000 | PA      | $23105441.98  | 0.19%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                       | Bank of Montreal                                                                   | CUSIP: 06368LC53<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  10410000 | PA      | $10520461.34  | 0.08%             | 2026-12-11      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                    | Bank of New York Mellon Corp. (The)                                                | CUSIP: 06406RBX4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  21905000 | PA      | $22234595.77  | 0.18%             | 2028-07-21      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                    | Bank of New Zealand                                                                | CUSIP: 06407EAG0<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |  15120000 | PA      | $15417198.57  | 0.12%             | 2028-02-07      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                              | Bank of Nova Scotia (The)                                                          | CUSIP: 06418GAL1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  20120000 | PA      | $20250938.14  | 0.16%             | 2028-09-08      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                              | Bank of Nova Scotia (The)                                                          | CUSIP: 06418JAA9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  16400000 | PA      | $16591606.78  | 0.13%             | 2026-12-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                  | Banque Federative du Credit Mutuel SA                                              | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  11975000 | PA      | $12100291.67  | 0.10%             | 2027-01-23      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  20355000 | PA      | $20676921.25  | 0.17%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  13245000 | PA      | $13385590.91  | 0.11%             | 2028-09-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  14710000 | PA      | $14713216.19  | 0.12%             | 2030-05-24      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust              | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class C                    | CUSIP: 072926AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029000 | PA      | $1041479.20   | 0.01%             | 2028-12-15      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class A                     | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   3235661 | PA      | $3244438.48   | 0.03%             | 2031-12-26      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                 | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                    | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8011 | PA      | $8060.66      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust             | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A              | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85344 | PA      | $84308.03     | 0.00%             | 2043-06-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                  | BlueMountain CLO Ltd., Series 2021-32A, Class AR                                   | CUSIP: 09631EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27118000 | PA      | $27104468.12  | 0.22%             | 2034-10-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  22355000 | PA      | $23158768.21  | 0.19%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W3C6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  30055000 | PA      | $30436370.00  | 0.25%             | 2029-05-09      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                             | BOF Funding Trust, Series 2023-CAR3, Class A2                                      | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3540932 | PA      | $3601836.31   | 0.03%             | 2032-07-26      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                             | BOF Funding Trust, Series 2023-CAR3, Class C                                       | CUSIP: 097093AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    727011 | PA      | $726329.76    | 0.01%             | 2032-07-26      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BofA Auto Trust                                        | BofA Auto Trust, Series 2024-1A, Class A3                                          | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4986946 | PA      | $5031351.38   | 0.04%             | 2028-11-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BofA Auto Trust                                        | BofA Auto Trust, Series 2024-1A, Class A4                                          | CUSIP: 09709AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4260000 | PA      | $4343854.69   | 0.04%             | 2030-06-17      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                    | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3079833 | PA      | $3094789.52   | 0.02%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                    | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11024990 | PA      | $10827649.91  | 0.09%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2026-RM14, Class A1                    | CUSIP: 10638QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6222000 | PA      | $6073194.65   | 0.05%             | 2066-01-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class B              | CUSIP: 107933AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2508199 | PA      | $2511690.30   | 0.02%             | 2028-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class C              | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6802353.00   | 0.05%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class B              | CUSIP: 108056AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344231 | PA      | $344878.36    | 0.00%             | 2029-08-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C              | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6950000 | PA      | $7046677.28   | 0.06%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class B              | CUSIP: 10805MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1075000 | PA      | $1081365.40   | 0.01%             | 2030-02-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C              | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10360000 | PA      | $10524390.41  | 0.08%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C              | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10434000 | PA      | $10555182.56  | 0.09%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class B              | CUSIP: 10806EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4017116.00   | 0.03%             | 2030-08-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class C              | CUSIP: 10806EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6491329.38   | 0.05%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D              | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6899679.90   | 0.06%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class A                                            | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10483795 | PA      | $10226635.58  | 0.08%             | 2042-09-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D              | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2048597.00   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class B              | CUSIP: 10807UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2855000 | PA      | $2865980.62   | 0.02%             | 2031-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C              | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485000 | PA      | $2516319.45   | 0.02%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-2A, Class A                               | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17582497 | PA      | $17838517.23  | 0.14%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-1A, Class A                               | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9110878 | PA      | $9426784.03   | 0.08%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                        | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19500000 | PA      | $19709597.70  | 0.16%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                              | CFIN 2022-RTL1 Issuer LLC, Class A                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  28882141 | PA      | $28846038.38  | 0.23%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2022-HB9, Class A                                                 | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2572839 | PA      | $2543050.03   | 0.02%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB13, Class A                                                | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   2367971 | PA      | $2346261.30   | 0.02%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class A                          | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2573994 | PA      | $2533736.46   | 0.02%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CIFC Funding Ltd.                                      | CIFC Funding Ltd., Series 2022-2A, Class A1R                                       | CUSIP: 12567MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23000000 | PA      | $22929390.00  | 0.18%             | 2035-04-19      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                              | Commercial Mortgage Trust, Series 2014-UBS3, Class B                               | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2722796 | PA      | $2637708.37   | 0.02%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                              | Commercial Mortgage Trust, Series 2015-CR26, Class B                               | CUSIP: 12593QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532167 | PA      | $1508955.05   | 0.01%             | 2048-10-10      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                 | Consumer Portfolio Services Auto Trust, Series 2025-B, Class B                     | CUSIP: 12630SAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7650166.08   | 0.06%             | 2029-11-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                 | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                     | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3548261.85   | 0.03%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2022-A, Class D                                 | CUSIP: 12659WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395422 | PA      | $1391081.38   | 0.01%             | 2029-04-16      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2022-C, Class D                                 | CUSIP: 12664DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4151649 | PA      | $4191308.82   | 0.03%             | 2030-04-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2023-A, Class D                                 | CUSIP: 12664LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2284590.15   | 0.02%             | 2029-04-16      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1               | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31617 | PA      | $31536.56     | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2003-J3, Class 2A1                                  | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5431 | PA      | $5642.45      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                         | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26965000 | PA      | $27144395.45  | 0.22%             | 2042-11-10      | Variable      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                   | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2527524.25   | 0.02%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                        | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14210000 | PA      | $14302930.56  | 0.12%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  41073000 | PA      | $42636375.56  | 0.34%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  18495000 | PA      | $18757744.41  | 0.15%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  21026000 | PA      | $21926255.94  | 0.18%             | 2030-03-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  10000000 | PA      | $10120448.70  | 0.08%             | 2029-07-03      | Variable      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                     | Canadian Imperial Bank of Commerce                                                 | CUSIP: 13607LNG4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  17230000 | PA      | $17625404.38  | 0.14%             | 2028-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                     | Canadian Imperial Bank of Commerce                                                 | CUSIP: 13607PH98<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19485000 | PA      | $19836858.96  | 0.16%             | 2029-03-30      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                     | Canadian Imperial Bank of Commerce                                                 | CUSIP: 13607PHT4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19135000 | PA      | $19192251.15  | 0.15%             | 2027-09-11      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                        | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $10714200.98  | 0.09%             | 2029-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P4, Class A2                           | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285832 | PA      | $285900.38    | 0.00%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                           | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6284212.50   | 0.05%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P4, Class A4                           | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5093763.50   | 0.04%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                    | Carlyle US CLO Ltd., Series 2021-9A, Class AR                                      | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18500000 | PA      | $18527065.50  | 0.15%             | 2034-10-20      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                    | Carlyle US CLO Ltd., Series 2022-1A, Class A1R                                     | CUSIP: 14318JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  19000000 | PA      | $19000000.00  | 0.15%             | 2035-04-15      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | CarMax Auto Owner Trust, Series 2024-2, Class A3                                   | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4602176 | PA      | $4658967.12   | 0.04%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | CarMax Auto Owner Trust, Series 2025-1, Class A3                                   | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11167856.70  | 0.09%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | CarMax Auto Owner Trust, Series 2025-2, Class A3                                   | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6969001.43   | 0.06%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                      | CarVal CLO Ltd., Series 2018-1A, Class AR                                          | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7835455 | PA      | $7839278.97   | 0.06%             | 2031-07-16      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO II Ltd.                                     | CarVal CLO Ltd., Series 2019-1A, Class AR2                                         | CUSIP: 14686AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23031342 | PA      | $23027772.24  | 0.19%             | 2032-04-20      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2022-P2, Class B                            | CUSIP: 14686JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4175000 | PA      | $4210446.17   | 0.03%             | 2028-04-10      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CarVal CLO Ltd.                                        | CarVal CLO Ltd., Series 2019-2A, Class AR2                                         | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8441897 | PA      | $8439507.71   | 0.07%             | 2032-07-20      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2021-N4, Class B                            | CUSIP: 14687HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484683 | PA      | $473236.18    | 0.00%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2021-N4, Class C                            | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527586 | PA      | $516324.86    | 0.00%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| CarVal CLO VC Ltd.                                     | CarVal CLO VC Ltd., Series 2021-2A, Class A                                        | CUSIP: 14687MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1105000 | PA      | $1106582.36   | 0.01%             | 2034-10-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-N1, Class A3                           | CUSIP: 14687QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1547287 | PA      | $1549105.25   | 0.01%             | 2028-03-10      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-N1, Class B                            | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14857000 | PA      | $14990014.72  | 0.12%             | 2030-05-10      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2023-P5, Class C                            | CUSIP: 14687RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224000 | PA      | $237524.29    | 0.00%             | 2030-02-11      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-N3, Class B                            | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13576185.90  | 0.11%             | 2030-12-10      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2023-P1, Class A4                           | CUSIP: 14688EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3546766.65   | 0.03%             | 2029-01-10      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                           | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358197 | PA      | $1366203.85   | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2023-P3, Class A4                           | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1793502.90   | 0.01%             | 2029-07-10      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P1, Class A3                           | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7350888 | PA      | $7393476.89   | 0.06%             | 2029-04-10      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P1, Class A4                           | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3319311.13   | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P1, Class B                            | CUSIP: 14688NAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5913064.29   | 0.05%             | 2030-05-10      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                           | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6057484 | PA      | $6108204.65   | 0.05%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P2, Class B                            | CUSIP: 14688PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8186000 | PA      | $8489656.40   | 0.07%             | 2030-08-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2025-P4, Class A2                           | CUSIP: 14689AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31265000 | PA      | $31328317.88  | 0.25%             | 2029-03-12      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                           | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10942312 | PA      | $10966257.71  | 0.09%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                           | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010866.60   | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1 | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4819507.20   | 0.04%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB15, Class A                                                | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   5906596 | PA      | $5892201.87   | 0.05%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Cherry Securitization Trust                            | Cherry Securitization Trust, Series 2024-1A, Class A                               | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12115000 | PA      | $12197833.89  | 0.10%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  27965000 | PA      | $28814629.27  | 0.23%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  37875000 | PA      | $38138544.86  | 0.31%             | 2028-05-07      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                          | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                          | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     70201 | PA      | $67455.99     | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  15235000 | PA      | $15463998.66  | 0.12%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                             | Clarus Capital Funding LLC, Series 2024-1A, Class A2                               | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4284525 | PA      | $4298848.02   | 0.03%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                     | CNO Global Funding                                                                 | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  25335000 | PA      | $25828490.58  | 0.21%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Columbia Cent CLO Ltd.                                 | Columbia Cent CLO Ltd., Series 2021-31A, Class A1R                                 | CUSIP: 19737LAS2<br>LEI: 5493007YZPNOMQEILE23 | Long             | ABS-CBDO         | CORP              | KY        |  29000000 | PA      | $28986573.00  | 0.23%             | 2034-04-20      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2A1                    | CUSIP: 20753CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3957729 | PA      | $3962322.20   | 0.03%             | 2045-07-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1737570 | PA      | $1764702.87   | 0.01%             | 2042-01-25      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1A1                    | CUSIP: 20754YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6413409 | PA      | $6414526.76   | 0.05%             | 2045-09-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                        | CoreVest American Finance Trust, Series 2020-3, Class A                            | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166961 | PA      | $165846.36    | 0.00%             | 2053-08-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                         | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4844816 | PA      | $4868158.29   | 0.04%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C                         | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7117264.70   | 0.06%             | 2033-07-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                         | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740598 | PA      | $743368.46    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                         | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1368669.02   | 0.01%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C                         | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5952000 | PA      | $6124896.08   | 0.05%             | 2033-12-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class A                         | CUSIP: 224940AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24100000 | PA      | $24336288.45  | 0.20%             | 2035-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                         | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9381000 | PA      | $9434467.95   | 0.08%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                         | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9343000 | PA      | $9405438.33   | 0.08%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                         | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4059934.40   | 0.03%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                         | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4072312.40   | 0.03%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class C                         | CUSIP: 22535PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8892000 | PA      | $9178969.74   | 0.07%             | 2034-04-17      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8895000 | PA      | $9362327.02   | 0.08%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  17180000 | PA      | $17539531.53  | 0.14%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                         | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16800000 | PA      | $17022161.52  | 0.14%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                         | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6615000 | PA      | $6752248.68   | 0.05%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                         | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7830345.63   | 0.06%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                         | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8217180.80   | 0.07%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                         | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5204297.50   | 0.04%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                         | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663940 | PA      | $664466.59    | 0.01%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                         | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6032028.00   | 0.05%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                         | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14025000 | PA      | $14117246.63  | 0.11%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                         | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15450000 | PA      | $15828557.45  | 0.13%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5038000 | PA      | $5205700.51   | 0.04%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  26560000 | PA      | $26574032.98  | 0.21%             | 2029-12-23      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BR8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  31320000 | PA      | $31375714.52  | 0.25%             | 2030-04-10      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates         | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 6A1           | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66517 | PA      | $40551.19     | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2025-A, Class A2                                    | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2699774 | PA      | $2719276.18   | 0.02%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2024-A, Class A2                                    | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3156467 | PA      | $3187186.83   | 0.03%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2024-A, Class B                                     | CUSIP: 227927AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945000 | PA      | $4031231.39   | 0.03%             | 2030-08-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                         | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class A                         | CUSIP: 228920AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12500000 | PA      | $12649303.75  | 0.10%             | 2043-02-10      | Variable      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                             | CSMC Mortgage-Backed Trust, Series 2007-5, Class 5A5                               | CUSIP: 22944BDC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172767 | PA      | $1.73         | 0.00%             | 2037-04-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| DLLAA LLC                                              | DLLAA LLC, Series 2025-1A, Class A3                                                | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7800000 | PA      | $7968583.74   | 0.06%             | 2029-09-20      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                         | DTE Energy Co.                                                                     | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  20225000 | PA      | $20808879.17  | 0.17%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-3A, Class C                                       | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6667008 | PA      | $6726949.47   | 0.05%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-1A, Class D                                       | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1993000 | PA      | $2024452.53   | 0.02%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  22155000 | PA      | $23122008.37  | 0.19%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   6340000 | PA      | $6423085.89   | 0.05%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                           | Dell Equipment Finance Trust, Series 2025-1, Class A3                              | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3288925.58   | 0.03%             | 2031-02-24      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4997000 | PA      | $4936303.99   | 0.04%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8395000 | PA      | $8940712.61   | 0.07%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6000000 | PA      | $6088890.18   | 0.05%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5235000 | PA      | $5458381.17   | 0.04%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  19000000 | PA      | $19620410.99  | 0.16%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                           | Dext ABS LLC, Series 2025-1, Class A3                                              | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13625000 | PA      | $13775413.19  | 0.11%             | 2035-08-15      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class AK57                                  | CUSIP: 255928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18426000 | PA      | $18039833.42  | 0.15%             | 2049-08-27      | Variable      | 1.48%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                    | DLIC Re-REMIC Trust, Series 2025-FRR1, Class BK57                                  | CUSIP: 255928AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6768000 | PA      | $6610723.19   | 0.05%             | 2049-08-27      | Variable      | 1.51%                 | Yes           |                  3 | On Loan: No      |
| DNB Bank ASA                                           | DNB Bank ASA                                                                       | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  20942000 | PA      | $20433550.23  | 0.16%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-2, Class B                               | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20728000 | PA      | $20805837.79  | 0.17%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-2, Class C                               | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10137000 | PA      | $10223161.46  | 0.08%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-1, Class B                               | CUSIP: 26208WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2788684 | PA      | $2798257.31   | 0.02%             | 2029-01-16      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-1, Class C                               | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7142000 | PA      | $7235540.92   | 0.06%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-1, Class C                               | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7114081.10   | 0.06%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-1, Class D                               | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3869306.68   | 0.03%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-2, Class C                               | CUSIP: 262103AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5830000 | PA      | $5862224.74   | 0.05%             | 2032-09-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                             | Dryden Senior Loan Fund, Series 2017-49A, Class AR                                 | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |     27152 | PA      | $27145.01     | 0.00%             | 2030-07-18      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                        | Dryden CLO Ltd., Series 2020-86A, Class A1R2                                       | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10014500.00  | 0.08%             | 2034-07-17      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                        | Dryden CLO Ltd., Series 2020-86A, Class BR2                                        | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   4070000 | PA      | $4076072.44   | 0.03%             | 2034-07-17      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                        | Dryden CLO Ltd., Series 2019-72A, Class ARR                                        | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7440087 | PA      | $7448114.58   | 0.06%             | 2032-05-15      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                     | Dryden CLO Ltd., Series 2019-68A, Class ARR                                        | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001848.00   | 0.02%             | 2035-07-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                                   | EFMT, Series 2025-CES1, Class A1A                                                  | CUSIP: 26846VAA2<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-O            | CORP              | US        |   7915124 | PA      | $8019481.27   | 0.06%             | 2060-01-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                         | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class A                             | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261819 | PA      | $251688.01    | 0.00%             | 2035-08-27      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                         | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                             | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358429 | PA      | $344980.00    | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                         | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                             | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6812458 | PA      | $6866290.27   | 0.06%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                     | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |  33340000 | PA      | $33544835.63  | 0.27%             | 2028-11-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                      | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  11710000 | PA      | $12064014.03  | 0.10%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                       | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14545442 | PA      | $14658333.70  | 0.12%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-5A, Class C                       | CUSIP: 30166VAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5730000 | PA      | $5808294.15   | 0.05%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-5A, Class D                       | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $991184.03    | 0.01%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                       | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6375349.38   | 0.05%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                       | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5136182.00   | 0.04%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                       | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3425000 | PA      | $3460484.37   | 0.03%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                       | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6460000 | PA      | $6571861.36   | 0.05%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-1A, Class B                       | CUSIP: 30167MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3164000 | PA      | $3186562.17   | 0.03%             | 2029-08-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                       | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6964000 | PA      | $7140740.75   | 0.06%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                       | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9108105.30   | 0.07%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2023-5A, Class D                       | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3404333.13   | 0.03%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust             | Exeter Select Automobile Receivables Trust, Series 2025-3, Class B                 | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1365000 | PA      | $1378386.28   | 0.01%             | 2032-03-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2023-3A, Class C                       | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2526938 | PA      | $2536901.73   | 0.02%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K55, Class B                                     | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9100000 | PA      | $9072723.66   | 0.07%             | 2049-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K62, Class B                                     | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5466020.45   | 0.04%             | 2050-01-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K79, Class B                                     | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7957115.20   | 0.06%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K57, Class B                                     | CUSIP: 30295DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12794000 | PA      | $12728009.83  | 0.10%             | 2049-08-25      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K105, Class B                                    | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7245000 | PA      | $7031238.45   | 0.06%             | 2053-03-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K735, Class B                                    | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15980000 | PA      | $15914825.57  | 0.13%             | 2026-05-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K90, Class B                                     | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13582000 | PA      | $13610371.44  | 0.11%             | 2052-02-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K91, Class B                                     | CUSIP: 30309JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4998560.50   | 0.04%             | 2051-04-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                     | F&G Global Funding                                                                 | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $11144718.18  | 0.09%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                     | F&G Global Funding                                                                 | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  20970000 | PA      | $21296333.88  | 0.17%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class A                                                   | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $3983920.20   | 0.03%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class B                                                   | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4960000 | PA      | $4875423.07   | 0.04%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class C                                                   | CUSIP: 30322DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4914214.00   | 0.04%             | 2038-09-17      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                              | FHF Trust, Series 2023-1A, Class A2                                                | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1331746 | PA      | $1337954.96   | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2024-3A, Class A2                                         | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16533308 | PA      | $16563828.31  | 0.13%             | 2030-11-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 302, Class 350                                               | CUSIP: 31283AM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32059 | PA      | $31893.41     | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 290, Class 200                                               | CUSIP: 31283CAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205192 | PA      | $195958.05    | 0.00%             | 2032-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865782 | PA      | $893921.02    | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3124 | PA      | $3134.22      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468910 | PA      | $482172.79    | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 31286REQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143247 | PA      | $141207.47    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 31286WSK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640722 | PA      | $632897.89    | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128CULE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29962 | PA      | $30467.76     | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128CUTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98689 | PA      | $99762.93     | 0.00%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128CUW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594767 | PA      | $603713.03    | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 218                                                          | CUSIP: 3128CVUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40931 | PA      | $36970.77     | 0.00%             | 2032-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 277, Class 30                                                | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1996919 | PA      | $1838135.91   | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23874 | PA      | $24395.31     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128JRW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90404 | PA      | $90762.28     | 0.00%             | 2037-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474606 | PA      | $496452.83    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128M65F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53892 | PA      | $55475.52     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128M67C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425809 | PA      | $432311.12    | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128M6T57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52357 | PA      | $56607.16     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117303 | PA      | $122285.89    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 3128MDLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1748 | PA      | $1746.30      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16404 | PA      | $16432.70     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1882051 | PA      | $1852049.76   | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301535 | PA      | $304728.40    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 3128MMWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6172421 | PA      | $5994467.25   | 0.05%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311133 | PA      | $322198.67    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NH2S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127421 | PA      | $130737.70    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26962 | PA      | $27830.93     | 0.00%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85503 | PA      | $88165.25     | 0.00%             | 2036-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20649 | PA      | $21538.48     | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86765 | PA      | $89046.18     | 0.00%             | 2036-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74256 | PA      | $77421.10     | 0.00%             | 2036-12-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14234 | PA      | $14671.02     | 0.00%             | 2037-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38233 | PA      | $39935.14     | 0.00%             | 2037-03-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243824 | PA      | $250597.99    | 0.00%             | 2037-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NHY80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102039 | PA      | $105727.63    | 0.00%             | 2037-03-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NKEF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12217 | PA      | $12590.15     | 0.00%             | 2037-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42718 | PA      | $43767.21     | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128NUBC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19486 | PA      | $20106.43     | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482124 | PA      | $482281.99    | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7MJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33128 | PA      | $33340.98     | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7QA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44195 | PA      | $44658.30     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1049098 | PA      | $1039600.06   | 0.01%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82242 | PA      | $81462.66     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338653 | PA      | $339138.92    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445154 | PA      | $435714.58    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1839461 | PA      | $1810812.79   | 0.01%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3128P8CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    985316 | PA      | $969299.71    | 0.01%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 3128PUJ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.82       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128Q3Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300221 | PA      | $312524.11    | 0.00%             | 2035-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128Q3Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367957 | PA      | $381988.89    | 0.00%             | 2035-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128QGJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37818 | PA      | $38425.40     | 0.00%             | 2036-08-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128QGL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84909 | PA      | $86546.47     | 0.00%             | 2036-12-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128QHTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73320 | PA      | $74884.67     | 0.00%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128QJD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9743 | PA      | $10062.06     | 0.00%             | 2036-07-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109365 | PA      | $113131.79    | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128S47F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105517 | PA      | $109303.32    | 0.00%             | 2038-01-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128S4LU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6692 | PA      | $6895.82      | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59964 | PA      | $61810.34     | 0.00%             | 2037-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388587 | PA      | $399924.73    | 0.00%             | 2037-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                              | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93763 | PA      | $96877.63     | 0.00%             | 2038-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                          | CUSIP: 31297KUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39017 | PA      | $40022.50     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 31307L3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2992660 | PA      | $2956374.92   | 0.02%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 15 Year                                                          | CUSIP: 31307M4Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110073 | PA      | $108719.02    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3131XBND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3188815 | PA      | $3159046.96   | 0.03%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3131XCV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5451604 | PA      | $5346669.14   | 0.04%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 31329KPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6862056 | PA      | $6792923.79   | 0.05%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 31329KUS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12413111 | PA      | $11998692.41  | 0.10%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 31329PNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7276728 | PA      | $7241374.07   | 0.06%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132A7US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6037116 | PA      | $5970352.80   | 0.05%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132A86M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    897236 | PA      | $900256.00    | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132A8ER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6391859 | PA      | $6286005.04   | 0.05%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132A9AZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394703 | PA      | $1401868.98   | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132A9RX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2071391 | PA      | $2035647.35   | 0.02%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132AAFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3097682 | PA      | $3026157.44   | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132AD2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379165 | PA      | $1398445.38   | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3132ADEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229120 | PA      | $1214766.74   | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132AEAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5644981 | PA      | $5568940.19   | 0.04%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132AET89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5357391 | PA      | $5360846.23   | 0.04%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CWYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2781907 | PA      | $2740486.35   | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CWZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    696425 | PA      | $650765.72    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CXD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6537854 | PA      | $6379721.32   | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CXFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7943848 | PA      | $7816109.47   | 0.06%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CXGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5591129 | PA      | $5787933.28   | 0.05%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CXJ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17103430 | PA      | $17687097.98  | 0.14%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132CXQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10600510 | PA      | $10976143.12  | 0.09%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 15 Year                                                                | CUSIP: 3132D57M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2812730 | PA      | $2495428.17   | 0.02%             | 2036-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132D9M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2315789 | PA      | $2334877.86   | 0.02%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132D9MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22365042 | PA      | $23029316.11  | 0.19%             | 2043-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132D9ST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14555713 | PA      | $15009759.87  | 0.12%             | 2044-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132D9UT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10295715 | PA      | $10613902.93  | 0.09%             | 2044-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 20 Year                                                                | CUSIP: 3132D9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9986467 | PA      | $10225307.71  | 0.08%             | 2045-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5722529 | PA      | $5917757.33   | 0.05%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DSRF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4385394 | PA      | $4496268.60   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DTT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11336936 | PA      | $11728327.19  | 0.09%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132FNAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261140 | PA      | $258822.32    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132G5A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36341 | PA      | $35772.28     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132G5AP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121317 | PA      | $119912.90    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132G5AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153378 | PA      | $151540.13    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132G5AV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27059 | PA      | $26843.77     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132HWAS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354716 | PA      | $343816.52    | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 359, Class 350                                               | CUSIP: 3132J0SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1136881 | PA      | $1082207.29   | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3132J2KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901618 | PA      | $880764.92    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33353 | PA      | $34040.76     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 20 Year                                                          | CUSIP: 3132LNYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2698635 | PA      | $2600595.57   | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8688827 | PA      | $8372340.54   | 0.07%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPTQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9582851 | PA      | $9132954.21   | 0.07%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571249 | PA      | $1587656.81   | 0.01%             | 2032-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692080 | PA      | $1698907.80   | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1719333 | PA      | $1737327.50   | 0.01%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPWK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3075639 | PA      | $3139612.95   | 0.03%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPWS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310558 | PA      | $1324267.49   | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 10 Year                                                                | CUSIP: 3133LPZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4325468 | PA      | $4403683.07   | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451492 | PA      | $406390.58    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274596 | PA      | $247161.04    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133N3VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346025 | PA      | $322871.56    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162345 | PA      | $990077.46    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC - GNMA, Series 56, Class Z                                                   | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       454 | PA      | $454.00       | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Structured Pass-Through Securities Certificates, Series T-20, Class A6       | CUSIP: 3133TMFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       186 | PA      | $185.49       | 0.00%             | 2029-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2303, Class FY                                                | CUSIP: 3133TSRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51976 | PA      | $51840.04     | 0.00%             | 2031-04-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2326, Class ZQ                                                | CUSIP: 3133TTX48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30917 | PA      | $31607.49     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       295 | PA      | $292.86       | 0.00%             | 2027-07-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 289, Class 1                                                  | CUSIP: 31364HQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13073 | PA      | $12795.20     | 0.00%             | 2027-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-74, Class LQ                                              | CUSIP: 3136A0LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12954493 | PA      | $13130184.17  | 0.11%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-128, Class KP                                             | CUSIP: 3136A2MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19151 | PA      | $18976.90     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-123, Class BP                                             | CUSIP: 3136A2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1756609 | PA      | $1668033.09   | 0.01%             | 2041-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-26, Class CA                                              | CUSIP: 3136A37J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42465 | PA      | $42099.26     | 0.00%             | 2027-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-27, Class PL                                              | CUSIP: 3136A4CU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68632 | PA      | $66878.74     | 0.00%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-14, Class PA                                              | CUSIP: 3136A4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82110 | PA      | $79793.60     | 0.00%             | 2041-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-46, Class KI                                              | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403249 | PA      | $3982.85      | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-64, Class PK                                              | CUSIP: 3136A6PB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641092 | PA      | $643365.88    | 0.01%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-113, Class DC                                             | CUSIP: 3136A83J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60739 | PA      | $59327.75     | 0.00%             | 2042-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-112, Class AY                                             | CUSIP: 3136A84A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13424992 | PA      | $13026916.82  | 0.11%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-112, Class DA                                             | CUSIP: 3136A84G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398259 | PA      | $1313753.62   | 0.01%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-100, Class TL                                             | CUSIP: 3136A8PS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154812 | PA      | $155374.38    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-102, Class IB                                             | CUSIP: 3136A8SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354498 | PA      | $5136.25      | 0.00%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-94, Class K                                               | CUSIP: 3136A8XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701756 | PA      | $628663.74    | 0.01%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-127, Class AC                                             | CUSIP: 3136A9C89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62562 | PA      | $61643.05     | 0.00%             | 2027-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-128, Class VF                                             | CUSIP: 3136A9QJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229242 | PA      | $228096.40    | 0.00%             | 2042-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-124, Class HG                                             | CUSIP: 3136A9Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23486 | PA      | $23140.20     | 0.00%             | 2027-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-139, Class NY                                             | CUSIP: 3136AAMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875100 | PA      | $899786.09    | 0.01%             | 2042-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-134, Class JY                                             | CUSIP: 3136AAWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14228572 | PA      | $13825330.00  | 0.11%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-133, Class AP                                             | CUSIP: 3136AAWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2414156 | PA      | $2253120.33   | 0.02%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-147, Class NE                                             | CUSIP: 3136ABDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701237 | PA      | $680570.95    | 0.01%             | 2041-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-5, Class DA                                               | CUSIP: 3136ABF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37350 | PA      | $36606.76     | 0.00%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-9, Class CB                                               | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8192295 | PA      | $8520665.93   | 0.07%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-6, Class HD                                               | CUSIP: 3136ABU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250040 | PA      | $227304.64    | 0.00%             | 2042-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-18, Class TG                                              | CUSIP: 3136ACA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115549 | PA      | $112539.23    | 0.00%             | 2033-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-10, Class PA                                              | CUSIP: 3136ACAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716171 | PA      | $634977.56    | 0.01%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-10, Class UB                                              | CUSIP: 3136ACAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828582 | PA      | $728171.04    | 0.01%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-13, Class KD                                              | CUSIP: 3136ACJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47310 | PA      | $46412.43     | 0.00%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-25, Class DC                                              | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214654 | PA      | $209458.26    | 0.00%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-18, Class BZ                                              | CUSIP: 3136ACWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4611740 | PA      | $4515618.21   | 0.04%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-33, Class UZ                                              | CUSIP: 3136ADDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6829452 | PA      | $6581125.67   | 0.05%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-31, Class NL                                              | CUSIP: 3136ADFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216453 | PA      | $216987.70    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-34, Class PC                                              | CUSIP: 3136ADQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293963 | PA      | $284994.73    | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-35, Class LP                                              | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5121667 | PA      | $5014921.90   | 0.04%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-26, Class ZV                                              | CUSIP: 3136ADXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9913168 | PA      | $9571869.99   | 0.08%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-69, Class L                                               | CUSIP: 3136AE4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8590348 | PA      | $8385585.13   | 0.07%             | 2033-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-58, Class FP                                              | CUSIP: 3136AEJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385387 | PA      | $382690.43    | 0.00%             | 2043-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-61, Class BA                                              | CUSIP: 3136AETK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155406 | PA      | $1108757.25   | 0.01%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-60, Class PD                                              | CUSIP: 3136AEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351308 | PA      | $335473.90    | 0.00%             | 2042-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-64, Class PF                                              | CUSIP: 3136AEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331367 | PA      | $328646.31    | 0.00%             | 2043-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-72, Class LY                                              | CUSIP: 3136AFCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129996 | PA      | $129246.19    | 0.00%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-81, Class NC                                              | CUSIP: 3136AFN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82915 | PA      | $82468.31     | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-73, Class PG                                              | CUSIP: 3136AFTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468922 | PA      | $453625.76    | 0.00%             | 2042-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-66, Class LB                                              | CUSIP: 3136AFUQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21106 | PA      | $20567.25     | 0.00%             | 2043-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-66, Class MB                                              | CUSIP: 3136AFVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1531552 | PA      | $1432417.89   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-96, Class FY                                              | CUSIP: 3136AGAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129660 | PA      | $128635.46    | 0.00%             | 2042-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-97, Class EL                                              | CUSIP: 3136AGDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11961175 | PA      | $11675930.96  | 0.09%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-92, Class DE                                              | CUSIP: 3136AGFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $586233.66    | 0.00%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-91, Class DZ                                              | CUSIP: 3136AGGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20715689 | PA      | $20077281.11  | 0.16%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-93, Class PJ                                              | CUSIP: 3136AGLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376910 | PA      | $368584.85    | 0.00%             | 2042-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-109, Class BA                                             | CUSIP: 3136AGQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205080 | PA      | $203078.10    | 0.00%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-100, Class PL                                             | CUSIP: 3136AGVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419831 | PA      | $424896.94    | 0.00%             | 2043-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-100, Class WB                                             | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3922624 | PA      | $3823981.46   | 0.03%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-125, Class AB                                             | CUSIP: 3136AHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132668 | PA      | $132678.30    | 0.00%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-126, Class JZ                                             | CUSIP: 3136AHQY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12804610 | PA      | $12659751.25  | 0.10%             | 2033-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-126, Class CA                                             | CUSIP: 3136AHRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148643 | PA      | $148879.74    | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-137, Class BA                                             | CUSIP: 3136AHSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88374 | PA      | $86388.57     | 0.00%             | 2029-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-133, Class WA                                             | CUSIP: 3136AHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899162 | PA      | $885935.52    | 0.01%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-129, Class CZ                                             | CUSIP: 3136AHWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7721150 | PA      | $7419794.53   | 0.06%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-23, Class CZ                                              | CUSIP: 3136AJ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6053422 | PA      | $5972883.26   | 0.05%             | 2034-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-18, Class DE                                              | CUSIP: 3136AJVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438520 | PA      | $438024.53    | 0.00%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-32, Class DK                                              | CUSIP: 3136AKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263070 | PA      | $257402.58    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-43, Class PZ                                              | CUSIP: 3136AKKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280763 | PA      | $1120750.48   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-56, Class Z                                               | CUSIP: 3136AKYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4547997 | PA      | $4369248.09   | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2014-88, Class ER                                              | CUSIP: 3136AMCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27065 | PA      | $26468.92     | 0.00%             | 2036-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-34, Class UP                                              | CUSIP: 3136AN4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422748 | PA      | $415845.11    | 0.00%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-31, Class UY                                              | CUSIP: 3136ANNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3177210 | PA      | $3079180.87   | 0.02%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-28, Class JE                                              | CUSIP: 3136ANVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17580933 | PA      | $17197634.82  | 0.14%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-41, Class CA                                              | CUSIP: 3136ANZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297856 | PA      | $288626.51    | 0.00%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-33, Class DT                                              | CUSIP: 3136APCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297152 | PA      | $286030.80    | 0.00%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-45, Class GA                                              | CUSIP: 3136APET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26235 | PA      | $26121.48     | 0.00%             | 2041-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-51, Class KC                                              | CUSIP: 3136APJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152932 | PA      | $149317.91    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-87, Class TB                                              | CUSIP: 3136AQXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2227600 | PA      | $2232530.37   | 0.02%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-89, Class KE                                              | CUSIP: 3136AQZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29773 | PA      | $28876.77     | 0.00%             | 2031-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-26, Class CG                                              | CUSIP: 3136AR5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21671709 | PA      | $21115647.26  | 0.17%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-2, Class GA                                               | CUSIP: 3136ARBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1173459 | PA      | $1133475.01   | 0.01%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-8, Class CA                                               | CUSIP: 3136ARRU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5235293 | PA      | $5090783.11   | 0.04%             | 2031-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-16, Class AL                                              | CUSIP: 3136ARTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7169349 | PA      | $6768501.61   | 0.05%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-100, Class P                                              | CUSIP: 3136AUG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42253 | PA      | $41626.95     | 0.00%             | 2044-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-80, Class JP                                              | CUSIP: 3136AUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516347 | PA      | $473541.25    | 0.00%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-80, Class KV                                              | CUSIP: 3136AUGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1643235 | PA      | $1626743.22   | 0.01%             | 2044-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-84, Class LA                                              | CUSIP: 3136AUKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601348 | PA      | $582006.37    | 0.00%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-15, Class PE                                              | CUSIP: 3136AVMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797087 | PA      | $783265.98    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-27, Class E                                               | CUSIP: 3136AVN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849132 | PA      | $1753321.68   | 0.01%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-10, Class FA                                              | CUSIP: 3136AVPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133692 | PA      | $133006.25    | 0.00%             | 2047-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-10, Class AE                                              | CUSIP: 3136AVPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1387371 | PA      | $1344585.59   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-18, Class DA                                              | CUSIP: 3136AVQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374481 | PA      | $369891.74    | 0.00%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-11, Class PH                                              | CUSIP: 3136AVTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155411 | PA      | $135172.57    | 0.00%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-9, Class B                                                | CUSIP: 3136AVWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517693 | PA      | $1474196.88   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-68, Class HQ                                              | CUSIP: 3136AXM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863948 | PA      | $827610.39    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-84, Class JA                                              | CUSIP: 3136AYMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456555 | PA      | $416384.41    | 0.00%             | 2047-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-85, Class HA                                              | CUSIP: 3136AYTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906780 | PA      | $873635.46    | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-13, Class PA                                              | CUSIP: 3136B02X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6293739 | PA      | $5780552.24   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-96, Class MA                                              | CUSIP: 3136B0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364857 | PA      | $330940.60    | 0.00%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-102, Class PZ                                             | CUSIP: 3136B0EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2534975 | PA      | $2321762.68   | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-8, Class KL                                               | CUSIP: 3136B0VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7450127 | PA      | $6949042.85   | 0.06%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-37, Class BC                                              | CUSIP: 3136B17E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211262 | PA      | $202947.21    | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-15, Class ZG                                              | CUSIP: 3136B1HM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1443763 | PA      | $1347646.27   | 0.01%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-15, Class NZ                                              | CUSIP: 3136B1JF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6559589 | PA      | $6067540.34   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-9, Class ZA                                               | CUSIP: 3136B33B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5454286 | PA      | $5052383.58   | 0.04%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-70, Class HA                                              | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366033 | PA      | $361707.82    | 0.00%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-3, Class AB                                               | CUSIP: 3136B3G38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7732107 | PA      | $7560032.67   | 0.06%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-87, Class BA                                              | CUSIP: 3136B3RG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87163 | PA      | $84666.12     | 0.00%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-33, Class MA                                              | CUSIP: 3136B44U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273540 | PA      | $271576.62    | 0.00%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-11, Class EA                                              | CUSIP: 3136B4BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477395 | PA      | $460195.38    | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-17, Class KA                                              | CUSIP: 3136B4CV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143178 | PA      | $141304.40    | 0.00%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-13, Class CG                                              | CUSIP: 3136B4GM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2055459 | PA      | $2085825.94   | 0.02%             | 2049-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-20, Class PB                                              | CUSIP: 3136B4MJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209178 | PA      | $194098.30    | 0.00%             | 2048-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-18, Class BA                                              | CUSIP: 3136B4QD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5871127 | PA      | $5756902.19   | 0.05%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-51, Class DW                                              | CUSIP: 3136B5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304568 | PA      | $301045.71    | 0.00%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-65, Class PA                                              | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117109 | PA      | $110183.88    | 0.00%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-72, Class KA                                              | CUSIP: 3136B7JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145078 | PA      | $128556.42    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-70, Class MB                                              | CUSIP: 3136B7KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $796123.10    | 0.01%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-70, Class JA                                              | CUSIP: 3136B7NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86985 | PA      | $78402.55     | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-81, Class LA                                              | CUSIP: 3136B8GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282879 | PA      | $254841.63    | 0.00%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-7, Class DZ                                               | CUSIP: 3136B8LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615204 | PA      | $531751.25    | 0.00%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-15, Class EA                                              | CUSIP: 3136B8U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528240 | PA      | $458744.76    | 0.00%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-15, Class EM                                              | CUSIP: 3136B8V63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482612 | PA      | $423173.67    | 0.00%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2020-M10, Class X1                                               | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53592892 | PA      | $2955256.77   | 0.02%             | 2030-12-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-49, Class GA                                              | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1958795 | PA      | $1674039.49   | 0.01%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-45, Class CB                                              | CUSIP: 3136BAZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2829235 | PA      | $2712846.37   | 0.02%             | 2044-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-94                                                        | CUSIP: 3136BDWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333272 | PA      | $278209.68    | 0.00%             | 2048-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-8, Class D                                                | CUSIP: 3136BLW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7256504 | PA      | $6936095.87   | 0.06%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-43, Class P                                               | CUSIP: 3136BNVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6904123 | PA      | $6846709.79   | 0.06%             | 2052-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-25, Class LV                                              | CUSIP: 3136BP6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5759392 | PA      | $5960004.83   | 0.05%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-12, Class GB                                              | CUSIP: 3136BPL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16578467 | PA      | $16913105.08  | 0.14%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-42, Class B                                               | CUSIP: 3136BQMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12063641 | PA      | $12309313.47  | 0.10%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-8, Class V                                                | CUSIP: 3136BQU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25524491 | PA      | $26099037.29  | 0.21%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-61, Class G                                               | CUSIP: 3136BQXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14305162 | PA      | $14406905.11  | 0.12%             | 2049-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-20, Class HD                                              | CUSIP: 3136BRZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5138233 | PA      | $5194924.77   | 0.04%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-65, Class DB                                              | CUSIP: 3136BSK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8498179 | PA      | $8494096.64   | 0.07%             | 2051-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-50, Class DA                                              | CUSIP: 3136BSPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2480724 | PA      | $2495605.81   | 0.02%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-41, Class GA                                              | CUSIP: 3136BSPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3296711 | PA      | $3333687.40   | 0.03%             | 2048-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-60, Class H                                               | CUSIP: 3136BSS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7406742 | PA      | $7412649.98   | 0.06%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-51, Class HL                                              | CUSIP: 3136BSWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473970 | PA      | $2496642.52   | 0.02%             | 2046-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-58, Class BA                                              | CUSIP: 3136BSWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13115971 | PA      | $13384381.52  | 0.11%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-81, Class BA                                              | CUSIP: 3136BTLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7032121 | PA      | $7029417.35   | 0.06%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-96, Class EA                                              | CUSIP: 3136BTM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10790844 | PA      | $10995192.22  | 0.09%             | 2053-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2024-101, Class DA                                             | CUSIP: 3136BUFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7885521 | PA      | $7994653.46   | 0.06%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-5, Class HA                                               | CUSIP: 3136BUP95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4021414 | PA      | $4042454.54   | 0.03%             | 2051-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-2, Class BA                                               | CUSIP: 3136BUYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10950446 | PA      | $11077007.08  | 0.09%             | 2050-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-2, Class GB                                               | CUSIP: 3136BUZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1729006 | PA      | $1729109.00   | 0.01%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-29, Class KV                                              | CUSIP: 3136BV3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8105325 | PA      | $8251628.95   | 0.07%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-41, Class JA                                              | CUSIP: 3136BV5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7273397 | PA      | $7301274.78   | 0.06%             | 2051-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-18, Class HV                                              | CUSIP: 3136BVAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13969738 | PA      | $14306473.07  | 0.12%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-19, Class CA                                              | CUSIP: 3136BVCL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17913232 | PA      | $17970781.92  | 0.14%             | 2051-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-29, Class A                                               | CUSIP: 3136BVS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7066925 | PA      | $7153718.61   | 0.06%             | 2050-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-29, Class KJ                                              | CUSIP: 3136BVX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8844612 | PA      | $8932568.06   | 0.07%             | 2052-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-31, Class NV                                              | CUSIP: 3136BVZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4719487 | PA      | $4870445.93   | 0.04%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-31, Class MV                                              | CUSIP: 3136BVZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11309873 | PA      | $11627782.93  | 0.09%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-44, Class A                                               | CUSIP: 3136BWCJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3762456 | PA      | $3786463.88   | 0.03%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-44, Class EA                                              | CUSIP: 3136BWDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5480944 | PA      | $5519845.33   | 0.04%             | 2052-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-42, Class NA                                              | CUSIP: 3136BWLG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13970012 | PA      | $14162085.64  | 0.11%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-42, Class EA                                              | CUSIP: 3136BWLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10754013 | PA      | $10785064.29  | 0.09%             | 2052-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-59, Class NA                                              | CUSIP: 3136BWP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10116341 | PA      | $10137879.56  | 0.08%             | 2052-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-57, Class B                                               | CUSIP: 3136BWRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6556637 | PA      | $6637634.46   | 0.05%             | 2050-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-65, Class V                                               | CUSIP: 3136BWU61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13413888 | PA      | $13727944.94  | 0.11%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-62, Class VB                                              | CUSIP: 3136BWZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7957774 | PA      | $8254207.06   | 0.07%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-62, Class HV                                              | CUSIP: 3136BWZE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6686323 | PA      | $6789833.74   | 0.05%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-62, Class CV                                              | CUSIP: 3136BWZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7814721 | PA      | $8111399.45   | 0.07%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-66, Class LA                                              | CUSIP: 3136BWZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13588722 | PA      | $13641441.11  | 0.11%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-66, Class LV                                              | CUSIP: 3136BWZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10552637 | PA      | $10729709.84  | 0.09%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-75, Class AV                                              | CUSIP: 3136BXHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11786822 | PA      | $12166718.76  | 0.10%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 334, Class 9                                                  | CUSIP: 3136FAA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151987 | PA      | $15699.55     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 334, Class 13                                                 | CUSIP: 3136FAA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58304 | PA      | $6106.95      | 0.00%             | 2033-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 334, Class 17                                                 | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67508 | PA      | $7350.91      | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 369, Class 19                                                 | CUSIP: 3136FCN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21820 | PA      | $3517.49      | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 369, Class 26                                                 | CUSIP: 3136FCP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14701 | PA      | $2332.37      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 356, Class 16                                                 | CUSIP: 3136FCQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40187 | PA      | $5136.44      | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 359, Class 16                                                 | CUSIP: 3136FCUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42181 | PA      | $5975.76      | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 386, Class 20                                                 | CUSIP: 3136FFSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97143 | PA      | $15705.20     | 0.00%             | 2038-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 394, Class C3                                                 | CUSIP: 3136FGDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167105 | PA      | $25818.67     | 0.00%             | 2038-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407861 | PA      | $424356.32    | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31371NDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14276 | PA      | $14503.75     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1169 | PA      | $1171.85      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3688, Class NB                                                | CUSIP: 3137A0MY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364244 | PA      | $369165.10    | 0.00%             | 2036-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3704, Class CZ                                                | CUSIP: 3137A0XN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920534 | PA      | $896620.31    | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3706, Class P                                                 | CUSIP: 3137A17D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1793927 | PA      | $1789934.63   | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3719, Class PJ                                                | CUSIP: 3137A1XE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7991360 | PA      | $8113544.98   | 0.07%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3724, Class CM                                                | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193567 | PA      | $202301.07    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3769, Class ZC                                                | CUSIP: 3137A3YW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768995 | PA      | $780187.87    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3779, Class LB                                                | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146653 | PA      | $146563.59    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3775, Class DB                                                | CUSIP: 3137A4UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131104 | PA      | $130972.81    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3786, Class NA                                                | CUSIP: 3137A5UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32439 | PA      | $32654.66     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3822, Class ZG                                                | CUSIP: 3137A8KF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4560929 | PA      | $4541739.50   | 0.04%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3844, Class FA                                                | CUSIP: 3137A8VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150795 | PA      | $150165.89    | 0.00%             | 2041-04-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3859, Class JB                                                | CUSIP: 3137AAM26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188366 | PA      | $193294.37    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3862, Class GA                                                | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108000 | PA      | $108328.86    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3863, Class ZA                                                | CUSIP: 3137AAYH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7713717 | PA      | $8020671.51   | 0.06%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3855, Class AM                                                | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552684 | PA      | $569442.64    | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3884, Class BL                                                | CUSIP: 3137ABUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3715105 | PA      | $3764164.45   | 0.03%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3881, Class AT                                                | CUSIP: 3137ABYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13969993 | PA      | $14784390.93  | 0.12%             | 2041-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3871, Class KB                                                | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8367663 | PA      | $8743589.17   | 0.07%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3887, Class GM                                                | CUSIP: 3137ADN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $1940.81      | 0.00%             | 2026-07-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3904, Class HC                                                | CUSIP: 3137AE5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380275 | PA      | $374426.39    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3909, Class HG                                                | CUSIP: 3137AEHD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5384 | PA      | $5378.00      | 0.00%             | 2026-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3906, Class B                                                 | CUSIP: 3137AEJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2084093 | PA      | $2073362.82   | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3934, Class KB                                                | CUSIP: 3137AG7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384616 | PA      | $402617.08    | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3947, Class BH                                                | CUSIP: 3137AGCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2298112 | PA      | $2124185.51   | 0.02%             | 2041-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3939, Class BZ                                                | CUSIP: 3137AGEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1591837 | PA      | $1602342.24   | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3946, Class BU                                                | CUSIP: 3137AGHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1480 | PA      | $1477.46      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3936, Class AB                                                | CUSIP: 3137AH2W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27843 | PA      | $27709.22     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3952, Class BQ                                                | CUSIP: 3137AHWJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1661862 | PA      | $1546977.83   | 0.01%             | 2041-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3960, Class PL                                                | CUSIP: 3137AJGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2468430 | PA      | $2478886.39   | 0.02%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3966, Class VZ                                                | CUSIP: 3137AJXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514643 | PA      | $510037.80    | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3996, Class BA                                                | CUSIP: 3137ALSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2915 | PA      | $2891.14      | 0.00%             | 2027-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4020, Class N                                                 | CUSIP: 3137AML47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5870 | PA      | $5837.45      | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4015, Class GL                                                | CUSIP: 3137ANCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6290 | PA      | $6238.91      | 0.00%             | 2027-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4029, Class LY                                                | CUSIP: 3137APFZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286207 | PA      | $284464.91    | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4043, Class PB                                                | CUSIP: 3137APSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53266 | PA      | $52607.20     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4039, Class AB                                                | CUSIP: 3137AQME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17802 | PA      | $17562.02     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4039, Class PB                                                | CUSIP: 3137AQPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72697 | PA      | $71790.19     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4080, Class DA                                                | CUSIP: 3137ARRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105397 | PA      | $102608.69    | 0.00%             | 2041-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4074, Class PA                                                | CUSIP: 3137ASLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51687 | PA      | $51443.43     | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4088, Class BP                                                | CUSIP: 3137ASP32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3132728 | PA      | $2918031.41   | 0.02%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4094, Class BF                                                | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151650 | PA      | $151607.90    | 0.00%             | 2032-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4089, Class AI                                                | CUSIP: 3137ASWC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338823 | PA      | $4573.87      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4097, Class HJ                                                | CUSIP: 3137ATKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86226 | PA      | $84794.29     | 0.00%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4112, Class PB                                                | CUSIP: 3137ATUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $492449.65    | 0.00%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4103, Class HA                                                | CUSIP: 3137AUA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31075 | PA      | $30745.54     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4122, Class PA                                                | CUSIP: 3137AV2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106930 | PA      | $103484.35    | 0.00%             | 2042-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4120, Class KA                                                | CUSIP: 3137AVDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210262 | PA      | $201630.50    | 0.00%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4131, Class BC                                                | CUSIP: 3137AVQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23054 | PA      | $22628.67     | 0.00%             | 2027-11-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4129, Class AP                                                | CUSIP: 3137AVYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123605 | PA      | $121522.53    | 0.00%             | 2027-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4144, Class KD                                                | CUSIP: 3137AWTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313375 | PA      | $293707.01    | 0.00%             | 2042-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4141, Class BI                                                | CUSIP: 3137AWZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539534 | PA      | $8869.78      | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4142, Class PG                                                | CUSIP: 3137AX5T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17212 | PA      | $16826.26     | 0.00%             | 2032-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4143, Class AE                                                | CUSIP: 3137AX6R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824031 | PA      | $793958.61    | 0.01%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4152, Class LE                                                | CUSIP: 3137AXPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1486078 | PA      | $1417701.63   | 0.01%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4156, Class PE                                                | CUSIP: 3137AXTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1179586 | PA      | $1128784.15   | 0.01%             | 2033-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4158, Class LD                                                | CUSIP: 3137AXUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339475 | PA      | $309247.99    | 0.00%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4158, Class TC                                                | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144414 | PA      | $138351.00    | 0.00%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4150, Class FN                                                | CUSIP: 3137AY3P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175792 | PA      | $175139.43    | 0.00%             | 2041-07-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4150, Class FY                                                | CUSIP: 3137AY3R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185065 | PA      | $184282.30    | 0.00%             | 2041-08-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4150, Class JE                                                | CUSIP: 3137AY5J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372595 | PA      | $362409.71    | 0.00%             | 2041-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4162, Class ZJ                                                | CUSIP: 3137AYJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12691762 | PA      | $12371448.40  | 0.10%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4207, Class JD                                                | CUSIP: 3137B22F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22718 | PA      | $22281.05     | 0.00%             | 2028-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4199, Class YZ                                                | CUSIP: 3137B2BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2884109 | PA      | $2784159.53   | 0.02%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4206, Class DZ                                                | CUSIP: 3137B2FF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546880 | PA      | $527276.75    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4217, Class UD                                                | CUSIP: 3137B2KL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50565 | PA      | $49658.45     | 0.00%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4215, Class NA                                                | CUSIP: 3137B34Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56805 | PA      | $56012.71     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4247, Class AK                                                | CUSIP: 3137B4HD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79163 | PA      | $79145.62     | 0.00%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4250, Class BZ                                                | CUSIP: 3137B4MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11954415 | PA      | $11678332.59  | 0.09%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4255, Class LZ                                                | CUSIP: 3137B5H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6095987 | PA      | $5934509.67   | 0.05%             | 2033-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4265, Class FD                                                | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143320 | PA      | $142733.90    | 0.00%             | 2035-01-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4283, Class ZL                                                | CUSIP: 3137B6HE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18425809 | PA      | $18087783.85  | 0.15%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4286, Class MP                                                | CUSIP: 3137B6U82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263873 | PA      | $261007.32    | 0.00%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4304, Class DW                                                | CUSIP: 3137B7S42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288341 | PA      | $285563.31    | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4301, Class UL                                                | CUSIP: 3137B8CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5406683 | PA      | $5332072.68   | 0.04%             | 2034-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4302, Class MA                                                | CUSIP: 3137B8ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326709 | PA      | $324124.91    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4316, Class DZ                                                | CUSIP: 3137B8ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2816492 | PA      | $2665589.59   | 0.02%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4318, Class KZ                                                | CUSIP: 3137B9CG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1801216 | PA      | $1781142.40   | 0.01%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4314, Class LP                                                | CUSIP: 3137B9GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5262 | PA      | $5252.51      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4330, Class PE                                                | CUSIP: 3137B9P74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88487 | PA      | $86556.43     | 0.00%             | 2043-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4346, Class A                                                 | CUSIP: 3137BAJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17150 | PA      | $17096.62     | 0.00%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4342, Class CY                                                | CUSIP: 3137BAYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3268470 | PA      | $3158446.11   | 0.03%             | 2034-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4338, Class A                                                 | CUSIP: 3137BB2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198439 | PA      | $191929.57    | 0.00%             | 2044-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4338, Class GE                                                | CUSIP: 3137BB4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1354.84      | 0.00%             | 2029-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4361, Class CA                                                | CUSIP: 3137BC3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49904 | PA      | $49506.47     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4360, Class PZ                                                | CUSIP: 3137BCHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958472 | PA      | $881948.81    | 0.01%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4401, Class BL                                                | CUSIP: 3137BELA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6246724 | PA      | $6169839.65   | 0.05%             | 2034-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4423, Class VN                                                | CUSIP: 3137BFGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200022 | PA      | $199507.32    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4417, Class PZ                                                | CUSIP: 3137BFWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2853013 | PA      | $2641405.01   | 0.02%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4425, Class TA                                                | CUSIP: 3137BG4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255854 | PA      | $225909.52    | 0.00%             | 2045-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4461, Class LZ                                                | CUSIP: 3137BHKY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3344657 | PA      | $3059971.28   | 0.02%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4457, Class KZ                                                | CUSIP: 3137BHWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6630790 | PA      | $6044918.29   | 0.05%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4478, Class PC                                                | CUSIP: 3137BJ6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753750 | PA      | $678960.49    | 0.01%             | 2045-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4483, Class CA                                                | CUSIP: 3137BJZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25937620 | PA      | $25283115.28  | 0.20%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4480, Class LA                                                | CUSIP: 3137BKD72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6469 | PA      | $6457.99      | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4492, Class BW                                                | CUSIP: 3137BKNY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314410 | PA      | $2275443.20   | 0.02%             | 2035-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4505, Class P                                                 | CUSIP: 3137BKWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590883 | PA      | $579580.32    | 0.00%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4545, Class PG                                                | CUSIP: 3137BMP75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173341 | PA      | $171094.09    | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4550, Class NA                                                | CUSIP: 3137BN2R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100177 | PA      | $99634.03     | 0.00%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4574, Class YH                                                | CUSIP: 3137BNQP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229345 | PA      | $211236.20    | 0.00%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4571, Class EB                                                | CUSIP: 3137BNVM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1361330 | PA      | $1341769.44   | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4591, Class QE                                                | CUSIP: 3137BQQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161585 | PA      | $149339.12    | 0.00%             | 2046-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4620                                                          | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165568 | PA      | $20414.97     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4631, Class PA                                                | CUSIP: 3137BSZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1451621 | PA      | $1388717.96   | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4646, Class JV                                                | CUSIP: 3137BUEU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4025959 | PA      | $4006581.18   | 0.03%             | 2036-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4655, Class DJ                                                | CUSIP: 3137BVDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1383381 | PA      | $1338428.60   | 0.01%             | 2040-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4657, Class VZ                                                | CUSIP: 3137BVQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7801792 | PA      | $7109960.06   | 0.06%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4664, Class PH                                                | CUSIP: 3137BWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512554 | PA      | $507531.70    | 0.00%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4675, Class EZ                                                | CUSIP: 3137BXN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1770179 | PA      | $1647255.56   | 0.01%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4682, Class AP                                                | CUSIP: 3137BXXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545488 | PA      | $495750.07    | 0.00%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4682, Class LC                                                | CUSIP: 3137BXZG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415836 | PA      | $366429.79    | 0.00%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4698, Class DA                                                | CUSIP: 3137F1XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051189 | PA      | $1044873.74   | 0.01%             | 2045-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4703, Class KZ                                                | CUSIP: 3137F26G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4797024 | PA      | $4569217.09   | 0.04%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4714, Class PA                                                | CUSIP: 3137F2ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257443 | PA      | $1207166.30   | 0.01%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4774, Class LP                                                | CUSIP: 3137F4VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741420 | PA      | $1713851.41   | 0.01%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1    | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100063724 | PA      | $899662.93    | 0.01%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG04, Class A1    | CUSIP: 3137F84R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3088300 | PA      | $2895257.94   | 0.02%             | 2030-06-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1    | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62432770 | PA      | $341632.12    | 0.00%             | 2027-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4740, Class JA                                                | CUSIP: 3137FCCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1499585 | PA      | $1370352.00   | 0.01%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4749, Class ZL                                                | CUSIP: 3137FCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13371840 | PA      | $12442093.22  | 0.10%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4745, Class EC                                                | CUSIP: 3137FDBS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608302 | PA      | $603704.65    | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4759, Class MA                                                | CUSIP: 3137FDJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26608 | PA      | $26334.51     | 0.00%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4830, Class AP                                                | CUSIP: 3137FHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652460 | PA      | $653033.76    | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4922, Class GE                                                | CUSIP: 3137FNXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578353 | PA      | $528703.12    | 0.00%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4936, Class AP                                                | CUSIP: 3137FQHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169946 | PA      | $160601.18    | 0.00%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC07, Class A7    | CUSIP: 3137FQK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1854492 | PA      | $1836799.32   | 0.01%             | 2026-10-25      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4941, Class NP                                                | CUSIP: 3137FQTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643151 | PA      | $575447.00    | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4952, Class PA                                                | CUSIP: 3137FR4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1016279 | PA      | $904906.62    | 0.01%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1    | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39279700 | PA      | $1599453.69   | 0.01%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3726, Class PA                                                | CUSIP: 3137GAB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4036 | PA      | $4027.81      | 0.00%             | 2040-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3721, Class DG                                                | CUSIP: 3137GACW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50821 | PA      | $49739.65     | 0.00%             | 2030-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5115, Class FD                                                | CUSIP: 3137H0W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4740004 | PA      | $4697353.65   | 0.04%             | 2043-08-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5271, Class AC                                                | CUSIP: 3137H9FW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2208740 | PA      | $2215706.63   | 0.02%             | 2047-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5275, Class KA                                                | CUSIP: 3137H9GK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6082047 | PA      | $6131935.06   | 0.05%             | 2047-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5280, Class T                                                 | CUSIP: 3137H9LW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14187585 | PA      | $14752010.73  | 0.12%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5296, Class CA                                                | CUSIP: 3137H9SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7425835 | PA      | $7576316.68   | 0.06%             | 2042-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5334, Class GA                                                | CUSIP: 3137HAHU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21349207 | PA      | $21738691.16  | 0.18%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K506, Class A1    | CUSIP: 3137HAMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1157239 | PA      | $1176892.02   | 0.01%             | 2028-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K507, Class A2    | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2558115.50   | 0.02%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5353, Class A                                                 | CUSIP: 3137HAU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3334979 | PA      | $3411555.06   | 0.03%             | 2045-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K512, Class A2    | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11058537 | PA      | $11401223.24  | 0.09%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5369, Class V                                                 | CUSIP: 3137HBDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6777189 | PA      | $6934706.85   | 0.06%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5401, Class VD                                                | CUSIP: 3137HC7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14715836 | PA      | $15138720.71  | 0.12%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5397, Class CA                                                | CUSIP: 3137HCEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8023891 | PA      | $8036067.39   | 0.06%             | 2052-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5407, Class PA                                                | CUSIP: 3137HCM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6281008 | PA      | $6340094.27   | 0.05%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5421, Class EA                                                | CUSIP: 3137HCZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10368265 | PA      | $10541413.95  | 0.09%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5418, Class DA                                                | CUSIP: 3137HD4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4507529 | PA      | $4586012.89   | 0.04%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5417, Class V                                                 | CUSIP: 3137HDGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2141888 | PA      | $2181188.00   | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5433, Class B                                                 | CUSIP: 3137HDP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7334248 | PA      | $7402054.90   | 0.06%             | 2051-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5427, Class DA                                                | CUSIP: 3137HDQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20359993 | PA      | $20507107.85  | 0.17%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5440, Class MV                                                | CUSIP: 3137HDYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978581 | PA      | $996316.29    | 0.01%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5444, Class BC                                                | CUSIP: 3137HFCP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6130663 | PA      | $6157742.63   | 0.05%             | 2049-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5487, Class DV                                                | CUSIP: 3137HHMC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10044546 | PA      | $10410439.51  | 0.08%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5481, Class HA                                                | CUSIP: 3137HHQH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7207607 | PA      | $7273014.15   | 0.06%             | 2051-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5493, Class KV                                                | CUSIP: 3137HHXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11559823 | PA      | $11875930.24  | 0.10%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5505, Class CA                                                | CUSIP: 3137HJ6P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6436952 | PA      | $6524939.02   | 0.05%             | 2051-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5505, Class DA                                                | CUSIP: 3137HJ6S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12870239 | PA      | $13042881.22  | 0.11%             | 2051-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5505, Class JA                                                | CUSIP: 3137HJ6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11332245 | PA      | $11353966.95  | 0.09%             | 2051-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5504, Class DA                                                | CUSIP: 3137HJDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10409574 | PA      | $10579811.48  | 0.09%             | 2051-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5504, Class DV                                                | CUSIP: 3137HJDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11097932 | PA      | $11543631.40  | 0.09%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5509, Class DV                                                | CUSIP: 3137HJEW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14811153 | PA      | $15417458.14  | 0.12%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5501, Class EA                                                | CUSIP: 3137HJQE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13341442 | PA      | $13484783.38  | 0.11%             | 2049-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5502, Class DC                                                | CUSIP: 3137HJSH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10913844 | PA      | $11009212.14  | 0.09%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5507, Class LA                                                | CUSIP: 3137HJU47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12493800 | PA      | $12587145.23  | 0.10%             | 2051-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5515, Class BV                                                | CUSIP: 3137HKJ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10630168 | PA      | $10918456.66  | 0.09%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5541, Class VJ                                                | CUSIP: 3137HL3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4707694 | PA      | $4818817.13   | 0.04%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5536, Class PA                                                | CUSIP: 3137HL5H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4537794 | PA      | $4578221.96   | 0.04%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5537, Class KE                                                | CUSIP: 3137HLBU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11970372 | PA      | $11988500.76  | 0.10%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5535, Class GA                                                | CUSIP: 3137HLHK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14588641 | PA      | $14672068.66  | 0.12%             | 2052-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5550, Class DC                                                | CUSIP: 3137HLKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10192254 | PA      | $10352254.41  | 0.08%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5549, Class CV                                                | CUSIP: 3137HLSL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5211234 | PA      | $5289688.00   | 0.04%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5558, Class BA                                                | CUSIP: 3137HM3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17674582 | PA      | $17862869.40  | 0.14%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5564, Class DA                                                | CUSIP: 3137HMCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8310809 | PA      | $8351618.01   | 0.07%             | 2050-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5565, Class AV                                                | CUSIP: 3137HMFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5423111 | PA      | $5580067.05   | 0.05%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5568, Class DA                                                | CUSIP: 3137HMMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6850081 | PA      | $6883252.62   | 0.06%             | 2051-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5576, Class AV                                                | CUSIP: 3137HMQV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26076886 | PA      | $26971941.70  | 0.22%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5578, Class BA                                                | CUSIP: 3137HMT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21582167 | PA      | $21576419.90  | 0.17%             | 2052-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5574, Class CA                                                | CUSIP: 3137HMYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5131198 | PA      | $5195582.82   | 0.04%             | 2050-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5585, Class KA                                                | CUSIP: 3137HNF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14539657 | PA      | $14541121.34  | 0.12%             | 2048-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5585, Class LA                                                | CUSIP: 3137HNF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16201789 | PA      | $16175824.49  | 0.13%             | 2049-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5584, Class LA                                                | CUSIP: 3137HNLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3966419 | PA      | $4016207.86   | 0.03%             | 2051-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5585, Class NB                                                | CUSIP: 3137HNMP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21971845 | PA      | $21937461.75  | 0.18%             | 2048-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5593, Class VA                                                | CUSIP: 3137HNVS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7955179 | PA      | $8249553.64   | 0.07%             | 2036-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5605, Class AV                                                | CUSIP: 3137HP5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15986650 | PA      | $16620593.89  | 0.13%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5615, Class AV                                                | CUSIP: 3137HPRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16097558 | PA      | $16753283.48  | 0.14%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31385XB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816238 | PA      | $837403.01    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31385XRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1852 | PA      | $1868.23      | 0.00%             | 2030-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3866 | PA      | $3845.90      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138E5CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6404 | PA      | $6362.26      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050592 | PA      | $1052226.59   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138EH4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33596 | PA      | $33859.77     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138EKRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190222 | PA      | $189743.12    | 0.00%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138EKZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22730 | PA      | $22667.30     | 0.00%             | 2027-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138ELTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214943 | PA      | $215949.07    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138ELYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120269 | PA      | $120234.39    | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138EM6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214633 | PA      | $217110.57    | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449725 | PA      | $448721.93    | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138ENYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6548 | PA      | $6530.49      | 0.00%             | 2029-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899812 | PA      | $866347.42    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138ENZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6844904 | PA      | $6722369.92   | 0.05%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635845 | PA      | $1541321.71   | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138EQ5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1734108 | PA      | $1728659.81   | 0.01%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138EQJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415993 | PA      | $409365.69    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160649 | PA      | $163663.63    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138EQNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493048 | PA      | $475615.70    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138EQVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148162 | PA      | $1119280.27   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138ERB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3039244 | PA      | $3195378.02   | 0.03%             | 2047-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2965333 | PA      | $2916256.93   | 0.02%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138L9BQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6924620 | PA      | $6861484.88   | 0.06%             | 2027-02-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LDYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8781645 | PA      | $8721484.72   | 0.07%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LHS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4919022 | PA      | $4885889.17   | 0.04%             | 2027-03-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LK6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5182129 | PA      | $5117804.03   | 0.04%             | 2027-10-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LKJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6328245 | PA      | $6245740.26   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LKJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5789794 | PA      | $5715164.33   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3155932 | PA      | $3132033.14   | 0.03%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LN3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3440926 | PA      | $3434840.42   | 0.03%             | 2028-08-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9082 | PA      | $9021.02      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138LX6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570219 | PA      | $566134.51    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138MBWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8106 | PA      | $8033.85      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138MQZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71507 | PA      | $70821.14     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138MRMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41287 | PA      | $40758.86     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138MRZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198713 | PA      | $195675.43    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138WHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2313685 | PA      | $2230870.89   | 0.02%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3138X5R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3834266 | PA      | $3786151.12   | 0.03%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3138YR7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385789 | PA      | $1378883.51   | 0.01%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2001-38, Class EA                                              | CUSIP: 313920QL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $1835.56      | 0.00%             | 2031-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Whole Loan, Series 2001-50, Class BA                                  | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29551 | PA      | $30510.09     | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2001-81, Class HE                                              | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889410 | PA      | $933752.73    | 0.01%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-34, Class FA                                              | CUSIP: 31392CM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17618 | PA      | $17625.57     | 0.00%             | 2032-05-18      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-64, Class PG                                              | CUSIP: 31392ER28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693417 | PA      | $714797.25    | 0.01%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-77, Class QG                                              | CUSIP: 31392F4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162621 | PA      | $168077.86    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-77, Class TF                                              | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68216 | PA      | $68980.17     | 0.00%             | 2032-12-18      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-84, Class DZ                                              | CUSIP: 31392FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81851 | PA      | $85040.04     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2002-94, Class BZ                                              | CUSIP: 31392GTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479076 | PA      | $495656.94    | 0.00%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-7, Class FB                                               | CUSIP: 31392HY31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101129 | PA      | $101762.47    | 0.00%             | 2033-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2492, Class GH                                                | CUSIP: 31392RWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104573 | PA      | $109286.60    | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2500, Class FD                                                | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65655 | PA      | $65698.92     | 0.00%             | 2032-03-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-42, Class CI                                              | CUSIP: 31393BUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76870 | PA      | $7280.09      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-49                                                        | CUSIP: 31393CY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109179 | PA      | $13108.43     | 0.00%             | 2033-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-58, Class GL                                              | CUSIP: 31393DCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55714 | PA      | $55109.12     | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-63, Class A7                                              | CUSIP: 31393DSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866577 | PA      | $898193.42    | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-84, Class PZ                                              | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29336 | PA      | $30193.99     | 0.00%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2602, Class FH                                                | CUSIP: 31393PHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77603 | PA      | $77416.21     | 0.00%             | 2033-04-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2617, Class Z                                                 | CUSIP: 31393RCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1855752 | PA      | $1924781.23   | 0.02%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-107, Class ZD                                             | CUSIP: 31393T5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702032 | PA      | $733938.44    | 0.01%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2003-129, Class ZT                                             | CUSIP: 31393UJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3781700 | PA      | $3952830.90   | 0.03%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-38, Class AO                                              | CUSIP: 31393YBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155032 | PA      | $1020161.71   | 0.01%             | 2034-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-72, Class F                                               | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29677 | PA      | $29663.83     | 0.00%             | 2034-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-61, Class FH                                              | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346622 | PA      | $349011.90    | 0.00%             | 2032-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-5, Class PA                                               | CUSIP: 31394B5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89647 | PA      | $89317.34     | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-101, Class AR                                             | CUSIP: 31394BE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3188 | PA      | $3289.45      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-90, Class ZU                                              | CUSIP: 31394BVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570273 | PA      | $602258.76    | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2004-91, Class BR                                              | CUSIP: 31394BYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33519 | PA      | $34795.90     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-27, Class HZ                                              | CUSIP: 31394CG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942087 | PA      | $966101.73    | 0.01%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-31, Class PB                                              | CUSIP: 31394CY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267421 | PA      | $278237.03    | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-38, Class FK                                              | CUSIP: 31394DTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182604 | PA      | $181741.08    | 0.00%             | 2035-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-64, Class PL                                              | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20395 | PA      | $21093.56     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-55, Class PN                                              | CUSIP: 31394EJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075595 | PA      | $1121409.20   | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-66, Class PF                                              | CUSIP: 31394EKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41019 | PA      | $40758.55     | 0.00%             | 2035-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-84, Class MB                                              | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216801 | PA      | $223981.88    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2662, Class MT                                                | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29902 | PA      | $30286.26     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2693, Class Z                                                 | CUSIP: 31394KH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75686 | PA      | $79179.90     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2686, Class KZ                                                | CUSIP: 31394KN83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350057 | PA      | $347862.72    | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2711, Class FC                                                | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450054 | PA      | $454432.50    | 0.00%             | 2033-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2727, Class PM                                                | CUSIP: 31394NN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421888 | PA      | $427321.61    | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2736, Class PE                                                | CUSIP: 31394PJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1726228 | PA      | $1778745.24   | 0.01%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-99, Class AF                                              | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59351 | PA      | $59037.15     | 0.00%             | 2035-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-88, Class ZC                                              | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123207 | PA      | $1155550.75   | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-103, Class BT                                             | CUSIP: 31394ULN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141750 | PA      | $143412.99    | 0.00%             | 2035-07-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2005-101, Class B                                              | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497145 | PA      | $511667.25    | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-16, Class FC                                              | CUSIP: 31394V5L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32663 | PA      | $32470.73     | 0.00%             | 2036-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2806, Class FA                                                | CUSIP: 31395AWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136461 | PA      | $138217.11    | 0.00%             | 2034-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-14, Class DB                                              | CUSIP: 31395BEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192204 | PA      | $199959.94    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-3, Class ZA                                               | CUSIP: 31395BGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4925307 | PA      | $5124846.25   | 0.04%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-27, Class BF                                              | CUSIP: 31395BZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51159 | PA      | $50882.79     | 0.00%             | 2036-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-46, Class FW                                              | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139744 | PA      | $139240.42    | 0.00%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                       | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582816 | PA      | $578079.06    | 0.00%             | 2046-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-50, Class PE                                              | CUSIP: 31395DTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187434 | PA      | $192428.92    | 0.00%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-42, Class PF                                              | CUSIP: 31395DUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96652 | PA      | $96342.07     | 0.00%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2898, Class PG                                                | CUSIP: 31395K5H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403885 | PA      | $414442.15    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2901, Class S                                                 | CUSIP: 31395KSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224677 | PA      | $235903.89    | 0.00%             | 2034-12-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2929, Class PG                                                | CUSIP: 31395MBH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44943 | PA      | $46173.18     | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2933, Class EM                                                | CUSIP: 31395MS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20865 | PA      | $21055.38     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-58, Class ST                                              | CUSIP: 31395NM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355251 | PA      | $37656.64     | 0.00%             | 2036-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-56, Class DC                                              | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119653 | PA      | $117556.26    | 0.00%             | 2036-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2953, Class PG                                                | CUSIP: 31395PMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164481 | PA      | $171316.51    | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2941, Class Z                                                 | CUSIP: 31395PUN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976805 | PA      | $968883.41    | 0.01%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 411, Class A3                                                 | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836745 | PA      | $795115.38    | 0.01%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2963, Class ZG                                                | CUSIP: 31395TPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262967 | PA      | $269853.01    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2989, Class MU                                                | CUSIP: 31395VFH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440020 | PA      | $32906.67     | 0.00%             | 2034-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 2995, Class FT                                                | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32331 | PA      | $32214.28     | 0.00%             | 2029-05-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3003, Class LD                                                | CUSIP: 31395W4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60514 | PA      | $62059.48     | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3005, Class PV                                                | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $459.18       | 0.00%             | 2033-10-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3002, Class BN                                                | CUSIP: 31395WLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124208 | PA      | $125623.55    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3013, Class HZ                                                | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406184 | PA      | $416982.57    | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Reference REMIC, Series R003, Class ZA                                      | CUSIP: 31396C3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16864375 | PA      | $17554239.30  | 0.14%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3101, Class UZ                                                | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102764 | PA      | $110014.49    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Reference REMIC, Series R005, Class ZA                                      | CUSIP: 31396HAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1555691 | PA      | $1621112.58   | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-101, Class FC                                             | CUSIP: 31396LHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38077 | PA      | $37995.89     | 0.00%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2006-101, Class FD                                             | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24325 | PA      | $24273.02     | 0.00%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-1, Class NF                                               | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85389 | PA      | $84818.04     | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-22, Class SC                                              | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4762 | PA      | $165.94       | 0.00%             | 2037-03-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-16, Class FC                                              | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9660 | PA      | $9715.40      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-73, Class HJ                                              | CUSIP: 31396QB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76302 | PA      | $80578.03     | 0.00%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-58, Class B                                               | CUSIP: 31396QQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277872 | PA      | $279065.05    | 0.00%             | 2029-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-59, Class HB                                              | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734885 | PA      | $752852.51    | 0.01%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-70, Class FA                                              | CUSIP: 31396QYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53268 | PA      | $54538.07     | 0.00%             | 2039-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3174, Class LF                                                | CUSIP: 31396TP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56307 | PA      | $56067.40     | 0.00%             | 2036-05-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-B2, Class ZA                                              | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071742 | PA      | $1115237.43   | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-33, Class MS                                              | CUSIP: 31396VGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621790 | PA      | $64402.01     | 0.00%             | 2037-04-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                  | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83966 | PA      | $83476.39     | 0.00%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-61, Class PE                                              | CUSIP: 31396WWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1657707 | PA      | $1741667.27   | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-109, Class VZ                                             | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825807 | PA      | $846558.27    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                 | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86513 | PA      | $87989.36     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-85, Class SH                                              | CUSIP: 31396XQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475782 | PA      | $20835.66     | 0.00%             | 2037-09-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-117, Class FM                                             | CUSIP: 31396YAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90613 | PA      | $91052.18     | 0.00%             | 2038-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2007-117, Class MF                                             | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169858 | PA      | $170682.36    | 0.00%             | 2038-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2008-5, Class PE                                               | CUSIP: 31396YGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52492 | PA      | $53848.39     | 0.00%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2008-25, Class DZ                                              | CUSIP: 31396YL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356966 | PA      | $362637.00    | 0.00%             | 2038-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2008-18, Class SE                                              | CUSIP: 31396YWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67702 | PA      | $5791.55      | 0.00%             | 2038-03-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3204, Class ZM                                                | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284643 | PA      | $291921.42    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3258, Class PM                                                | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150886 | PA      | $156323.16    | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3249, Class CL                                                | CUSIP: 31397EDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365411 | PA      | $364506.65    | 0.00%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3305, Class IW                                                | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166506 | PA      | $9440.82      | 0.00%             | 2037-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3318, Class HF                                                | CUSIP: 31397HDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81238 | PA      | $80333.05     | 0.00%             | 2037-05-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3326, Class FG                                                | CUSIP: 31397JHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328029 | PA      | $325558.38    | 0.00%             | 2037-06-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3351, Class ZC                                                | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    743665 | PA      | $775275.60    | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2008-83, Class CA                                              | CUSIP: 31397MXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292981 | PA      | $314240.64    | 0.00%             | 2038-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-15, Class AC                                              | CUSIP: 31397NDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176061 | PA      | $177379.02    | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-29, Class LA                                              | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624697 | PA      | $576534.40    | 0.00%             | 2039-05-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-11, Class ZY                                              | CUSIP: 31397NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2278512 | PA      | $2274513.25   | 0.02%             | 2049-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-18, Class KY                                              | CUSIP: 31397QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419454 | PA      | $418700.79    | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3420, Class EI                                                | CUSIP: 31397RE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1493313 | PA      | $75306.44     | 0.00%             | 2037-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3429, Class S                                                 | CUSIP: 31397RMT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300930 | PA      | $27929.98     | 0.00%             | 2038-03-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-45, Class ZA                                              | CUSIP: 31397S2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5164642 | PA      | $5166907.79   | 0.04%             | 2031-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-52, Class GB                                              | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57579 | PA      | $59184.01     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-35, Class PE                                              | CUSIP: 31397SVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742829 | PA      | $731633.14    | 0.01%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3447, Class DB                                                | CUSIP: 31397TQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834932 | PA      | $859910.85    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3459, Class MB                                                | CUSIP: 31397TTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54695 | PA      | $56297.14     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-48, Class CN                                              | CUSIP: 31397UFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       730 | PA      | $727.86       | 0.00%             | 2026-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-64, Class DT                                              | CUSIP: 31397UJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24659265 | PA      | $25943317.32  | 0.21%             | 2041-07-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-63, Class LB                                              | CUSIP: 31397UQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1901105 | PA      | $1899384.55   | 0.02%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-53, Class FT                                              | CUSIP: 31397URA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72117 | PA      | $72123.93     | 0.00%             | 2041-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-59, Class NZ                                              | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420275 | PA      | $438490.59    | 0.00%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-61, Class ZA                                              | CUSIP: 31397UXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540279 | PA      | $553530.94    | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2011-61, Class B                                               | CUSIP: 31397UXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       897 | PA      | $894.03       | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3523, Class MX                                                | CUSIP: 31398CGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24614 | PA      | $24631.30     | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3546, Class A                                                 | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252813 | PA      | $257317.29    | 0.00%             | 2039-02-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3540, Class A                                                 | CUSIP: 31398EB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78789 | PA      | $79450.89     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-71, Class JT                                              | CUSIP: 31398FAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112530 | PA      | $119060.61    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-87, Class B                                               | CUSIP: 31398FH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504181 | PA      | $509698.74    | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-86, Class PE                                              | CUSIP: 31398FSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1621337 | PA      | $1661140.38   | 0.01%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2009-112, Class SW                                             | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397050 | PA      | $135948.32    | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3569, Class NY                                                | CUSIP: 31398J3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402336 | PA      | $414120.74    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3572, Class JS                                                | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111640 | PA      | $5634.72      | 0.00%             | 2039-09-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3575, Class ZA                                                | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2183500 | PA      | $2244190.79   | 0.02%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3585, Class KW                                                | CUSIP: 31398K5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    860764 | PA      | $878506.20    | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3609, Class SA                                                | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776365 | PA      | $55646.02     | 0.00%             | 2039-12-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-14, Class AC                                              | CUSIP: 31398MEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63649 | PA      | $63438.15     | 0.00%             | 2030-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-37, Class CY                                              | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30576 | PA      | $31419.94     | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-109, Class M                                              | CUSIP: 31398NRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580248 | PA      | $570963.03    | 0.00%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-35, Class KF                                              | CUSIP: 31398PKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19045 | PA      | $19043.63     | 0.00%             | 2040-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-39, Class FT                                              | CUSIP: 31398PT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334668 | PA      | $338258.99    | 0.00%             | 2035-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-43, Class HJ                                              | CUSIP: 31398RCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103910 | PA      | $108091.90    | 0.00%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-64, Class DM                                              | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254982 | PA      | $259744.78    | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-58, Class FY                                              | CUSIP: 31398RXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90995 | PA      | $91445.22     | 0.00%             | 2040-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-58, Class FA                                              | CUSIP: 31398RYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178165 | PA      | $178248.72    | 0.00%             | 2040-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-126, Class LI                                             | CUSIP: 31398SAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69593 | PA      | $2765.83      | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-154, Class MW                                             | CUSIP: 31398SY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172719 | PA      | $2146637.54   | 0.02%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2010-92, Class B                                               | CUSIP: 31398TB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382809 | PA      | $1392122.89   | 0.01%             | 2030-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3656, Class PM                                                | CUSIP: 31398VLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476285 | PA      | $1520063.65   | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3662, Class ZB                                                | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88864 | PA      | $92643.17     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3636, Class MZ                                                | CUSIP: 31398WFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2111798 | PA      | $2173997.57   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 3632, Class PK                                                | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120366 | PA      | $123305.68    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633531 | PA      | $665178.88    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160241 | PA      | $1193252.92   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31403DTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6001 | PA      | $6192.38      | 0.00%             | 2036-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103494 | PA      | $110160.00    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                      | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20880 | PA      | $21173.86     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10811 | PA      | $11226.88     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147656 | PA      | $153872.51    | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31409GSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10072 | PA      | $10461.56     | 0.00%             | 2036-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135515 | PA      | $141222.34    | 0.00%             | 2036-03-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31409X7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56415 | PA      | $57648.00     | 0.00%             | 2036-07-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140E04C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2504927 | PA      | $2470141.05   | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7007017 | PA      | $7105977.72   | 0.06%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1681012 | PA      | $1704762.92   | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9370667 | PA      | $9577249.53   | 0.08%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7111029 | PA      | $7439430.81   | 0.06%             | 2048-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236471 | PA      | $1271418.30   | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXT77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9380176 | PA      | $9579657.86   | 0.08%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140GXNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822725 | PA      | $747647.67    | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832870 | PA      | $796685.50    | 0.01%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HJL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159809 | PA      | $154794.47    | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HV6U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9756893 | PA      | $9635039.13   | 0.08%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J2Z58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2394507.98   | 0.02%             | 2027-12-01      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110650 | PA      | $1068229.14   | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J8NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1159870 | PA      | $1116739.10   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140J8X40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6880793 | PA      | $6796574.67   | 0.05%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140J9DL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7005560 | PA      | $7008232.19   | 0.06%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J9TK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337115 | PA      | $314014.66    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7073426 | PA      | $6966254.83   | 0.06%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JAXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763005 | PA      | $710858.63    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423100 | PA      | $1421220.74   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2043446 | PA      | $2024253.28   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JCAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2523984 | PA      | $2500766.50   | 0.02%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JCAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620179 | PA      | $1611327.27   | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140JN4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826321 | PA      | $1813764.95   | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 3140KA3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656071 | PA      | $631764.80    | 0.01%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LBYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4854081 | PA      | $4630242.88   | 0.04%             | 2028-04-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335000 | PA      | $1355691.39   | 0.01%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5425000 | PA      | $5514424.02   | 0.04%             | 2028-09-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLEB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798000 | PA      | $3847376.01   | 0.03%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444000 | PA      | $1467537.72   | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4840000 | PA      | $4918361.15   | 0.04%             | 2028-08-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4492965 | PA      | $4658733.33   | 0.04%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7345000 | PA      | $7516730.58   | 0.06%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NU3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244737 | PA      | $1283402.56   | 0.01%             | 2029-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4993028 | PA      | $5218516.97   | 0.04%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8866880 | PA      | $9096925.51   | 0.07%             | 2029-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVRF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2053942.44   | 0.02%             | 2029-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NX3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25386000 | PA      | $25965884.78  | 0.21%             | 2030-04-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXW25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10362166.50  | 0.08%             | 2030-03-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10237473.80  | 0.08%             | 2030-05-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11688483 | PA      | $11909984.78  | 0.10%             | 2030-04-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2950046 | PA      | $3083766.81   | 0.02%             | 2030-06-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0KM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3830000 | PA      | $3934724.57   | 0.03%             | 2030-09-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140QBWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3072206 | PA      | $2930672.55   | 0.02%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140QBWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2896171 | PA      | $2826929.94   | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QCV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422976 | PA      | $380717.34    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QDUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350512 | PA      | $315492.57    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QDW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333837 | PA      | $297797.54    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QECX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380438 | PA      | $339366.10    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140W1BY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2326289 | PA      | $2401702.11   | 0.02%             | 2045-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140W1W58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11973463 | PA      | $12461973.16  | 0.10%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140X5XF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1645451 | PA      | $1605614.64   | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140X64J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2896983 | PA      | $2857369.33   | 0.02%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140X6G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185158 | PA      | $1158842.42   | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1770832 | PA      | $1743739.87   | 0.01%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XCJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707676 | PA      | $1661333.63   | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XDQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1496756 | PA      | $1481220.45   | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 3140XF6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1726211 | PA      | $1667259.18   | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XF6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18899783 | PA      | $18564187.29  | 0.15%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XFQA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4200681 | PA      | $4106229.81   | 0.03%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XG2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908482 | PA      | $919917.96    | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XK4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2348690 | PA      | $2331366.16   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XK7C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7311489 | PA      | $7280998.29   | 0.06%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XKLE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11448308 | PA      | $11262001.37  | 0.09%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XKNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4602769 | PA      | $4721328.80   | 0.04%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XKQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7285076 | PA      | $7375823.74   | 0.06%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XKXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1761916 | PA      | $1734043.24   | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XLAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2627927 | PA      | $2610411.37   | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XLCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1227651 | PA      | $1226255.68   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XLL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2046760 | PA      | $1997865.62   | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 3140XMB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2234465 | PA      | $2218372.83   | 0.02%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XME28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4322167 | PA      | $4414566.35   | 0.04%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XMTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2790443 | PA      | $2775968.03   | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XNQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2002273 | PA      | $1962728.02   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XNT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3081380 | PA      | $3218167.80   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 3140XPGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5343003 | PA      | $5538919.56   | 0.04%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3935347 | PA      | $4119097.18   | 0.03%             | 2048-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140XRYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18202350 | PA      | $18743817.60  | 0.15%             | 2044-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24220 | PA      | $24913.48     | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80130 | PA      | $82478.15     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33249 | PA      | $34390.85     | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24365 | PA      | $25105.79     | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31410G3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60016 | PA      | $61048.00     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19739 | PA      | $20349.89     | 0.00%             | 2037-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293243 | PA      | $312395.48    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195330 | PA      | $1229009.10   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87751 | PA      | $91682.68     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515718 | PA      | $549344.80    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31410LQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184911 | PA      | $186168.93    | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325536 | PA      | $341331.98    | 0.00%             | 2036-03-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28843 | PA      | $29397.87     | 0.00%             | 2036-05-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11657 | PA      | $12033.09     | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31411KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270707 | PA      | $279581.57    | 0.00%             | 2037-03-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90370 | PA      | $92196.43     | 0.00%             | 2037-02-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233112 | PA      | $238722.83    | 0.00%             | 2037-01-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31412MDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218250 | PA      | $230377.41    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50154 | PA      | $51343.47     | 0.00%             | 2037-04-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1315 | PA      | $1341.57      | 0.00%             | 2037-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101525 | PA      | $103342.28    | 0.00%             | 2037-07-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31413NGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206701 | PA      | $218942.25    | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388619 | PA      | $395650.51    | 0.00%             | 2037-08-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1668 | PA      | $1675.69      | 0.00%             | 2037-08-01      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48760 | PA      | $50257.89     | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2704352 | PA      | $2852082.12   | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135364 | PA      | $141365.53    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97801 | PA      | $101046.34    | 0.00%             | 2037-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327176 | PA      | $348336.80    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045383 | PA      | $1055132.73   | 0.01%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31416XHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202260 | PA      | $203228.15    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31417CN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704626 | PA      | $687103.71    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31417EEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123889 | PA      | $122303.27    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89045 | PA      | $91695.31     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414297 | PA      | $419026.01    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31417Y3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48225 | PA      | $48249.15     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243421 | PA      | $239723.26    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225224 | PA      | $228606.00    | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38077 | PA      | $38060.31     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440822 | PA      | $431203.48    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268316 | PA      | $1182498.09   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310158 | PA      | $299166.34    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314966 | PA      | $1225985.68   | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270622 | PA      | $266933.38    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435611 | PA      | $406131.67    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418ASX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568562 | PA      | $530083.43    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588371 | PA      | $585243.32    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49439 | PA      | $48961.50     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418B2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312891 | PA      | $1291092.10   | 0.01%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418B3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11317658 | PA      | $10920060.46  | 0.09%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279248 | PA      | $265767.83    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418BAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400792 | PA      | $388278.04    | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418BD45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11159259 | PA      | $11184242.96  | 0.09%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418CBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684417 | PA      | $651378.41    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418CRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460724 | PA      | $418679.96    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418DK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873099 | PA      | $785881.13    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60569 | PA      | $60593.08     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2101122 | PA      | $2011340.36   | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418DP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198193 | PA      | $191789.29    | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418DPP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358019 | PA      | $319366.13    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676967 | PA      | $576637.99    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418DQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278327 | PA      | $248279.81    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418DY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8294762 | PA      | $8003366.28   | 0.06%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11457326 | PA      | $10919636.08  | 0.09%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418EEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449150 | PA      | $437630.58    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418EUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065125 | PA      | $1086887.52   | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418EVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867537 | PA      | $876614.79    | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 15 Year                                                                 | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6974092 | PA      | $7218480.70   | 0.06%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418EYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19906027 | PA      | $20485123.98  | 0.17%             | 2043-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418FC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1977073 | PA      | $2020932.59   | 0.02%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 10 Year                                                                 | CUSIP: 31418FH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4002775 | PA      | $4084324.48   | 0.03%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31418MCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31717 | PA      | $32455.54     | 0.00%             | 2037-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816337 | PA      | $840571.51    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31418MKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194804 | PA      | $202553.47    | 0.00%             | 2036-03-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                               | CUSIP: 31418MKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145545 | PA      | $149512.75    | 0.00%             | 2036-12-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 31418TCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79849 | PA      | $80825.84     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91395 | PA      | $92688.90     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec            | Federation des Caisses Desjardins du Quebec                                        | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |  15410000 | PA      | $15981049.60  | 0.13%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2025-HE6, Class A                                              | CUSIP: 31684NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8232062 | PA      | $8284908.75   | 0.07%             | 2055-09-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust, Series 2023-1A, Class B                          | CUSIP: 320986AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5685000 | PA      | $5791202.62   | 0.05%             | 2029-12-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFR2, Class B                                    | CUSIP: 33767PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8337061 | PA      | $8319862.75   | 0.07%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class B                                    | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5165000 | PA      | $5098137.53   | 0.04%             | 2038-08-17      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class C                                    | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3948088.00   | 0.03%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class D                                    | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12844365.30  | 0.10%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR3, Class A                                    | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15005719 | PA      | $14741356.09  | 0.12%             | 2038-12-17      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFR1, Class B                                    | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4988370.00   | 0.04%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFR1, Class C                                    | CUSIP: 33768NAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6991555.20   | 0.06%             | 2039-05-19      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2021-3, Class C                                 | CUSIP: 33846QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192289 | PA      | $192002.38    | 0.00%             | 2027-09-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2025-1A, Class A                                  | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9427334 | PA      | $9581338.29   | 0.08%             | 2050-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2021-1A, Class A                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   4775934 | PA      | $4569342.45   | 0.04%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2025-2A, Class A                                  | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2270289 | PA      | $2294269.64   | 0.02%             | 2052-04-15      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2025-3A, Class A                                  | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11053372 | PA      | $11133907.81  | 0.09%             | 2052-08-15      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                  | Foundry JV Holdco LLC                                                              | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |  11720000 | PA      | $12368439.82  | 0.10%             | 2030-01-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class A1                                | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |   3960938 | PA      | $3969371.52   | 0.03%             | 2045-09-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2025-DNA4, Class A1                                | CUSIP: 35564UBQ9<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |  10569750 | PA      | $10578857.95  | 0.09%             | 2045-10-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC MSCR Trust, Series 2025-MN12, Class M1                                       | CUSIP: 355913AA2<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |   7490579 | PA      | $7491195.13   | 0.06%             | 2045-11-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K71, Class B                                     | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $987324.60    | 0.01%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 15 Year                                                                   | CUSIP: 36179R3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4504194 | PA      | $4386908.29   | 0.04%             | 2031-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 15 Year                                                                   | CUSIP: 36179SBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2508016 | PA      | $2439348.76   | 0.02%             | 2031-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579777 | PA      | $540703.53    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179X4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1322006 | PA      | $1388104.09   | 0.01%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2190391 | PA      | $2326742.44   | 0.02%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 36181BRV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343363 | PA      | $330088.01    | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       708 | PA      | $721.76       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       115 | PA      | $115.43       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       236 | PA      | $238.50       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       106 | PA      | $107.40       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350681 | PA      | $371569.01    | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488134 | PA      | $526515.10    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36202EWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643421 | PA      | $680524.66    | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 15 Year                                                                   | CUSIP: 36202F2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13620 | PA      | $13576.64     | 0.00%             | 2027-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 15 Year                                                                   | CUSIP: 36202FV52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1653 | PA      | $1649.79      | 0.00%             | 2026-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 15 Year                                                                   | CUSIP: 36202FYD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49604 | PA      | $49382.13     | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 36206W5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $54.61        | 0.00%             | 2026-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                            | CUSIP: 36225CBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64 | PA      | $63.74        | 0.00%             | 2027-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                            | CUSIP: 36225CE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79 | PA      | $79.13        | 0.00%             | 2028-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 15 Year                                                                    | CUSIP: 3622A2LJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $2.07         | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3622A2XF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1556992 | PA      | $1614227.80   | 0.01%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3622AAXK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6509629 | PA      | $6505284.01   | 0.05%             | 2040-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3622ABMG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17954050 | PA      | $18717862.79  | 0.15%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3622ACB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1932054 | PA      | $1988952.54   | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                        | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2363448 | PA      | $2380185.00   | 0.02%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-1A, Class B                         | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3471172.54   | 0.03%             | 2029-03-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                        | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513088 | PA      | $514628.79    | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class C                         | CUSIP: 36269HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4925000 | PA      | $4980605.22   | 0.04%             | 2029-12-17      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                        | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817849 | PA      | $4835668.75   | 0.04%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trus                     | GS Mortgage-Backed Securities Trust, Series 2025-CES1, Class A1A                   | CUSIP: 36271RAA4<br>LEI: 254900R6PO5A0PCKSU63 | Long             | ABS-O            | CORP              | US        |   4267667 | PA      | $4310961.75   | 0.03%             | 2055-05-25      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class B                         | CUSIP: 36273HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9855000 | PA      | $9947534.51   | 0.08%             | 2030-04-15      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A1                    | CUSIP: 36277LAA1<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |   3060236 | PA      | $3075788.32   | 0.02%             | 2056-05-25      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                     | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18976508 | PA      | $19223555.68  | 0.16%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 36296DHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699636 | PA      | $746037.44    | 0.01%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd.                                        | Galaxy CLO Ltd., Series 2022-30A, Class XR                                         | CUSIP: 36321RAL0<br>LEI: 549300QQ6WEN7DIBD138 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1249956.25   | 0.01%             | 2038-01-15      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                              | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12305000 | PA      | $12405866.30  | 0.10%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  33605000 | PA      | $33682292.84  | 0.27%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class A2                        | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3273527 | PA      | $3294157.19   | 0.03%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class B                         | CUSIP: 37988XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2032131.60   | 0.02%             | 2030-03-15      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                         | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973000 | PA      | $1001964.17   | 0.01%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                         | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5066509.50   | 0.04%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class C                         | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11731714.65  | 0.09%             | 2031-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                         | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6431589.38   | 0.05%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-3A, Class A2                        | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2950197 | PA      | $2981198.74   | 0.02%             | 2029-10-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 8 Ltd.               | GoldenTree Loan Management US CLO Ltd., Series 2020-8A, Class ARR                  | CUSIP: 38136NAY2<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1901892.40   | 0.02%             | 2034-10-20      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13300000 | PA      | $14079547.58  | 0.11%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13460000 | PA      | $14062876.90  | 0.11%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13535000 | PA      | $13885366.87  | 0.11%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28985000 | PA      | $29258728.83  | 0.24%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  26855000 | PA      | $26863417.97  | 0.22%             | 2029-10-21      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28670000 | PA      | $28681874.83  | 0.23%             | 2029-01-21      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust            | Goldman Home Improvement Trust Issuer Trust, Series 2021-GRN2, Class A             | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2216653 | PA      | $2180001.30   | 0.02%             | 2051-06-25      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                 | Goldman Sachs Bank USA                                                             | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   7050000 | PA      | $7071326.39   | 0.06%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust              | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                 | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16922835 | PA      | $17058617.09  | 0.14%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2007-16, Class KU                                                     | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1202292 | PA      | $24934.57     | 0.00%             | 2037-04-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2003-50, Class F                                                      | CUSIP: 38373QSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15731 | PA      | $15706.76     | 0.00%             | 2033-05-16      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2003-102, Class PE                                                    | CUSIP: 38374ECZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543870 | PA      | $543318.02    | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2004-39, Class IN                                                     | CUSIP: 38374GUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4895 | PA      | $13.03        | 0.00%             | 2033-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2006-26, Class S                                                      | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2208516 | PA      | $15206.74     | 0.00%             | 2036-06-20      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-14, Class NI                                                     | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175080 | PA      | $8582.56      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-14, Class KS                                                     | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586166 | PA      | $18601.52     | 0.00%             | 2039-03-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-14, Class SA                                                     | CUSIP: 38374XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413836 | PA      | $40175.56     | 0.00%             | 2039-03-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H14, Class FG                                                    | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108508 | PA      | $108488.16    | 0.00%             | 2063-05-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H15, Class FA                                                    | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94954 | PA      | $95033.74     | 0.00%             | 2063-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H19, Class FC                                                    | CUSIP: 38375B5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120879 | PA      | $121115.47    | 0.00%             | 2063-08-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H30, Class GA                                                    | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25334 | PA      | $25136.96     | 0.00%             | 2062-12-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-H26, Class LF                                                    | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5218 | PA      | $5210.05      | 0.00%             | 2058-08-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-H07, Class FA                                                    | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323933 | PA      | $324005.90    | 0.00%             | 2061-02-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H05, Class FB                                                    | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58613 | PA      | $58251.05     | 0.00%             | 2062-02-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-H08, Class FA                                                    | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215846 | PA      | $216215.87    | 0.00%             | 2061-02-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-H11, Class FA                                                    | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65393 | PA      | $65406.16     | 0.00%             | 2061-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-H11, Class FB                                                    | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43904 | PA      | $43913.16     | 0.00%             | 2061-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H08, Class FA                                                    | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107182 | PA      | $106953.29    | 0.00%             | 2063-03-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-H21, Class FA                                                    | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25782 | PA      | $25830.66     | 0.00%             | 2061-10-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H14, Class FK                                                    | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31514 | PA      | $31543.13     | 0.00%             | 2062-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H18, Class NA                                                    | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28034 | PA      | $28039.89     | 0.00%             | 2062-08-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H20, Class BA                                                    | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49229 | PA      | $49293.70     | 0.00%             | 2062-09-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H23, Class WA                                                    | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35688 | PA      | $35709.00     | 0.00%             | 2062-10-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-H11, Class FA                                                    | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38682 | PA      | $38665.45     | 0.00%             | 2063-04-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-H29, Class FA                                                    | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9966 | PA      | $9969.39      | 0.00%             | 2062-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2008-75, Class SP                                                     | CUSIP: 38375DPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470267 | PA      | $16762.43     | 0.00%             | 2038-08-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H02, Class FB                                                    | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84429 | PA      | $84692.30     | 0.00%             | 2063-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H05, Class FB                                                    | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25314 | PA      | $25354.71     | 0.00%             | 2063-12-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H16, Class CF                                                    | CUSIP: 38375UF21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2445054 | PA      | $2444716.34   | 0.02%             | 2067-07-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H19, Class FA                                                    | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151927 | PA      | $151847.35    | 0.00%             | 2067-08-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H14, Class GF                                                    | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21515 | PA      | $21511.03     | 0.00%             | 2064-07-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H16, Class FL                                                    | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166061 | PA      | $166019.97    | 0.00%             | 2064-07-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class FA                                                    | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67922 | PA      | $68021.70     | 0.00%             | 2064-10-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H06, Class FB                                                    | CUSIP: 38375UUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3224350 | PA      | $3229277.53   | 0.03%             | 2065-02-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H09, Class FA                                                    | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95346 | PA      | $95448.02     | 0.00%             | 2065-04-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-75, Class NB                                                     | CUSIP: 38376CMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16604 | PA      | $16594.48     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-106, Class XL                                                    | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050612 | PA      | $39438.60     | 0.00%             | 2037-06-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H14, Class FD                                                    | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135341 | PA      | $135305.82    | 0.00%             | 2067-06-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H15, Class FN                                                    | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54058 | PA      | $54072.22     | 0.00%             | 2067-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class FH                                                    | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282194 | PA      | $282388.68    | 0.00%             | 2065-04-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class FK                                                    | CUSIP: 38376RAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2970349 | PA      | $2973288.29   | 0.02%             | 2065-04-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H12, Class FB                                                    | CUSIP: 38376RBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2048192 | PA      | $2050178.99   | 0.02%             | 2065-05-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H12, Class FD                                                    | CUSIP: 38376RBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388534 | PA      | $388818.28    | 0.00%             | 2065-05-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H22, Class FA                                                    | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1260606 | PA      | $1264763.79   | 0.01%             | 2066-10-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class FA                                                    | CUSIP: 38376RCB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893023 | PA      | $893341.84    | 0.01%             | 2065-06-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class FB                                                    | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18121 | PA      | $18111.23     | 0.00%             | 2065-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class FG                                                    | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51560 | PA      | $51496.21     | 0.00%             | 2065-04-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class AF                                                    | CUSIP: 38376RE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    711570 | PA      | $714506.74    | 0.01%             | 2066-11-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class FM                                                    | CUSIP: 38376REA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720634 | PA      | $721251.29    | 0.01%             | 2065-07-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H27, Class FA                                                    | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303654 | PA      | $304555.59    | 0.00%             | 2065-09-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H24, Class FA                                                    | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1450178 | PA      | $1452417.73   | 0.01%             | 2065-09-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class FD                                                    | CUSIP: 38376RJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1535936 | PA      | $1538157.74   | 0.01%             | 2065-10-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H29, Class FJ                                                    | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834100 | PA      | $835742.46    | 0.01%             | 2065-11-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H29, Class FA                                                    | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       598 | PA      | $600.25       | 0.00%             | 2065-10-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H01, Class FA                                                    | CUSIP: 38376RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933138 | PA      | $937697.09    | 0.01%             | 2066-01-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class FA                                                    | CUSIP: 38376RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612246 | PA      | $616133.90    | 0.00%             | 2066-02-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class FC                                                    | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546724 | PA      | $549488.19    | 0.00%             | 2066-02-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H09, Class FN                                                    | CUSIP: 38376RTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688006 | PA      | $690960.32    | 0.01%             | 2066-03-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H14, Class FA                                                    | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302891 | PA      | $304000.25    | 0.00%             | 2066-06-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H07, Class FG                                                    | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76507 | PA      | $76479.42     | 0.00%             | 2067-02-20      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-H03, Class FA                                                    | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392322 | PA      | $392700.73    | 0.00%             | 2060-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-59, Class HZ                                                     | CUSIP: 38377FXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    925719 | PA      | $940484.53    | 0.01%             | 2040-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-98, Class ME                                                     | CUSIP: 38377JPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7664688 | PA      | $7793714.92   | 0.06%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-132, Class GJ                                                    | CUSIP: 38377YJC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2291 | PA      | $2291.01      | 0.00%             | 2026-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-155, Class A                                                     | CUSIP: 38378ARH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2403 | PA      | $2397.32      | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-28, Class DE                                                     | CUSIP: 38378FWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156410 | PA      | $142871.86    | 0.00%             | 2042-12-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-96, Class WP                                                     | CUSIP: 38378HCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1711015 | PA      | $1817884.37   | 0.01%             | 2042-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-75, Class AC                                                     | CUSIP: 38378J4L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180129 | PA      | $176708.42    | 0.00%             | 2028-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-42, Class ND                                                     | CUSIP: 38378JES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56495 | PA      | $53676.12     | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-12, Class ZA                                                     | CUSIP: 38378PE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11863189 | PA      | $11156081.30  | 0.09%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-71, Class NA                                                     | CUSIP: 38378TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21284 | PA      | $20861.17     | 0.00%             | 2041-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class FL                                                    | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30348 | PA      | $30342.79     | 0.00%             | 2065-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-3, Class GA                                                      | CUSIP: 38378YZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2411009 | PA      | $2312111.30   | 0.02%             | 2044-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-41, Class AL                                                     | CUSIP: 38379AX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3339646 | PA      | $3176058.76   | 0.03%             | 2044-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-137, Class DT                                                    | CUSIP: 38379GHY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6194650 | PA      | $5874789.90   | 0.05%             | 2044-09-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-80, Class CP                                                     | CUSIP: 38379NHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184557 | PA      | $183795.68    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-80, Class CQ                                                     | CUSIP: 38379NHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133254 | PA      | $134072.18    | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-25, Class QH                                                     | CUSIP: 38379T2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781486 | PA      | $762080.16    | 0.01%             | 2044-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-79, Class LA                                                     | CUSIP: 38379XNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91841 | PA      | $91283.52     | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-90, Class MA                                                     | CUSIP: 38379XQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56513 | PA      | $56161.66     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-91, Class WH                                                     | CUSIP: 38379XZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810170 | PA      | $759339.97    | 0.01%             | 2046-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-65, Class DZ                                                     | CUSIP: 38380B7B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2757384 | PA      | $2390987.85   | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-139, Class PE                                                    | CUSIP: 38380HEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3131533 | PA      | $2765175.95   | 0.02%             | 2047-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H07, Class FE                                                    | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12535 | PA      | $12500.39     | 0.00%             | 2068-02-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H01, Class FT                                                    | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110533 | PA      | $110551.20    | 0.00%             | 2068-10-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H05, Class FT                                                    | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399944 | PA      | $399963.47    | 0.00%             | 2069-04-20      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H10, Class FC                                                    | CUSIP: 38380LVN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14386584 | PA      | $14429972.37  | 0.12%             | 2069-06-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H14, Class FH                                                    | CUSIP: 38380LZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10229198 | PA      | $10233112.19  | 0.08%             | 2069-08-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H13, Class FK                                                    | CUSIP: 38380QGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1904668 | PA      | $1902156.47   | 0.02%             | 2070-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-29, Class LC                                                     | CUSIP: 38380VEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27276 | PA      | $27116.93     | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-34, Class TY                                                     | CUSIP: 38380VND9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705639 | PA      | $654424.51    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H04, Class FG                                                    | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85476 | PA      | $85210.88     | 0.00%             | 2068-02-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-36, Class AM                                                     | CUSIP: 38380VT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252861 | PA      | $248421.01    | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-113, Class HA                                                    | CUSIP: 38381N2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7883528 | PA      | $8028775.39   | 0.06%             | 2052-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-113, Class KA                                                    | CUSIP: 38381NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23708010 | PA      | $24089671.32  | 0.19%             | 2051-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-113, Class NA                                                    | CUSIP: 38381NZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14817108 | PA      | $14893016.55  | 0.12%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-127, Class AB                                                    | CUSIP: 38381PM34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8395977 | PA      | $8475750.57   | 0.07%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-149, Class BV                                                    | CUSIP: 38381URA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4993621 | PA      | $5129468.53   | 0.04%             | 2036-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-74, Class AT                                                     | CUSIP: 38381VV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363690 | PA      | $344441.69    | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-145, Class PA                                                    | CUSIP: 38382AWJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130716 | PA      | $127630.64    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-5, Class NA                                                      | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2429701 | PA      | $2318477.49   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-74, Class DY                                                     | CUSIP: 38382E5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780272 | PA      | $664416.11    | 0.01%             | 2050-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-83, Class KP                                                     | CUSIP: 38382GDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234641 | PA      | $210181.15    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-125, Class AG                                                    | CUSIP: 38382HMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723101 | PA      | $707335.52    | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-43, Class AB                                                     | CUSIP: 38383XAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6167577 | PA      | $6259137.87   | 0.05%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-58, Class BA                                                     | CUSIP: 38383XTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2566257 | PA      | $2576228.05   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-107, Class PA                                                    | CUSIP: 38384BM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5270790 | PA      | $5368655.90   | 0.04%             | 2046-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-80, Class AC                                                     | CUSIP: 38384BPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3858257 | PA      | $3946205.86   | 0.03%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-115, Class E                                                     | CUSIP: 38384CB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9839989 | PA      | $9916455.42   | 0.08%             | 2057-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-112, Class BA                                                    | CUSIP: 38384CV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3618013 | PA      | $3778893.74   | 0.03%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-164, Class DA                                                    | CUSIP: 38384D5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5456728 | PA      | $5474652.55   | 0.04%             | 2047-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-147, Class AC                                                    | CUSIP: 38384DRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5152554.00   | 0.04%             | 2050-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-131, Class KV                                                    | CUSIP: 38384EYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3467548 | PA      | $3552652.61   | 0.03%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-196, Class A                                                     | CUSIP: 38384GUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7304698 | PA      | $7303731.48   | 0.06%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-183, Class A                                                     | CUSIP: 38384HAA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4969582 | PA      | $4975264.19   | 0.04%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-8, Class WA                                                      | CUSIP: 38384HUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3652868 | PA      | $3662777.02   | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-26, Class NV                                                     | CUSIP: 38384J7C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9462557 | PA      | $9679357.28   | 0.08%             | 2034-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-24, Class AD                                                     | CUSIP: 38384JY73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9993755 | PA      | $10081074.78  | 0.08%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-19, Class E                                                      | CUSIP: 38384KAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14369609 | PA      | $14373771.94  | 0.12%             | 2057-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-19, Class EB                                                     | CUSIP: 38384KBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4769311 | PA      | $4832716.99   | 0.04%             | 2059-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-43, Class JA                                                     | CUSIP: 38384KNH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14951457 | PA      | $15121593.97  | 0.12%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-46, Class KB                                                     | CUSIP: 38384MBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1780405 | PA      | $1812906.79   | 0.01%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class ED                                                     | CUSIP: 38384MVF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4560814 | PA      | $4648289.95   | 0.04%             | 2064-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-89, Class AM                                                     | CUSIP: 38384N3Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16545424 | PA      | $16681106.05  | 0.13%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-84, Class BA                                                     | CUSIP: 38384NTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12879432 | PA      | $12940054.16  | 0.10%             | 2045-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-79, Class PT                                                     | CUSIP: 38384PFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6555736 | PA      | $6725317.55   | 0.05%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-101, Class ED                                                    | CUSIP: 38384PMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12986115 | PA      | $13049087.18  | 0.11%             | 2052-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-144, Class DB                                                    | CUSIP: 38384WTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4793450 | PA      | $4940863.42   | 0.04%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-203, Class HA                                                    | CUSIP: 38385BVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3411307 | PA      | $3527260.95   | 0.03%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-2, Class EA                                                      | CUSIP: 38385BX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16356428 | PA      | $16446416.57  | 0.13%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-22, Class A                                                      | CUSIP: 38385CP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6166773 | PA      | $6192190.90   | 0.05%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-22, Class LG                                                     | CUSIP: 38385CR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27565116 | PA      | $27966089.40  | 0.23%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-22, Class HV                                                     | CUSIP: 38385CX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5912819 | PA      | $6062577.87   | 0.05%             | 2036-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-22, Class HE                                                     | CUSIP: 38385CY44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12155370 | PA      | $12201395.28  | 0.10%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-63, Class PA                                                     | CUSIP: 38385EZ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8943146 | PA      | $9093333.57   | 0.07%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-89, Class EC                                                     | CUSIP: 38385GLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1643237 | PA      | $1661151.42   | 0.01%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                     | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1534886 | PA      | $1536301.40   | 0.01%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC           | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2              | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   3072464 | PA      | $3081888.49   | 0.02%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC           | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3              | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   6616000 | PA      | $6694743.63   | 0.05%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC           | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A4              | CUSIP: 39154GAK2<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   5138000 | PA      | $5246256.63   | 0.04%             | 2032-01-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                        | GreenSky Home Improvement Trust, Series 2024-1, Class A2                           | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100929 | PA      | $1104424.69   | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A2                   | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1694867 | PA      | $1701764.98   | 0.01%             | 2060-03-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A2                   | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14805000 | PA      | $14973741.47  | 0.12%             | 2060-12-27      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413231 | PA      | $420863.61    | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4235000 | PA      | $4322706.60   | 0.03%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10397550.90  | 0.08%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  15380000 | PA      | $15510775.83  | 0.13%             | 2027-08-14      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10401407.10  | 0.08%             | 2030-03-04      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  18740000 | PA      | $19082760.03  | 0.15%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  19840000 | PA      | $20199984.50  | 0.16%             | 2028-11-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  32870000 | PA      | $33406350.31  | 0.27%             | 2029-03-03      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                       | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A3                          | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8867000 | PA      | $8894330.75   | 0.07%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                       | Harley-Davidson Motorcycle Trust, Series 2024-A, Class A3                          | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11685215 | PA      | $11815651.04  | 0.10%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                         | Hertz Vehicle Financing LP, Series 2021-2A, Class B                                | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3596643.21   | 0.03%             | 2027-12-27      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                        | Hertz Vehicle Financing LLC, Series 2023-2A, Class A                               | CUSIP: 42806MBW8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7223694.80   | 0.06%             | 2029-09-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                        | Hertz Vehicle Financing LLC, Series 2023-3A, Class A                               | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10746957.34  | 0.09%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                        | Hertz Vehicle Financing LLC, Series 2025-3A, Class A                               | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  12750000 | PA      | $13034055.98  | 0.11%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                        | Hertz Vehicle Financing LLC, Series 2025-3A, Class B                               | CUSIP: 42806MDC0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3055352.10   | 0.02%             | 2029-12-26      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                        | Hertz Vehicle Financing LLC, Series 2025-3A, Class C                               | CUSIP: 42806MDD8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   8680000 | PA      | $8894882.95   | 0.07%             | 2029-12-26      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-1A, Class A                              | CUSIP: 43283CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2480436 | PA      | $2525687.33   | 0.02%             | 2042-05-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-3EXT, Class A                            | CUSIP: 43283DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23953644 | PA      | $24150339.32  | 0.19%             | 2044-10-25      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-3EXT, Class B                            | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5796782 | PA      | $5854494.61   | 0.05%             | 2044-10-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-2A, Class A                              | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    957440 | PA      | $980886.60    | 0.01%             | 2038-03-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-3A, Class A                              | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6740956 | PA      | $6843174.82   | 0.06%             | 2040-08-27      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2020-AA, Class A                              | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104565 | PA      | $103022.00    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-2A, Class A                              | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8563098 | PA      | $8633138.34   | 0.07%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2023-1A, Class A                              | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1151920 | PA      | $1180676.59   | 0.01%             | 2038-01-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2022-1, Class D                             | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16215454 | PA      | $16095294.05  | 0.13%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class B                             | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18230417 | PA      | $17898226.05  | 0.14%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class A                             | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    974846 | PA      | $957165.42    | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                      | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                     | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13890000 | PA      | $13949740.89  | 0.11%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2                  | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7545938 | PA      | $7568225.34   | 0.06%             | 2032-05-20      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                  | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2913462 | PA      | $2945943.45   | 0.02%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                  | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11160233 | PA      | $11248103.84  | 0.09%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5755029.76   | 0.05%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ADB0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  12355000 | PA      | $12562666.05  | 0.10%             | 2027-06-24      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ADC8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10351749.80  | 0.08%             | 2029-06-24      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  18395000 | PA      | $18657005.32  | 0.15%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10181505.60  | 0.08%             | 2028-06-23      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A4                   | CUSIP: 448988AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5015107.00   | 0.04%             | 2028-02-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A3                   | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12104848.80  | 0.10%             | 2028-04-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A3                   | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817000 | PA      | $4857665.60   | 0.04%             | 2028-01-18      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Capital LLC                           | Identity Digital Capital LLC                                                       | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15241500.00  | 0.12%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| ING Groep NV                                           | ING Groep NV                                                                       | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  22300000 | PA      | $22687552.15  | 0.18%             | 2029-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                                 | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91862 | PA      | $89676.81     | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                 | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219500 | PA      | $223634.49    | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C               | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7346430.00   | 0.06%             | 2048-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C               | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2145770.00   | 0.02%             | 2048-08-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                                | Jamestown CLO Ltd., Series 2021-17A, Class AR                                      | CUSIP: 47048UAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21500000 | PA      | $21519371.50  | 0.17%             | 2035-01-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                                | Jamestown CLO Ltd., Series 2021-17A, Class B1R                                     | CUSIP: 47048UAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3004740.00   | 0.02%             | 2035-01-25      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| John Deere Owner Trust                                 | John Deere Owner Trust, Series 2024-C, Class A4                                    | CUSIP: 477911AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6830000 | PA      | $6889754.30   | 0.06%             | 2031-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust             | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3              | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2818089 | PA      | $2784562.33   | 0.02%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund             | JPMorgan U.S. Government Money Market Fund, Class Institutional                    | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 333144433 | NS      | $333144432.75 | 2.69%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                           | KBC Group NV                                                                       | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   5645000 | PA      | $5829335.89   | 0.05%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                           | KBC Group NV                                                                       | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |  18155000 | PA      | $18619730.06  | 0.15%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 28 Ltd.                                        | KKR CLO Ltd., Series 28A, Class AR2                                                | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | PA      | $20012660.00  | 0.16%             | 2035-02-09      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| KKR Static CLO Ltd.                                    | KKR Static CLO Ltd., Series 2022-1A, Class AR2                                     | CUSIP: 48255QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8031138 | PA      | $8029692.04   | 0.06%             | 2031-07-20      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                               | LCM Ltd., Series 36A, Class A1R                                                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24873000 | PA      | $24865911.20  | 0.20%             | 2034-01-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                               | LCM Ltd., Series 34A, Class A1R                                                    | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15010935.00  | 0.12%             | 2034-10-20      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6579000 | PA      | $6632283.32   | 0.05%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                   | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |  13067000 | PA      | $13092142.21  | 0.11%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                   | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |  12842000 | PA      | $12923744.47  | 0.10%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2026-RTL1, Class A1                                   | CUSIP: 50206JAA3<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-MBS          | CORP              | US        |  26326000 | PA      | $26436298.04  | 0.21%             | 2041-01-25      | Variable      | 4.91%                 | Yes           |                  3 | On Loan: No      |
| Lhome Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                   | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3532931.50   | 0.03%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                  | Lending Funding Trust, Series 2020-2A, Class A                                     | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995729 | PA      | $9893669.41   | 0.08%             | 2031-04-21      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2790815 | PA      | $2792665.27   | 0.02%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2024-2A, Class A                                    | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8625000 | PA      | $8660058.90   | 0.07%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-3A, Class A                                    | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13985000 | PA      | $14087545.01  | 0.11%             | 2035-05-21      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-3A, Class C                                    | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2020595.20   | 0.02%             | 2035-05-21      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-2A, Class A                                    | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12101000 | PA      | $12250308.19  | 0.10%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-2A, Class A                                    | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11888000 | PA      | $11515082.95  | 0.09%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-1A, Class A                                    | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24260000 | PA      | $23772555.95  | 0.19%             | 2031-11-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                            | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900251 | PA      | $911375.68    | 0.01%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                           | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  13210000 | PA      | $13692432.77  | 0.11%             | 2029-03-06      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                           | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  16745000 | PA      | $16887084.67  | 0.14%             | 2027-08-07      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                           | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  20220000 | PA      | $20562219.46  | 0.17%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                           | CUSIP: 53944YBG7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  18340000 | PA      | $18424881.55  | 0.15%             | 2030-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| M&T Bank RV Trust                                      | M&T Bank RV Trust, Series 2026-1A, Class A                                         | CUSIP: 551923AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20352000 | PA      | $20531577.91  | 0.17%             | 2046-01-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| M&T Equipment 2023-LEAF1 Notes                         | M&T Equipment Notes, Series 2023-1A, Class A3                                      | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4454548 | PA      | $4477534.53   | 0.04%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2021-NQM2, Class A1                                              | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692038 | PA      | $620589.81    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                               | MRCD MARK Mortgage Trust, Series 2019-PARK, Class B                                | CUSIP: 55348UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5160000.00   | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2024-2A, Class A                                                   | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5727626 | PA      | $5772709.29   | 0.05%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2025-2A, Class A                                                   | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16976767 | PA      | $17096842.10  | 0.14%             | 2044-10-20      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2020-1A, Class A                                                   | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501404 | PA      | $495552.50    | 0.00%             | 2037-10-20      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLII, LTD.                        | Madison Park Funding Ltd., Series 13A, Class AR2                                   | CUSIP: 55822RAB6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |  10353442 | PA      | $10365866.34  | 0.08%             | 2030-11-21      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXIII Ltd.                                   | Magnetite Ltd., Series 2019-23A, Class AR2                                         | CUSIP: 55954NAS8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |  30500000 | PA      | $30467090.50  | 0.25%             | 2035-01-25      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Marble Point CLO XV Ltd.                               | Marble Point CLO Ltd., Series 2019-1A, Class A1R2                                  | CUSIP: 56606YAW5<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |   7809344 | PA      | $7808180.02   | 0.06%             | 2032-07-23      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-AA, Class B                            | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1527661.65   | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-AA, Class C                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2774574.62   | 0.02%             | 2038-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2024-AA, Class A                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13441000 | PA      | $13625343.32  | 0.11%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-BA, Class A                            | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3319773.94   | 0.03%             | 2036-11-20      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class A                            | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15923000 | PA      | $15730258.45  | 0.13%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                           | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                             | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30 | PA      | $30.10        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC, Series 2023-1A, Class A                               | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   3631966 | PA      | $3643762.55   | 0.03%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC, Series 2024-1A, Class A                               | CUSIP: 588926AF2<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |  15290098 | PA      | $15375973.63  | 0.12%             | 2037-04-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC, Series 2025-1A, Class A                               | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |  16375000 | PA      | $16509908.71  | 0.13%             | 2039-01-20      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12886000 | PA      | $12922878.44  | 0.10%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2026-1A, Class A                | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30190000 | PA      | $30315004.71  | 0.24%             | 2032-02-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-RTL3, Class A1                                              | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12170000 | PA      | $12242130.37  | 0.10%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  18070000 | PA      | $17962746.78  | 0.14%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                                 | Morgan Stanley Bank NA                                                             | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   6720000 | PA      | $6806068.75   | 0.05%             | 2028-07-14      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                                 | Morgan Stanley Bank NA                                                             | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |  32680000 | PA      | $32797223.49  | 0.26%             | 2027-10-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2021-L6, Class A2                           | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2561148 | PA      | $2516130.24   | 0.02%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  20930000 | PA      | $21681733.39  | 0.17%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10610000 | PA      | $10829967.37  | 0.09%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  28690000 | PA      | $29584359.68  | 0.24%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  16465000 | PA      | $16765061.29  | 0.14%             | 2029-04-12      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61748UAR3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  19310000 | PA      | $19377554.88  | 0.16%             | 2030-01-09      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B       | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140000 | PA      | $4011662.07   | 0.03%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank NA                         | Morgan Stanley Private Bank NA                                                     | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  50395000 | PA      | $50582494.60  | 0.41%             | 2028-11-17      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                       | NMEF Funding LLC, Series 2023-A, Class A2                                          | CUSIP: 62890QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1351403 | PA      | $1357102.37   | 0.01%             | 2030-06-17      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                     | NMABS Issuer LLC, Series 2025-1A, Class A                                          | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23331409 | PA      | $23376573.72  | 0.19%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| National Bank of Canada                                | National Bank of Canada                                                            | CUSIP: 63307A3K9<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |  30000000 | PA      | $30108057.00  | 0.24%             | 2029-01-20      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4950479.35   | 0.04%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  17115000 | PA      | $17386248.10  | 0.14%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  22135000 | PA      | $22873405.89  | 0.18%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  14420000 | PA      | $14590002.72  | 0.12%             | 2029-07-14      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  16754000 | PA      | $16754000.00  | 0.14%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                    | NatWest Markets plc                                                                | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15350000 | PA      | $15984882.75  | 0.13%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                    | NatWest Markets plc                                                                | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15580000 | PA      | $15842535.93  | 0.13%             | 2028-03-21      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.             | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class AR2                | CUSIP: 64133RAU0<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |  14000000 | PA      | $13996038.00  | 0.11%             | 2036-10-20      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.             | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR                 | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |  17250000 | PA      | $17254623.00  | 0.14%             | 2036-07-16      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 41 Ltd.             | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-41A, Class AR                 | CUSIP: 64134BAJ9<br>LEI: 549300RYH1PYRU661D66 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $14998230.00  | 0.12%             | 2034-04-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 45 Ltd.             | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-45A, Class AR                 | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |   3025000 | PA      | $3028457.58   | 0.02%             | 2036-10-14      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC                 | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1                    | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1540437.07   | 0.01%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                     | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4935546.00   | 0.04%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class C                     | CUSIP: 64830RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10842124.70  | 0.09%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                    | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  12035000 | PA      | $12064937.06  | 0.10%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                    | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |  15750000 | PA      | $15937390.35  | 0.13%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                  | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1927991 | PA      | $1901046.80   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                  | Nomura Holdings, Inc.                                                              | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  20765000 | PA      | $20592319.92  | 0.17%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust   | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR6, Class 4A1   | CUSIP: 65535VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165942 | PA      | $281871.75    | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2022-SFR3, Class C                                              | CUSIP: 66981YAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1973593.20   | 0.02%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR4, Class B                                              | CUSIP: 66982FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7384741.50   | 0.06%             | 2038-12-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                           | OCP CLO Ltd., Series 2017-13A, Class AR2                                           | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2306578.00   | 0.02%             | 2037-11-26      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC               | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                     | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5850000 | PA      | $5895636.44   | 0.05%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                        | NYMT Loan Trust, Series 2024-BPL3, Class A1                                        | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   6247988 | PA      | $6249278.07   | 0.05%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2020-EXP3, Class 2A1                                             | CUSIP: 67448WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275347 | PA      | $275102.00    | 0.00%             | 2060-01-25      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2023-1A, Class B                                  | CUSIP: 67571BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4266638 | PA      | $4279830.93   | 0.03%             | 2029-07-20      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-1A, Class A2                                 | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4915117 | PA      | $4947890.12   | 0.04%             | 2030-05-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2022-2A, Class D                                  | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9215622.00   | 0.07%             | 2030-02-20      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-2A, Class B                                  | CUSIP: 67578YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2032997.80   | 0.02%             | 2032-07-20      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2024-2A, Class C                                  | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2560340.00   | 0.02%             | 2032-07-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2025-1A, Class A2                                 | CUSIP: 67580EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8610665.72   | 0.07%             | 2031-02-20      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OLIT                                                   | OLIT, Series 2025-HB2, Class A                                                     | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5379859 | PA      | $5277357.44   | 0.04%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class B                                     | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    956665 | PA      | $941699.37    | 0.01%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class A                                      | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98984 | PA      | $99012.26     | 0.00%             | 2029-08-15      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class A                                     | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5333643 | PA      | $5250993.98   | 0.04%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class A                                     | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5028868.00   | 0.04%             | 2033-05-09      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-C, Class B                                     | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10526187.00  | 0.08%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-C, Class C                                     | CUSIP: 68378RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4256955.55   | 0.03%             | 2033-07-08      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XDW2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  43490000 | PA      | $43572533.58  | 0.35%             | 2029-02-04      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2026-A, Class B                                     | CUSIP: 68390VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11320000 | PA      | $11386071.44  | 0.09%             | 2034-01-09      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                           | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3468920 | PA      | $3475534.27   | 0.03%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-2A, Class A3                           | CUSIP: 69392BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3519161.10   | 0.03%             | 2031-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2025-1A, Class A2                           | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15648188 | PA      | $15740747.25  | 0.13%             | 2028-10-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2025-1A, Class A3                           | CUSIP: 69392HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5107111.00   | 0.04%             | 2032-07-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class A                                              | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655000 | PA      | $4669194.96   | 0.04%             | 2033-03-10      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-1A, Class A2                           | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5354227 | PA      | $5391532.76   | 0.04%             | 2027-06-21      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2023-2A, Class A1R                         | CUSIP: 69703FAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7068068 | PA      | $7067473.82   | 0.06%             | 2032-01-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A1                          | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17367404 | PA      | $17327441.42  | 0.14%             | 2033-02-15      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2026-1A, Class A2                           | CUSIP: 704583AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5575000 | PA      | $5593772.14   | 0.05%             | 2028-10-20      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                        | Post Road Equipment Finance LLC, Series 2024-1A, Class A2                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3293279 | PA      | $3304399.45   | 0.03%             | 2029-11-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                        | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                          | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6656970 | PA      | $6715276.82   | 0.05%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                | PowerPay Issuance Trust, Series 2024-1A, Class A                                   | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1659242 | PA      | $1717637.00   | 0.01%             | 2039-02-18      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                | PowerPay Issuance Trust, Series 2025-1A, Class A                                   | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1848127 | PA      | $1866438.50   | 0.02%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                             | PRM7 Trust, Series 2025-PRM7, Class A                                              | CUSIP: 74290HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24320000 | PA      | $24266690.56  | 0.20%             | 2042-11-10      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR2, Class C                              | CUSIP: 74290XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13519228.80  | 0.11%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR3, Class C                              | CUSIP: 74331VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8172249.35   | 0.07%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR5, Class A                              | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15566742 | PA      | $14913805.44  | 0.12%             | 2029-08-09      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR6, Class A                              | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7213782 | PA      | $7147393.89   | 0.06%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR6, Class B                              | CUSIP: 74333HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $17328997.00  | 0.14%             | 2038-07-17      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR9, Class B                              | CUSIP: 74333QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4749727.00   | 0.04%             | 2040-11-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR8, Class B                              | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8858770.20   | 0.07%             | 2038-10-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR8, Class E1                             | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4584684.24   | 0.04%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR3, Class B                                    | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16067000 | PA      | $15973830.68  | 0.13%             | 2026-05-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR3, Class E1                                   | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1790262.72   | 0.01%             | 2026-05-17      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR10, Class B                             | CUSIP: 74333WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4147638 | PA      | $3978463.59   | 0.03%             | 2040-12-17      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR3, Class A                              | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19000000 | PA      | $18311001.10  | 0.15%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR6, Class B                              | CUSIP: 74334DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4009121.20   | 0.03%             | 2039-07-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR6, Class A                              | CUSIP: 74334EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7150000 | PA      | $7066753.98   | 0.06%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR6, Class C                              | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8338000 | PA      | $8042110.23   | 0.06%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR2, Class A                              | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5674149 | PA      | $5463953.53   | 0.04%             | 2042-04-17      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2026-SFR1, Class A                              | CUSIP: 74334HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11484000 | PA      | $11202684.49  | 0.09%             | 2043-02-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR4, Class A                              | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30604800 | PA      | $29560612.99  | 0.24%             | 2041-07-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR5, Class A                              | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8974793 | PA      | $8798988.80   | 0.07%             | 2042-10-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                           | Purchasing Power Funding LLC, Series 2026-A, Class A                               | CUSIP: 74614AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15360000 | PA      | $15384238.08  | 0.12%             | 2030-08-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                   | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |  17642088 | PA      | $17928454.58  | 0.14%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                  | Quanta Services, Inc.                                                              | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  12175000 | PA      | $12307365.63  | 0.10%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                    | RCKT Mortgage Trust, Series 2026-CES2, Class A1A                                   | CUSIP: 74940EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27517000 | PA      | $27541718.52  | 0.22%             | 2056-02-01      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                    | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                                   | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7469279 | PA      | $7500003.48   | 0.06%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class A                                              | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16559305.60  | 0.13%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                               | Cooperatieve Rabobank UA                                                           | CUSIP: 74977RDS0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   9495000 | PA      | $9777321.77   | 0.08%             | 2029-02-28      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| RKTL                                                   | RKTL, Series 2026-1A, Class B                                                      | CUSIP: 74990JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10970000 | PA      | $10975879.92  | 0.09%             | 2035-02-26      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-1A, Class A                                           | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2172435 | PA      | $2178302.80   | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2026-1A, Class B                                           | CUSIP: 75526XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8657000 | PA      | $8672718.51   | 0.07%             | 2033-02-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2021-2, Class A                         | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8103000 | PA      | $7888578.41   | 0.06%             | 2033-08-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust, Series 2024-B, Class A                            | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14486000 | PA      | $14795591.89  | 0.12%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Roc Mortgage Trust                                     | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                     | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $3096258.70   | 0.02%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  13000000 | PA      | $13008174.79  | 0.10%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                               | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  21930000 | PA      | $22026377.74  | 0.18%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                               | CUSIP: 78017DAF5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  28810000 | PA      | $29067037.35  | 0.23%             | 2028-03-27      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                               | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  23060000 | PA      | $23292799.00  | 0.19%             | 2028-10-18      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7073000 | PA      | $7220215.30   | 0.06%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1403849 | PA      | $1414199.77   | 0.01%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                  | SBNA Auto Lease Trust, Series 2024-A, Class A4                                     | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4009634.80   | 0.03%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Stonepeak ABS                                          | Stonepeak ABS, Series 2021-1A                                                      | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905989 | PA      | $2840957.23   | 0.02%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  3 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-1A, Class A2                                | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3576108 | PA      | $3586529.65   | 0.03%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                            | SBNA Auto Receivables Trust, Series 2024-A, Class D                                | CUSIP: 78437PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2052309.60   | 0.02%             | 2030-04-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                  | SBNA Auto Lease Trust, Series 2024-B, Class A3                                     | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1052351 | PA      | $1057048.83   | 0.01%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                  | SBNA Auto Lease Trust, Series 2024-B, Class A4                                     | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9097071.30   | 0.07%             | 2028-12-20      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-2A, Class A3                                | CUSIP: 78439XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5461844.58   | 0.04%             | 2036-06-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2025-2A, Class B                                 | CUSIP: 78439XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10990000 | PA      | $11173075.82  | 0.09%             | 2036-06-20      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  13625000 | PA      | $13672335.16  | 0.11%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-3, Class C                     | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7838724 | PA      | $7848046.51   | 0.06%             | 2029-08-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C                     | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4070241.60   | 0.03%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                     | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15587016 | PA      | $15663537.75  | 0.13%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2023-5, Class C                     | CUSIP: 80286PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6984777.83   | 0.06%             | 2031-02-18      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                     | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4879563.50   | 0.04%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2023-6, Class B                     | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2530851.00   | 0.02%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                     | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16625000 | PA      | $16768999.10  | 0.14%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-2, Class B                     | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8840000 | PA      | $8951773.84   | 0.07%             | 2031-05-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-2, Class D                     | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3898714.12   | 0.03%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class B                     | CUSIP: 80288DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3930109.95   | 0.03%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class C                     | CUSIP: 80288DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4675509.92   | 0.04%             | 2031-03-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class D                     | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7234000 | PA      | $7405348.14   | 0.06%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2026-1, Class C                     | CUSIP: 80288FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4264720.30   | 0.03%             | 2032-04-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D                    | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1309908 | PA      | $1331681.90   | 0.01%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class A2                   | CUSIP: 80290CCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1567865 | PA      | $1597525.73   | 0.01%             | 2032-06-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B                    | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2371574 | PA      | $2405198.17   | 0.02%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                    | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5780711 | PA      | $5857315.30   | 0.05%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class D                    | CUSIP: 80290CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1778680 | PA      | $1801182.93   | 0.01%             | 2032-06-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                     | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10720560.16  | 0.09%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-4, Class B                     | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817000 | PA      | $823965.09    | 0.01%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-5, Class C                     | CUSIP: 802920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2271883.58   | 0.02%             | 2031-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-4, Class C                     | CUSIP: 802923AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5062593.00   | 0.04%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2023-4, Class B                     | CUSIP: 802927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7291000 | PA      | $7343578.32   | 0.06%             | 2028-12-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2023-4, Class C                     | CUSIP: 802927AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14925000 | PA      | $15343376.11  | 0.12%             | 2031-12-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class A                  | CUSIP: 82650DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4754520 | PA      | $4846992.15   | 0.04%             | 2041-06-20      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class A                  | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5060004 | PA      | $5092954.32   | 0.04%             | 2044-08-22      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class B                  | CUSIP: 82650TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276676 | PA      | $277552.55    | 0.00%             | 2040-06-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                  | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276676 | PA      | $279339.49    | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                  | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3079887 | PA      | $3113875.00   | 0.03%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class B                  | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547529 | PA      | $557577.27    | 0.00%             | 2039-07-20      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                       | Skandinaviska Enskilda Banken AB                                                   | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  15980000 | PA      | $16615754.39  | 0.13%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2059000 | PA      | $2046257.43   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  30415000 | PA      | $31077443.57  | 0.25%             | 2029-05-22      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCL4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  30335000 | PA      | $30472899.27  | 0.25%             | 2030-04-12      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Southwick Park CLO LLC                                 | Southwick Park CLO LLC, Series 2019-4A, Class A1RR                                 | CUSIP: 846031AU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3725251 | PA      | $3724610.71   | 0.03%             | 2032-07-20      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                             | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  33120000 | PA      | $33737300.50  | 0.27%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-CA, Class A3   | CUSIP: 85855EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22500000 | PA      | $22657065.75  | 0.18%             | 2029-04-20      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                             | Street Capital Group, Inc.                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |  12465574 | PA      | $12465574.29  | 0.10%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-2A, Class A                           | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3335591 | PA      | $3397573.70   | 0.03%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class A                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11151851 | PA      | $11341718.39  | 0.09%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class B                           | CUSIP: 86324XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609176 | PA      | $1638590.33   | 0.01%             | 2045-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                        | Sumitomo Mitsui Trust Bank Ltd.                                                    | CUSIP: 86563VBT5<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |  23220000 | PA      | $23461489.39  | 0.19%             | 2027-09-10      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                  | Symphony CLO Ltd., Series 2015-16A, Class ARR                                      | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   3964776 | PA      | $3964577.34   | 0.03%             | 2031-10-15      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                  | Symphony CLO Ltd., Series 2018-19A, Class A                                        | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    438600 | PA      | $438556.06    | 0.00%             | 2031-04-16      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XX Ltd.                                   | Symphony CLO Ltd., Series 2018-20A, Class AR2                                      | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7771632 | PA      | $7780398.35   | 0.06%             | 2032-01-16      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                | Symphony CLO Ltd., Series 2020-23A, Class AR2                                      | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |  12466946 | PA      | $12466160.46  | 0.10%             | 2034-01-15      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXV Ltd.                                  | Symphony CLO Ltd., Series 2021-25A, Class AR                                       | CUSIP: 87167WDC6<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1800115.20   | 0.01%             | 2034-04-19      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                  | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                   | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   1171091 | PA      | $1171733.46   | 0.01%             | 2032-10-13      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                  | TCI-Flatiron CLO Ltd., Series 2018-1A, Class AR2                                   | CUSIP: 87232CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9532793 | PA      | $9531372.71   | 0.08%             | 2035-07-29      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  17770000 | PA      | $17447801.47  | 0.14%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                     | TVC Mortgage Trust, Series 2026-RRTL1, Class A1                                    | CUSIP: 87306XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8339000 | PA      | $8361179.24   | 0.07%             | 2040-04-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                    | Take-Two Interactive Software, Inc.                                                | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1741301.47   | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC        | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A2           | CUSIP: 88162VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4538050 | PA      | $4546168.05   | 0.04%             | 2028-06-20      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC        | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A3           | CUSIP: 88162VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10140000 | PA      | $10205457.76  | 0.08%             | 2028-11-20      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC        | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A4           | CUSIP: 88162VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2825481.96   | 0.02%             | 2029-05-21      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                 | Tesla Auto Lease Trust, Series 2024-A, Class A3                                    | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5689031 | PA      | $5704597.25   | 0.05%             | 2027-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                 | Tesla Auto Lease Trust, Series 2024-B, Class A3                                    | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7616082 | PA      | $7638961.07   | 0.06%             | 2027-10-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                  | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                 | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $13688011.04  | 0.11%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                            | Toronto-Dominion Bank (The)                                                        | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  21905000 | PA      | $22315832.44  | 0.18%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                            | Toronto-Dominion Bank (The)                                                        | CUSIP: 89115KAD2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  27260000 | PA      | $27651999.62  | 0.22%             | 2028-06-02      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                              | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |   9708210 | PA      | $9770985.39   | 0.08%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-CES1, Class A1                              | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7048458 | PA      | $7085756.60   | 0.06%             | 2066-01-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                             | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24167000 | PA      | $24161973.26  | 0.19%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                    | Trans-Allegheny Interstate Line Co.                                                | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5865618.20   | 0.05%             | 2031-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2021-SFR1, Class A                                | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790860 | PA      | $1773907.27   | 0.01%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2021-SFR1, Class B                                | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4060896.25   | 0.03%             | 2038-07-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2024-SFR2, Class A                                | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11359032 | PA      | $11409582.01  | 0.09%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   9645000 | PA      | $10097869.30  | 0.08%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                    | UPG HI Issuer Trust, Series 2025-2, Class A                                        | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9967004 | PA      | $10039996.08  | 0.08%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                             | US Bank NA, Series 2023-1, Class B                                                 | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6232172 | PA      | $6293850.51   | 0.05%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                                | CUSIP: 912797RG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        | 722355000 | PA      | $711266048.94 | 5.74%             | 2026-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                                | CUSIP: 912797TF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15186000 | PA      | $15002274.76  | 0.12%             | 2026-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19020000 | PA      | $18219822.70  | 0.15%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99000000 | PA      | $94367108.88  | 0.76%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9435000 | PA      | $9033643.97   | 0.07%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $16856562.50  | 0.14%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $3119585.75   | 0.03%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 256525000 | PA      | $257016004.24 | 2.07%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 152780000 | PA      | $153920890.76 | 1.24%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31005000 | PA      | $31341695.08  | 0.25%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67785000 | PA      | $68582003.15  | 0.55%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55460000 | PA      | $56140251.29  | 0.45%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 159665000 | PA      | $159515314.06 | 1.29%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24320000 | PA      | $24601200.00  | 0.20%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26305000 | PA      | $26573187.63  | 0.21%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4540000 | PA      | $4608809.38   | 0.04%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18545000 | PA      | $18834041.26  | 0.15%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15365700 | PA      | $15423321.38  | 0.12%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 377600000 | PA      | $381744749.06 | 3.08%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7955000 | PA      | $8000679.12   | 0.06%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 210090000 | PA      | $210016140.76 | 1.69%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 186120000 | PA      | $186330838.60 | 1.50%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 355109000 | PA      | $356121614.62 | 2.87%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55105000 | PA      | $55268592.97  | 0.45%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust, Series 2025-4, Class A2                              | CUSIP: 91684AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24744000 | PA      | $24787883.48  | 0.20%             | 2035-11-20      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust, Series 2025-3, Class A2                              | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10570381 | PA      | $10587866.65  | 0.09%             | 2035-09-20      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust, Series 2025-1, Class A                               | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9650698 | PA      | $9732348.72   | 0.08%             | 2035-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| VOLT C LLC                                             | VOLT C LLC, Series 2021-NPL9, Class A1                                             | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305431 | PA      | $1305699.50   | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                                | Verdant Receivables LLC, Series 2024-1A, Class A2                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3177986 | PA      | $3238214.96   | 0.03%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                                | Verdant Receivables LLC, Series 2025-1A, Class A3                                  | CUSIP: 92340GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11504811.37  | 0.09%             | 2033-05-12      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2023-1, Class B                               | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1401747 | PA      | $1405703.77   | 0.01%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2023-1, Class C                               | CUSIP: 924933AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1526953.65   | 0.01%             | 2028-11-15      | Fixed         | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2025-1, Class A                               | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290858 | PA      | $2300974.23   | 0.02%             | 2028-09-15      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2026-1, Class A                               | CUSIP: 92511CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4707219 | PA      | $4709007.25   | 0.04%             | 2028-08-15      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust, Series 2024-1, Class A                               | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254945 | PA      | $255496.93    | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                 | Virginia Power Fuel Securitization LLC, Series A-1                                 | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   1964797 | PA      | $1975068.77   | 0.02%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                            | Visio Trust, Series 2019-2, Class A1                                               | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78870 | PA      | $78551.35     | 0.00%             | 2054-11-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   4875000 | PA      | $4905849.00   | 0.04%             | 2030-10-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                            | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $20187657.80  | 0.16%             | 2027-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                            | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  18545000 | PA      | $18643667.19  | 0.15%             | 2027-09-11      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                           | VOLT XCV LLC, Series 2021-NPL4, Class A1                                           | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720771 | PA      | $721030.75    | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                          | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                            | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11818000 | PA      | $11877464.63  | 0.10%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                          | Volvo Financial Equipment LLC, Series 2025-1A, Class A3                            | CUSIP: 92887TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8108000 | PA      | $8180233.36   | 0.07%             | 2029-05-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                         | VStrong Auto Receivables Trust, Series 2023-A, Class B                             | CUSIP: 92920CAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3891069 | PA      | $3961812.30   | 0.03%             | 2030-02-15      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14645000 | PA      | $14569309.22  | 0.12%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14025000 | PA      | $14178970.94  | 0.11%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  16450000 | PA      | $17018384.18  | 0.14%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7920000 | PA      | $8352604.02   | 0.07%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  23760000 | PA      | $24195008.77  | 0.20%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  22970000 | PA      | $23418273.33  | 0.19%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U4D2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  19640000 | PA      | $19709595.13  | 0.16%             | 2030-01-23      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class A2                   | CUSIP: 95001ABA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894291 | PA      | $880294.91    | 0.01%             | 2050-11-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                   | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1714864 | PA      | $1710577.15   | 0.01%             | 2040-02-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                        | Western Funding Auto Loan Trust, Series 2025-1, Class A                            | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8635000 | PA      | $8738547.47   | 0.07%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                     | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7072000 | PA      | $7198976.35   | 0.06%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                   | Westgate Resorts LLC, Series 2024-1A, Class A                                      | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5289155 | PA      | $5373892.82   | 0.04%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                   | Westgate Resorts LLC, Series 2024-1A, Class B                                      | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3819945 | PA      | $3882284.69   | 0.03%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                     | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5082987.00   | 0.04%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-3A, Class B                     | CUSIP: 96041CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4119582 | PA      | $4125696.27   | 0.03%             | 2028-09-15      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                     | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6456015.36   | 0.05%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                     | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3573707.20   | 0.03%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2024-3A, Class C                     | CUSIP: 96043CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6864100.20   | 0.06%             | 2029-11-15      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2025-3A, Class C                     | CUSIP: 96043QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $4853380.32   | 0.04%             | 2031-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2025-1A, Class D                     | CUSIP: 96043VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2813402.90   | 0.02%             | 2030-11-15      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                               | Westpac New Zealand Ltd.                                                           | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   8935000 | PA      | $9122979.35   | 0.07%             | 2028-02-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                               | Westpac New Zealand Ltd.                                                           | CUSIP: 96122FAB3<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |  10695000 | PA      | $10830559.13  | 0.09%             | 2027-02-26      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                         | Wheels Fleet Lease Funding LLC, Series 2024-1A, Class A1                           | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   7070390 | PA      | $7149132.31   | 0.06%             | 2039-02-18      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                          | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8157131 | PA      | $8203366.31   | 0.07%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust       | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3          | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8050000 | PA      | $8112569.43   | 0.07%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -3955 | NC      | $-1334429.06  | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     11785 | NC      | $2474086.55   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1618 | NC      | $-800464.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bond                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -111 | NC      | $-162351.60   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Note                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -789 | NC      | $-531543.81   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-1728.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer