# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-046969
**Filing Date:** 2026-5
**Character Count:** 1587531
**Document Hash:** 5f319fac62217afc030437a27c6d6306
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-046969.hdr.sgml**: 20260518

**ACCESSION NUMBER**: 0001410368-26-046969

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260518

**DATE AS OF CHANGE**: 20260518

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26992540

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP JPMorgan Core Bond Fund (Series ID: S000079874)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000241300 | Service Class  |  |
| C000241301 | Standard Class |  |

## Nport-Ex

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments**

March 31, 2026 (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–3.53%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–3.53%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–3.53%** |
| Federal Home Loan Mortgage Corp. REMICS  | Federal Home Loan Mortgage Corp. REMICS  | Federal Home Loan Mortgage Corp. REMICS  |
| &nbsp;&nbsp;&nbsp; Series 1981 Class Z 6.00% <br> 5/15/27<br>| 21 | $21 |
| &nbsp;&nbsp;&nbsp; Series 1987 Class PE 7.50% <br> 9/15/27<br>| 723 | 733 |
| &nbsp;&nbsp;&nbsp; Series 1999 Class PU 7.00% <br> 10/15/27<br>| 116 | 116 |
| &nbsp;&nbsp;&nbsp; Series 2031 Class PG 7.00% <br> 2/15/28<br>| 4504 | 4584 |
| &nbsp;&nbsp;&nbsp; Series 2035 Class PC 6.95% <br> 3/15/28<br>| 3983 | 4051 |
| &nbsp;&nbsp;&nbsp; \*Series 2038 Class PN 7.00% <br> 3/15/28<br>| 284 | 13 |
| &nbsp;&nbsp;&nbsp; Series 2054 Class PV 7.50% <br> 5/15/28<br>| 463 | 470 |
| &nbsp;&nbsp;&nbsp; Series 2057 Class PE 6.75% <br> 5/15/28<br>| 9207 | 9375 |
| &nbsp;&nbsp;&nbsp; Series 2064 Class TE 7.00% <br> 6/15/28<br>| 468 | 479 |
| &nbsp;&nbsp;&nbsp; Series 2075 Class PH 6.50% <br> 8/15/28<br>| 1177 | 1200 |
| &nbsp;&nbsp;&nbsp; Series 2095 Class PE 6.00% <br> 11/15/28<br>| 3635 | 3695 |
| &nbsp;&nbsp;&nbsp; •Series 2132 Class SB 14.16% <br> (30.05% minus 30 day USD <br> SOFR Average) 3/15/29<br>| 249 | 268 |
| &nbsp;&nbsp;&nbsp; Series 2178 Class PB 7.00% <br> 8/15/29<br>| 2021 | 2082 |
| &nbsp;&nbsp;&nbsp; Series 2182 Class ZB 8.00% <br> 9/15/29<br>| 2421 | 2482 |
| &nbsp;&nbsp;&nbsp; •Series 2204 Class GB 8.00% <br> 12/20/29<br>| 90 | 9 |
| &nbsp;&nbsp;&nbsp; Series 2247 Class Z 7.50% <br> 8/15/30<br>| 1674 | 1749 |
| &nbsp;&nbsp;&nbsp; Series 2259 Class ZC 7.35% <br> 10/15/30<br>| 37485 | 39098 |
| &nbsp;&nbsp;&nbsp; Series 2325 Class PM 7.00% <br> 6/15/31<br>| 829 | 862 |
| &nbsp;&nbsp;&nbsp; Series 2344 Class ZD 6.50% <br> 8/15/31<br>| 7919 | 8166 |
| &nbsp;&nbsp;&nbsp; Series 2344 Class ZJ 6.50% <br> 8/15/31<br>| 1883 | 1960 |
| &nbsp;&nbsp;&nbsp; Series 2345 Class NE 6.50% <br> 8/15/31<br>| 1155 | 1199 |
| &nbsp;&nbsp;&nbsp; Series 2359 Class ZB 8.50% <br> 6/15/31<br>| 4460 | 4749 |
| &nbsp;&nbsp;&nbsp; Series 2367 Class ME 6.50% <br> 10/15/31<br>| 17888 | 18562 |
| &nbsp;&nbsp;&nbsp; ~^Series 2390 Class DO 0.00% <br> 12/15/31<br>| 591 | 574 |
| &nbsp;&nbsp;&nbsp; •Series 2410 Class QS 9.65% <br> (19.20% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 2594 | 2820 |
| &nbsp;&nbsp;&nbsp; \*•Series 2410 Class QX 4.86% <br> (8.54% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 2000 | 157 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; •Series 2412 Class SP 8.53% <br> (15.87% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 2975 | $3098 |
| &nbsp;&nbsp;&nbsp; Series 2423 Class MC 7.00% <br> 3/15/32<br>| 5219 | 5451 |
| &nbsp;&nbsp;&nbsp; Series 2423 Class MT 7.00% <br> 3/15/32<br>| 7732 | 8083 |
| &nbsp;&nbsp;&nbsp; Series 2435 Class CJ 6.50% <br> 4/15/32<br>| 15761 | 16378 |
| &nbsp;&nbsp;&nbsp; \*•Series 2444 Class ES 4.16% <br> (7.84% minus 30 day USD <br> SOFR Average) 3/15/32<br>| 3364 | 277 |
| &nbsp;&nbsp;&nbsp; \*•Series 2450 Class SW 4.21% <br> (7.89% minus 30 day USD <br> SOFR Average) 3/15/32<br>| 2242 | 187 |
| &nbsp;&nbsp;&nbsp; Series 2455 Class GK 6.50% <br> 5/15/32<br>| 6399 | 6660 |
| &nbsp;&nbsp;&nbsp; Series 2484 Class LZ 6.50% <br> 7/15/32<br>| 4451 | 4609 |
| &nbsp;&nbsp;&nbsp; Series 2500 Class MC 6.00% <br> 9/15/32<br>| 9995 | 10303 |
| &nbsp;&nbsp;&nbsp; Series 2543 Class YX 6.00% <br> 12/15/32<br>| 208532 | 215510 |
| &nbsp;&nbsp;&nbsp; Series 2544 Class HC 6.00% <br> 12/15/32<br>| 8500 | 8784 |
| &nbsp;&nbsp;&nbsp; Series 2574 Class PE 5.50% <br> 2/15/33<br>| 60897 | 62314 |
| &nbsp;&nbsp;&nbsp; Series 2575 Class ME 6.00% <br> 2/15/33<br>| 32697 | 33778 |
| &nbsp;&nbsp;&nbsp; \*Series 2586 Class WI 6.50% <br> 3/15/33<br>| 1868 | 245 |
| &nbsp;&nbsp;&nbsp; Series 2647 Class A 3.25% <br> 4/15/32<br>| 7861 | 7729 |
| &nbsp;&nbsp;&nbsp; Series 2764 Class UG 5.00% <br> 3/15/34<br>| 52918 | 53662 |
| &nbsp;&nbsp;&nbsp; Series 2949 Class GE 5.50% <br> 3/15/35<br>| 72721 | 74599 |
| &nbsp;&nbsp;&nbsp; Series 3047 Class OD 5.50% <br> 10/15/35<br>| 43009 | 43874 |
| &nbsp;&nbsp;&nbsp; •Series 3085 Class VS 13.57% <br> (28.26% minus 30 day USD <br> SOFR Average) 12/15/35<br>| 18717 | 22276 |
| &nbsp;&nbsp;&nbsp; Series 3098 Class KG 5.50% <br> 1/15/36<br>| 65610 | 66975 |
| &nbsp;&nbsp;&nbsp; ~^Series 3117 Class EO 0.00% <br> 2/15/36<br>| 5418 | 4650 |
| &nbsp;&nbsp;&nbsp; \*•Series 3260 Class CS 2.35% <br> (6.03% minus 30 day USD <br> SOFR Average) 1/15/37<br>| 6658 | 517 |
| &nbsp;&nbsp;&nbsp; \*•Series 3380 Class SI 2.58% <br> (6.26% minus 30 day USD <br> SOFR Average) 10/15/37<br>| 362434 | 30064 |
| &nbsp;&nbsp;&nbsp; \*•Series 3385 Class SN 2.21% <br> (5.89% minus 30 day USD <br> SOFR Average) 11/15/37<br>| 5729 | 318 |

---

*LVIP JPMorgan Core Bond Fund–1*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  | Federal Home Loan Mortgage Corp. REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; \*•Series 3387 Class SA 2.63% <br> (6.31% minus 30 day USD <br> SOFR Average) 11/15/37<br>| 17534 | $1465 |
| &nbsp;&nbsp;&nbsp; Series 3423 Class PB 5.50% <br> 3/15/38<br>| 75010 | 77347 |
| &nbsp;&nbsp;&nbsp; \*•Series 3451 Class SA 2.26% <br> (5.94% minus 30 day USD <br> SOFR Average) 5/15/38<br>| 1772 | 142 |
| &nbsp;&nbsp;&nbsp; \*•Series 3455 Class SE 2.41% <br> (6.09% minus 30 day USD <br> SOFR Average) 6/15/38<br>| 59469 | 4926 |
| &nbsp;&nbsp;&nbsp; Series 3786 Class PD 4.50% <br> 1/15/41<br>| 407000 | 399148 |
| &nbsp;&nbsp;&nbsp; \*•Series 3973 Class SA 2.70% <br> (6.38% minus 30 day USD <br> SOFR Average) 12/15/41<br>| 266410 | 26927 |
| &nbsp;&nbsp;&nbsp; Series 4664 Class UZ 4.00% <br> 3/15/47<br>| 1432472 | 1344640 |
| &nbsp;&nbsp;&nbsp; Series 4676 Class KZ 2.50% <br> 7/15/45<br>| 165792 | 145840 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CB 3.00% <br> 5/15/48<br>| 376667 | 329734 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CD 3.00% <br> 6/15/48<br>| 247334 | 217581 |
| &nbsp;&nbsp;&nbsp; Series 4813 Class CJ 3.00% <br> 8/15/48<br>| 229701 | 201825 |
| &nbsp;&nbsp;&nbsp; Series 4991 Class QV 2.00% <br> 9/25/45<br>| 351292 | 307397 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class IK 2.50% <br> 9/25/50<br>| 281356 | 43006 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class JI 2.50% <br> 9/25/50<br>| 754247 | 124324 |
| &nbsp;&nbsp;&nbsp; \*Series 5013 Class IN 2.50% <br> 9/25/50<br>| 342504 | 56862 |
| &nbsp;&nbsp;&nbsp; \*Series 5018 Class MI 2.00% <br> 10/25/50<br>| 708124 | 95410 |
| &nbsp;&nbsp;&nbsp; \*Series 5059 Class IB 2.50% <br> 1/25/51<br>| 1086777 | 181987 |
| &nbsp;&nbsp;&nbsp; Series 5092 Class AP 2.00% <br> 4/25/41<br>| 434922 | 386001 |
| &nbsp;&nbsp;&nbsp; \*Series 5140 Class NI 2.50% <br> 5/25/49<br>| 1207213 | 167197 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class BI 2.50% <br> 1/25/49<br>| 2456976 | 350507 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class CI 2.00% <br> 6/25/49<br>| 1180720 | 145238 |
| &nbsp;&nbsp;&nbsp; \*Series 5202 Class IN 3.00% <br> 1/25/47<br>| 919501 | 114059 |
| &nbsp;&nbsp;&nbsp; Series 5224 Class HL 4.00% <br> 4/25/52<br>| 1300000 | 1191534 |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2017-4 Class HT 3.25% <br> 6/25/57<br>| 8696809 | 7855911 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2019-1 Class MT <br> 3.50% 7/25/58<br>| 2394996 | $2143530 |
| &nbsp;&nbsp;&nbsp; Series 2019-3 Class MB <br> 3.50% 10/25/58<br>| 292308 | 246142 |
| &nbsp;&nbsp;&nbsp; Series 2022-1 Class MTU <br> 3.25% 11/25/61<br>| 672630 | 583331 |
| &nbsp;&nbsp;&nbsp; Series 2022-2 Class M5TU <br> 4.00% 4/25/62<br>| 3962915 | 3689047 |
| &nbsp;&nbsp;&nbsp; Series 2023-1 Class MT <br> 3.00% 10/25/62<br>| 1102468 | 926032 |
| &nbsp;&nbsp;&nbsp; Series 2024-2 Class MT <br> 3.50% 5/25/64<br>| 5137131 | 4463217 |
| •Federal Home Loan Mortgage Corp. STACR REMICS Trust  | •Federal Home Loan Mortgage Corp. STACR REMICS Trust  | •Federal Home Loan Mortgage Corp. STACR REMICS Trust  |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA5 Class M2 <br> 5.31% (30 day USD SOFR <br> Average + 1.65%) 1/25/34<br>| 286251 | 287003 |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA6 Class M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 10/25/41<br>| 1852158 | 1853861 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA1 Class M2 <br> 6.16% (30 day USD SOFR <br> Average + 2.50%) 1/25/42<br>| 1001000 | 1008464 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA2 Class M1A <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 2/25/42<br>| 394725 | 394936 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA3 Class M1B <br> 6.56% (30 day USD SOFR <br> Average + 2.90%) 4/25/42<br>| 2640000 | 2677148 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA4 Class M1B <br> 7.01% (30 day USD SOFR <br> Average + 3.35%) 5/25/42<br>| 700000 | 714640 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA2 Class M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 422000 | 420321 |
| Federal Home Loan Mortgage Corp. STRIPS | Federal Home Loan Mortgage Corp. STRIPS | Federal Home Loan Mortgage Corp. STRIPS |
| &nbsp;&nbsp;&nbsp; \*Series 233 Class 11 5.00% <br> 9/15/35<br>| 11320 | 1676 |
| &nbsp;&nbsp;&nbsp; \*•Series 239 Class S30 3.91% <br> (7.59% minus 30 day USD <br> SOFR Average) 8/15/36<br>| 13109 | 1679 |
| &nbsp;&nbsp;&nbsp; Series 262 Class 35 3.50% <br> 7/15/42<br>| 65630 | 62073 |
| &nbsp;&nbsp;&nbsp; Series 299 Class 300 3.00% <br> 1/15/43<br>| 39813 | 36355 |
| &nbsp;&nbsp;&nbsp; \*•Series 334 Class S7 2.31% <br> (5.99% minus 30 day USD <br> SOFR Average) 8/15/44<br>| 471346 | 48386 |
| &nbsp;&nbsp;&nbsp; \*•Series 353 Class S1 2.21% <br> (5.89% minus 30 day USD <br> SOFR Average) 12/15/46<br>| 194468 | 19787 |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates |
| &nbsp;&nbsp;&nbsp; ♦•Series T-41 Class 3A 4.45% <br> 7/25/32<br>| 4734 | 4560 |

---

*LVIP JPMorgan Core Bond Fund–2*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates (continued) |
| &nbsp;&nbsp;&nbsp; ♦Series T-54 Class 2A 6.50% <br> 2/25/43<br>| 41126 | $41425 |
| &nbsp;&nbsp;&nbsp; ♦Series T-54 Class 3A 7.00% <br> 2/25/43<br>| 17648 | 18441 |
| &nbsp;&nbsp;&nbsp; ~♦^Series T-56 Class A 0.00% <br> 5/25/43<br>| 128258 | 100529 |
| &nbsp;&nbsp;&nbsp; ♦Series T-58 Class 2A 6.50% <br> 9/25/43<br>| 10323 | 10762 |
| &nbsp;&nbsp;&nbsp; ~♦^Series T-58 Class A 0.00% <br> 9/25/43<br>| 5437 | 4604 |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-R01 Class 1M2 <br> 5.21% (30 day USD SOFR <br> Average + 1.55%) 10/25/41<br>| 418138 | 419239 |
| &nbsp;&nbsp;&nbsp; Series 2022-R02 Class 2M2 <br> 6.66% (30 day USD SOFR <br> Average + 3.00%) 1/25/42<br>| 382205 | 386016 |
| &nbsp;&nbsp;&nbsp; Series 2022-R03 Class 1M2 <br> 7.16% (30 day USD SOFR <br> Average + 3.50%) 3/25/42<br>| 760000 | 774922 |
| &nbsp;&nbsp;&nbsp; Series 2023-R06 Class 1M2 <br> 6.36% (30 day USD SOFR <br> Average + 2.70%) 7/25/43<br>| 1550000 | 1584035 |
| &nbsp;&nbsp;&nbsp; Series 2023-R08 Class 1M1 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 10/25/43<br>| 328827 | 328825 |
| &nbsp;&nbsp;&nbsp; Series 2024-R04 Class 1A1 <br> 4.66% (30 day USD SOFR <br> Average + 1.00%) 5/25/44<br>| 1244483 | 1242750 |
| &nbsp;&nbsp;&nbsp; Series 2025-R01 Class 1M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 1/25/45<br>| 506000 | 503430 |
| &nbsp;&nbsp;&nbsp; Series 2025-R02 Class 1M2 <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 2/25/45<br>| 432000 | 431750 |
| &nbsp;&nbsp;&nbsp; Series 2025-R03 Class 2M1 <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 3/25/45<br>| 405416 | 405735 |
| &nbsp;&nbsp;&nbsp; Series 2025-R04 Class 1M2 <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 1073000 | 1068099 |
| &nbsp;&nbsp; Federal National Mortgage <br> Association Grantor Trust <br> Series 2017-T1 Class A 2.90% <br> 6/25/27<br>| 660510 | 650621 |
| Federal National Mortgage Association Interest STRIPS | Federal National Mortgage Association Interest STRIPS | Federal National Mortgage Association Interest STRIPS |
| &nbsp;&nbsp;&nbsp; ~^Series 329 Class 1 0.00% <br> 1/25/33<br>| 900 | 808 |
| &nbsp;&nbsp;&nbsp; \*Series 365 Class 8 5.50% <br> 5/25/36<br>| 4779 | 783 |
| &nbsp;&nbsp;&nbsp; \*Series 427 Class C73 3.00% <br> 12/25/48<br>| 1506813 | 246391 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS  | Federal National Mortgage Association REMICS  | Federal National Mortgage Association REMICS  |
| &nbsp;&nbsp;&nbsp; Series 1997-39 Class PD <br> 7.50% 5/20/27<br>| 224 | $226 |
| &nbsp;&nbsp;&nbsp; Series 1997-46 Class PL <br> 6.00% 7/18/27<br>| 276 | 277 |
| &nbsp;&nbsp;&nbsp; Series 1998-36 Class ZB <br> 6.00% 7/18/28<br>| 356 | 359 |
| &nbsp;&nbsp;&nbsp; Series 1998-46 Class GZ <br> 6.50% 8/18/28<br>| 988 | 1005 |
| &nbsp;&nbsp;&nbsp; Series 1998-58 Class PC <br> 6.50% 10/25/28<br>| 3455 | 3521 |
| &nbsp;&nbsp;&nbsp; \*Series 1999-39 Class JH <br> 6.50% 8/25/29<br>| 6050 | 289 |
| &nbsp;&nbsp;&nbsp; \*Series 2000-52 IO 8.50% <br> 1/25/31<br>| 523 | 58 |
| &nbsp;&nbsp;&nbsp; Series 2001-30 Class PM <br> 7.00% 7/25/31<br>| 4525 | 4709 |
| &nbsp;&nbsp;&nbsp; \*Series 2001-33 Class ID <br> 6.00% 7/25/31<br>| 18825 | 1961 |
| &nbsp;&nbsp;&nbsp; Series 2001-36 Class DE <br> 7.00% 8/25/31<br>| 9007 | 9402 |
| &nbsp;&nbsp;&nbsp; Series 2001-44 Class PD <br> 7.00% 9/25/31<br>| 521 | 535 |
| &nbsp;&nbsp;&nbsp; Series 2001-61 Class Z 7.00% <br> 11/25/31<br>| 14014 | 14653 |
| &nbsp;&nbsp;&nbsp; •Series 2002-1 Class SA <br> 12.91% (24.82% minus 30 <br> day USD SOFR Average) <br> 2/25/32<br>| 383 | 449 |
| &nbsp;&nbsp;&nbsp; \*•Series 2002-13 Class SJ <br> 1.60% (7.99% minus 30 day <br> USD SOFR Average) <br> 3/25/32<br>| 6997 | 108 |
| &nbsp;&nbsp;&nbsp; ~^Series 2002-15 0.00% <br> 4/25/32<br>| 7305 | 6945 |
| &nbsp;&nbsp;&nbsp; Series 2002-28 Class PK <br> 6.50% 5/25/32<br>| 5275 | 5467 |
| &nbsp;&nbsp;&nbsp; \*•Series 2002-68 Class SH <br> 4.21% (7.89% minus 30 day <br> USD SOFR Average) <br> 10/18/32<br>| 12486 | 952 |
| &nbsp;&nbsp;&nbsp; •Series 2002-77 Class S 7.56% <br> (14.27% minus 30 day USD <br> SOFR Average) 12/25/32<br>| 1219 | 1300 |
| &nbsp;&nbsp;&nbsp; \*•Series 2003-116 Class SB <br> 3.82% (7.49% minus 30 day <br> USD SOFR Average) <br> 11/25/33<br>| 15299 | 1102 |
| &nbsp;&nbsp;&nbsp; •Series 2003-130 Class SX <br> 5.86% (11.35% minus 30 day <br> USD SOFR Average) <br> 1/25/34<br>| 130 | 132 |
| &nbsp;&nbsp;&nbsp; Series 2003-131 Class CH <br> 5.50% 1/25/34<br>| 23553 | 23981 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-132 Class OA <br> 0.00% 8/25/33<br>| 158 | 154 |

---

*LVIP JPMorgan Core Bond Fund–3*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2003-22 Class UD <br> 4.00% 4/25/33<br>| 35029 | $34719 |
| &nbsp;&nbsp;&nbsp; \*Series 2003-44 Class IU <br> 7.00% 6/25/33<br>| 7252 | 1021 |
| &nbsp;&nbsp;&nbsp; Series 2003-47 Class PE <br> 5.75% 6/25/33<br>| 5925 | 6094 |
| &nbsp;&nbsp;&nbsp; •Series 2003-64 Class SX <br> 4.29% (13.46% minus 30 day <br> USD SOFR Average) <br> 7/25/33<br>| 1157 | 1131 |
| &nbsp;&nbsp;&nbsp; Series 2003-7 Class A1 6.50% <br> 12/25/42<br>| 62137 | 63631 |
| &nbsp;&nbsp;&nbsp; •Series 2003-71 Class DS <br> 2.42% (7.31% minus 30 day <br> USD SOFR Average) <br> 8/25/33<br>| 9636 | 8983 |
| &nbsp;&nbsp;&nbsp; •Series 2003-91 Class SD <br> 6.21% (12.31% minus 30 day <br> USD SOFR Average) <br> 9/25/33<br>| 1789 | 1853 |
| &nbsp;&nbsp;&nbsp; Series 2004-35 Class AZ <br> 4.50% 5/25/34<br>| 29742 | 29679 |
| &nbsp;&nbsp;&nbsp; •Series 2004-36 Class SA <br> 9.14% (19.21% minus 30 day <br> USD SOFR Average) <br> 5/25/34<br>| 10872 | 11570 |
| &nbsp;&nbsp;&nbsp; •Series 2004-46 Class SK <br> 6.12% (16.19% minus 30 day <br> USD SOFR Average) <br> 5/25/34<br>| 2999 | 3065 |
| &nbsp;&nbsp;&nbsp; •Series 2004-51 Class SY <br> 6.69% (14.01% minus 30 day <br> USD SOFR Average) <br> 7/25/34<br>| 1084 | 1091 |
| &nbsp;&nbsp;&nbsp; •Series 2004-61 Class SK <br> 8.50% (50.19% minus 30 day <br> USD SOFR Average) <br> 11/25/32<br>| 6029 | 6374 |
| &nbsp;&nbsp;&nbsp; Series 2004-79 Class ZE <br> 5.50% 11/25/34<br>| 146275 | 148848 |
| &nbsp;&nbsp;&nbsp; Series 2004-91 Class HC <br> 6.00% 12/25/34<br>| 148083 | 152656 |
| &nbsp;&nbsp;&nbsp; •Series 2005-45 Class DC <br> 10.46% (23.89% minus 30 <br> day USD SOFR Average) <br> 6/25/35<br>| 15712 | 17216 |
| &nbsp;&nbsp;&nbsp; Series 2005-84 Class XM <br> 5.75% 10/25/35<br>| 7632 | 7851 |
| &nbsp;&nbsp;&nbsp; ~^Series 2006-110 0.00% <br> 11/25/36<br>| 7376 | 6379 |
| &nbsp;&nbsp;&nbsp; \*•Series 2006-117 Class GS <br> 2.87% (6.54% minus 30 day <br> USD SOFR Average) <br> 12/25/36<br>| 15638 | 1411 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; ~^Series 2006-22 Class AO <br> 0.00% 4/25/36<br>| 8067 | $7043 |
| &nbsp;&nbsp;&nbsp; •Series 2006-46 Class SW <br> 10.35% (23.78% minus 30 <br> day USD SOFR Average) <br> 6/25/36<br>| 2442 | 2655 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-100 Class SM <br> 2.67% (6.34% minus 30 day <br> USD SOFR Average) <br> 10/25/37<br>| 13921 | 1278 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-53 Class SH <br> 2.32% (5.99% minus 30 day <br> USD SOFR Average) <br> 6/25/37<br>| 19344 | 1522 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-7 Class SG 2.72% <br> (6.39% minus 30 day USD <br> SOFR Average) 8/25/36<br>| 41293 | 2678 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-88 Class VI <br> 2.76% (6.43% minus 30 day <br> USD SOFR Average) <br> 9/25/37<br>| 26773 | 2290 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-1 Class BI 2.13% <br> (5.80% minus 30 day USD <br> SOFR Average) 2/25/38<br>| 14995 | 1045 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-16 Class IS <br> 2.42% (6.09% minus 30 day <br> USD SOFR Average) <br> 3/25/38<br>| 4442 | 320 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-46 Class HI <br> 2.27% 6/25/38<br>| 6504 | 355 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-53 Class CI <br> 3.42% (7.09% minus 30 day <br> USD SOFR Average) <br> 7/25/38<br>| 4779 | 525 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-112 Class ST <br> 2.47% (6.14% minus 30 day <br> USD SOFR Average) <br> 1/25/40<br>| 13591 | 1132 |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-100 Class SV <br> 2.85% (6.52% minus 30 day <br> USD SOFR Average) <br> 9/25/40<br>| 555123 | 53552 |
| &nbsp;&nbsp;&nbsp; Series 2010-102 Class PN <br> 5.00% 9/25/40<br>| 163121 | 164485 |
| &nbsp;&nbsp;&nbsp; Series 2010-134 Class KZ <br> 4.50% 12/25/40<br>| 222961 | 210791 |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-35 Class SB <br> 2.64% (6.31% minus 30 day <br> USD SOFR Average) <br> 4/25/40<br>| 5027 | 447 |
| &nbsp;&nbsp;&nbsp; Series 2010-80 Class PZ <br> 5.00% 7/25/40<br>| 177645 | 180670 |
| &nbsp;&nbsp;&nbsp; Series 2012-118 Class VZ <br> 3.00% 11/25/42<br>| 604502 | 552261 |

---

*LVIP JPMorgan Core Bond Fund–4*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2012-30 Class DZ <br> 4.00% 4/25/42<br>| 116267 | $112656 |
| &nbsp;&nbsp;&nbsp; ~^Series 2013-128 0.00% <br> 12/25/43<br>| 54258 | 41149 |
| &nbsp;&nbsp;&nbsp; Series 2013-44 Class Z 3.00% <br> 5/25/43<br>| 18783 | 14862 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-54 Class BS <br> 2.37% (6.04% minus 30 day <br> USD SOFR Average) <br> 6/25/43<br>| 37900 | 3925 |
| &nbsp;&nbsp;&nbsp; Series 2013-67 Class KZ <br> 2.50% 4/25/43<br>| 962466 | 836556 |
| &nbsp;&nbsp;&nbsp; \*Series 2014-15 Class JI <br> 3.50% 4/25/29<br>| 611220 | 20687 |
| &nbsp;&nbsp;&nbsp; Series 2014-19 Class Z 4.50% <br> 4/25/44<br>| 379051 | 373740 |
| &nbsp;&nbsp;&nbsp; \*Series 2014-38 Class QI <br> 5.50% 12/25/43<br>| 167629 | 21456 |
| &nbsp;&nbsp;&nbsp; Series 2015-65 Class CZ <br> 3.50% 9/25/45<br>| 723779 | 625504 |
| &nbsp;&nbsp;&nbsp; Series 2016-38 Class NA <br> 3.00% 1/25/46<br>| 55945 | 52224 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-61 Class BS <br> 2.32% (5.99% minus 30 day <br> USD SOFR Average) <br> 9/25/46<br>| 600793 | 36174 |
| &nbsp;&nbsp;&nbsp; Series 2017-40 Class GZ <br> 3.50% 5/25/47<br>| 220037 | 204119 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-76 Class SB <br> 2.32% (5.99% minus 30 day <br> USD SOFR Average) <br> 10/25/57<br>| 698955 | 87753 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-85 Class SC <br> 2.42% (6.09% minus 30 day <br> USD SOFR Average) <br> 11/25/47<br>| 117900 | 9541 |
| &nbsp;&nbsp;&nbsp; Series 2020-46 Class KB <br> 1.25% 6/25/50<br>| 7162815 | 5543479 |
| &nbsp;&nbsp;&nbsp; Series 2020-47 Class GZ <br> 2.00% 7/25/50<br>| 673060 | 400230 |
| &nbsp;&nbsp;&nbsp; Series 2020-56 Class AQ <br> 2.00% 8/25/50<br>| 1957946 | 1570970 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-56 Class DI <br> 2.50% 8/25/50<br>| 328348 | 54065 |
| &nbsp;&nbsp;&nbsp; Series 2020-57 Class TA <br> 2.00% 4/25/50<br>| 1089263 | 973792 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-73 Class KI <br> 3.00% 10/25/50<br>| 422213 | 73893 |
| &nbsp;&nbsp;&nbsp; Series 2020-90 Class PE <br> 2.00% 12/25/50<br>| 1151391 | 923141 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class EP 1.00% <br> 11/25/50<br>| 511624 | 388689 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-1 Class IG 2.50% <br> 2/25/51<br>| 1121203 | 189810 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  | Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2021-25 Class GA <br> 1.00% 5/25/51<br>| 845837 | $646365 |
| &nbsp;&nbsp;&nbsp; Series 2021-28 Class LB <br> 2.00% 4/25/51<br>| 1018066 | 848671 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class QI 2.50% <br> 2/25/51<br>| 1312670 | 205046 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-43 IO 2.50% <br> 6/25/51<br>| 2413508 | 373305 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-44 Class MI <br> 2.50% 7/25/51<br>| 652597 | 112886 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-61 Class KI <br> 2.50% 4/25/49<br>| 2312193 | 335448 |
| &nbsp;&nbsp;&nbsp; Series 2021-65 Class JA <br> 2.00% 1/25/46<br>| 348111 | 316226 |
| &nbsp;&nbsp;&nbsp; Series 2021-86 Class MA <br> 2.50% 11/25/47<br>| 8275437 | 7584049 |
| &nbsp;&nbsp;&nbsp; Series 2021-95 Class GA <br> 1.88% 3/25/51<br>| 7316307 | 6150963 |
| &nbsp;&nbsp;&nbsp; Series 2022-29 Class KZ <br> 1.50% 6/25/42<br>| 1376891 | 1057946 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-86 IO 2.50% <br> 5/25/50<br>| 1452947 | 202432 |
| Federal National Mortgage Association REMICS Trust  | Federal National Mortgage Association REMICS Trust  | Federal National Mortgage Association REMICS Trust  |
| &nbsp;&nbsp;&nbsp; ~^Series 1999-W1 0.00% <br> 2/25/29<br>| 3376 | 3108 |
| &nbsp;&nbsp;&nbsp; Series 1999-W4 Class A9 <br> 6.25% 2/25/29<br>| 9943 | 10021 |
| &nbsp;&nbsp;&nbsp; Series 2002-W7 Class A4 <br> 6.00% 6/25/29<br>| 59141 | 59866 |
| &nbsp;&nbsp;&nbsp; •Series 2003-W1 Class 1A1 <br> 4.67% 12/25/42<br>| 74290 | 73366 |
| &nbsp;&nbsp;&nbsp; •Series 2003-W1 Class 2A <br> 5.03% 12/25/42<br>| 11579 | 11448 |
| &nbsp;&nbsp;&nbsp; Series 2004-W11 Class 1A2 <br> 6.50% 5/25/44<br>| 2979 | 3056 |
| &nbsp;&nbsp; Federal National Mortgage <br> Association Trust Series <br> 2004-W2 Class 2A2 7.00% <br> 2/25/44<br>| 3200 | 3307 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; •Series 2014-17 Class AM <br> 3.53% 6/16/48<br>| 3305 | 3173 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-128 IO 0.82% <br> 9/16/56<br>| 2196682 | 86845 |
| &nbsp;&nbsp;&nbsp; Series 2020-103 Class AD <br> 1.45% 1/16/63<br>| 1324094 | 1004445 |
| &nbsp;&nbsp;&nbsp; Series 2021-2 Class AH <br> 1.50% 6/16/63<br>| 157013 | 116079 |
| Government National Mortgage Association REMICS  | Government National Mortgage Association REMICS  | Government National Mortgage Association REMICS  |
| &nbsp;&nbsp;&nbsp; Series 2001-10 Class PE <br> 6.50% 3/16/31<br>| 52461 | 53617 |
| &nbsp;&nbsp;&nbsp; •Series 2004-28 Class S 9.25% <br> (19.35% minus 1 mo. USD <br> Term SOFR) 4/16/34<br>| 4200 | 4500 |

---

*LVIP JPMorgan Core Bond Fund–5*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2006-38 Class OH <br> 6.50% 8/20/36<br>| 335196 | $357001 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-45 Class QA <br> 2.85% (6.53% minus 1 mo. <br> USD Term SOFR) 7/20/37<br>| 22690 | 2065 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-51 Class SG <br> 2.79% (6.47% minus 1 mo. <br> USD Term SOFR) 8/20/37<br>| 72241 | 6578 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-76 Class SA <br> 2.74% (6.42% minus 1 mo. <br> USD Term SOFR) 11/20/37<br>| 18820 | 1700 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-2 Class MS <br> 3.37% (7.05% minus 1 mo. <br> USD Term SOFR) 1/16/38<br>| 18871 | 2035 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-55 Class SA <br> 2.41% (6.09% minus 1 mo. <br> USD Term SOFR) 6/20/38<br>| 11289 | 915 |
| &nbsp;&nbsp;&nbsp; Series 2009-104 Class KB <br> 5.50% 11/16/39<br>| 236000 | 238998 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-106 Class ST <br> 2.21% (5.89% minus 1 mo. <br> USD Term SOFR) 2/20/38<br>| 54444 | 3551 |
| &nbsp;&nbsp;&nbsp; \*Series 2009-14 Class KI <br> 6.50% 3/20/39<br>| 17283 | 3841 |
| &nbsp;&nbsp;&nbsp; \*Series 2009-14 Class NI <br> 6.50% 3/20/39<br>| 12705 | 2647 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-22 Class SA <br> 2.48% (6.16% minus 1 mo. <br> USD Term SOFR) 4/20/39<br>| 23833 | 1267 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-31 Class TS <br> 2.51% (6.19% minus 1 mo. <br> USD Term SOFR) 3/20/39<br>| 5996 | 74 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-6 Class SA 2.31% <br> (5.99% minus 1 mo. USD <br> Term SOFR) 2/16/39<br>| 6508 | 515 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-6 Class SH 2.25% <br> (5.93% minus 1 mo. USD <br> Term SOFR) 2/20/39<br>| 21671 | 1664 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-64 Class SN <br> 2.31% (5.99% minus 1 mo. <br> USD Term SOFR) 7/16/39<br>| 15321 | 554 |
| &nbsp;&nbsp;&nbsp; ~^Series 2009-79 Class OK <br> 0.00% 11/16/37<br>| 11892 | 10002 |
| &nbsp;&nbsp;&nbsp; Series 2010-130 Class CP <br> 7.00% 10/16/40<br>| 16215 | 17490 |
| &nbsp;&nbsp;&nbsp; \*•Series 2011-75 Class SM <br> 2.81% (6.49% minus 1 mo. <br> USD Term SOFR) 5/20/41<br>| 31532 | 2472 |
| &nbsp;&nbsp;&nbsp; •Series 2011-H19 Class FA <br> 4.25% (1 mo. USD Term <br> SOFR + 0.58%) 8/20/61<br>| 32509 | 32495 |
| &nbsp;&nbsp;&nbsp; •Series 2012-H23 Class SA <br> 4.31% (1 mo. USD Term <br> SOFR + 0.64%) 10/20/62<br>| 33306 | 33240 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2013-113 Class LY <br> 3.00% 5/20/43<br>| 197900 | $184794 |
| &nbsp;&nbsp;&nbsp; \*Series 2013-53 Class OI <br> 3.50% 4/20/43<br>| 185137 | 28259 |
| &nbsp;&nbsp;&nbsp; Series 2013-69 Class MA <br> 1.50% 8/20/42<br>| 124584 | 112247 |
| &nbsp;&nbsp;&nbsp; •Series 2013-H08 Class FC <br> 4.23% (1 mo. USD Term <br> SOFR + 0.56%) 2/20/63<br>| 60831 | 60878 |
| &nbsp;&nbsp;&nbsp; Series 2013-H09 Class HA <br> 1.65% 4/20/63<br>| 2491 | 2371 |
| &nbsp;&nbsp;&nbsp; •Series 2014-H17 Class FC <br> 4.28% (1 mo. USD Term <br> SOFR + 0.61%) 7/20/64<br>| 47870 | 47939 |
| &nbsp;&nbsp;&nbsp; •Series 2015-137 Class WA <br> 5.55% 1/20/38<br>| 93913 | 95997 |
| &nbsp;&nbsp;&nbsp; •Series 2015-H16 Class FG <br> 4.22% (1 mo. USD Term <br> SOFR + 0.55%) 7/20/65<br>| 92402 | 92335 |
| &nbsp;&nbsp;&nbsp; •Series 2015-H30 Class FE <br> 4.38% (1 mo. USD Term <br> SOFR + 0.71%) 11/20/65<br>| 130648 | 130914 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-135 Class SB <br> 2.31% (5.99% minus 1 mo. <br> USD Term SOFR) 10/16/46<br>| 371489 | 45099 |
| &nbsp;&nbsp;&nbsp; Series 2016-135 Class Z <br> 3.00% 10/20/46<br>| 265195 | 224333 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-21 Class ST <br> 2.36% (6.04% minus 1 mo. <br> USD Term SOFR) 2/20/46<br>| 654843 | 70120 |
| &nbsp;&nbsp;&nbsp; \*Series 2016-84 Class IG <br> 4.50% 11/16/45<br>| 975196 | 188767 |
| &nbsp;&nbsp;&nbsp; •Series 2016-H11 Class FD <br> 5.08% (1 yr. USD Term <br> SOFR + 1.12%) 5/20/66<br>| 25930 | 26124 |
| &nbsp;&nbsp;&nbsp; •Series 2016-H26 Class FC <br> 4.78% (1 mo. USD Term <br> SOFR + 1.11%) 12/20/66<br>| 25440 | 25608 |
| &nbsp;&nbsp;&nbsp; Series 2017-163 Class ZK <br> 3.50% 11/20/47<br>| 38658 | 35935 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FK <br> 3.70% (1 yr. CMT + 0.20%) <br> 5/20/67<br>| 23687 | 23648 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FV <br> 4.28% (1 mo. USD Term <br> SOFR + 0.61%) 6/20/67<br>| 67379 | 67479 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H22 Class IC <br> 2.52% 11/20/67<br>| 321729 | 12441 |
| &nbsp;&nbsp;&nbsp; •Series 2018-H13 Class FC <br> 4.08% (1 mo. USD Term <br> SOFR + 0.41%) 7/20/68<br>| 75123 | 75019 |
| &nbsp;&nbsp;&nbsp; •Series 2019-H13 Class FT <br> 3.95% (1 yr. CMT + 0.45%) <br> 8/20/69<br>| 23027 | 23073 |

---

*LVIP JPMorgan Core Bond Fund–6*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  | Government National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class IL <br> 2.50% 8/20/50<br>| 213032 | $30831 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class NI <br> 2.50% 8/20/50<br>| 733158 | 107864 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-127 Class IN <br> 2.50% 8/20/50<br>| 296859 | 44780 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-129 Class IE <br> 2.50% 9/20/50<br>| 299661 | 44747 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class IH <br> 2.50% 10/20/50<br>| 193870 | 28413 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class VI <br> 2.50% 10/20/50<br>| 314093 | 47881 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class YI <br> 2.50% 10/20/50<br>| 1060868 | 157157 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-173 Class MI <br> 2.50% 11/20/50<br>| 4344391 | 636153 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-181 Class WI <br> 2.00% 12/20/50<br>| 2162552 | 257123 |
| &nbsp;&nbsp;&nbsp; •Series 2020-30 Class PT <br> 4.76% 3/20/48<br>| 467727 | 462275 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class MI <br> 3.50% 4/20/50<br>| 570918 | 110954 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class NI <br> 3.50% 4/20/50<br>| 217949 | 42919 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H12 Class F <br> 4.28% (1 mo. USD Term <br> SOFR + 0.61%) 7/20/70<br>| 94673 | 94530 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FA <br> 4.23% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 305664 | 304824 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FC <br> 4.23% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 77350 | 77118 |
| &nbsp;&nbsp;&nbsp; Series 2021-188 Class PA <br> 2.00% 10/20/51<br>| 55336 | 46641 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-191 Class NI <br> 3.00% 10/20/51<br>| 397509 | 72951 |
| &nbsp;&nbsp;&nbsp; Series 2021-223 Class P <br> 2.00% 6/20/51<br>| 837026 | 742943 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-29 Class TI <br> 2.50% 2/20/51<br>| 1208815 | 211644 |
| &nbsp;&nbsp;&nbsp; Series 2021-77 Class LC <br> 1.25% 7/20/50<br>| 96119 | 76161 |
| &nbsp;&nbsp;&nbsp; Series 2022-139 Class AL <br> 4.00% 7/20/51<br>| 1500000 | 1365439 |
| &nbsp;&nbsp;&nbsp; Series 2022-189 Class PT <br> 2.50% 10/20/51<br>| 705991 | 596040 |
| &nbsp;&nbsp;&nbsp; Series 2022-99 Class JW <br> 2.50% 1/20/52<br>| 300000 | 252444 |
| &nbsp;&nbsp;&nbsp; Series 2024-197 Class BN <br> 3.00% 5/20/51<br>| 8532837 | 7895583 |
| &nbsp;&nbsp;&nbsp; Series 2025-6 Class A 3.50% <br> 11/20/50<br>| 24241590 | 22870617 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class MTU <br> 3.25% 11/25/64<br>| 7298890 | $6252376 |
| &nbsp;&nbsp;&nbsp; Series 2025-2 Class MTU <br> 3.25% 6/25/65<br>| 5039329 | 4294347 |
| &nbsp;&nbsp; Seasoned Loans Structured <br> Transaction Trust Series <br> 2025-1 Class A1 3.00% <br> 5/25/35<br>| 7319814 | 6711188 |
| **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $130,189,922)** | **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $130,189,922)** | **132077392** |
| **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.57%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.57%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.57%** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates |
| &nbsp;&nbsp;&nbsp; \*♦•Series K058 Class X1 0.89% <br> 8/25/26<br>| 18664336 | 28181 |
| &nbsp;&nbsp;&nbsp; ♦Series K065 Class A2 3.24% <br> 4/25/27<br>| 215000 | 213214 |
| &nbsp;&nbsp;&nbsp; ♦•Series K070 Class A2 3.30% <br> 11/25/27<br>| 208000 | 205540 |
| &nbsp;&nbsp;&nbsp; ♦•Series K072 Class AM 3.50% <br> 12/25/27<br>| 1000000 | 985959 |
| &nbsp;&nbsp;&nbsp; ♦Series K079 Class AM 3.93% <br> 6/25/28<br>| 588000 | 584740 |
| &nbsp;&nbsp;&nbsp; ♦•Series K081 Class A2 3.90% <br> 8/25/28<br>| 395000 | 392519 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class X1 0.87% <br> 6/25/29<br>| 2217625 | 52542 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class XAM <br> 1.15% 6/25/29<br>| 3700000 | 124873 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K095 Class XAM <br> 1.23% 6/25/29<br>| 900000 | 34070 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K101 Class X1 0.83% <br> 10/25/29<br>| 864659 | 21286 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K104 Class XAM <br> 1.38% 1/25/30<br>| 1900000 | 87845 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K105 Class X1 1.51% <br> 1/25/30<br>| 5146238 | 245609 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K115 Class X1 1.31% <br> 6/25/30<br>| 1465615 | 68022 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K116 Class X1 1.41% <br> 7/25/30<br>| 3578197 | 172520 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K124 Class X1 0.71% <br> 12/25/30<br>| 1479536 | 41123 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K128 Class X1 0.51% <br> 3/25/31<br>| 6389887 | 130908 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K130 Class X1 1.03% <br> 6/25/31<br>| 7935050 | 346703 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K131 Class X1 0.72% <br> 7/25/31<br>| 6749325 | 218320 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K133 Class X1 0.34% <br> 9/25/31<br>| 11576283 | 191794 |

---

*LVIP JPMorgan Core Bond Fund–7*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) |
| &nbsp;&nbsp;&nbsp; \*♦•Series K142 Class X1 0.30% <br> 3/25/32<br>| 5181415 | $82252 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K143 Class X1 0.34% <br> 4/25/55<br>| 5267027 | 99535 |
| &nbsp;&nbsp;&nbsp; ♦Series K144 Class A2 2.45% <br> 4/25/32<br>| 2037000 | 1825019 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K145 Class X1 0.32% <br> 5/25/32<br>| 5669105 | 102207 |
| &nbsp;&nbsp;&nbsp; ♦Series K146 Class A2 2.92% <br> 6/25/32<br>| 1100000 | 1013714 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K147 Class X1 0.37% <br> 6/25/32<br>| 7454545 | 162080 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K148 Class X1 0.25% <br> 7/25/32<br>| 14563345 | 228034 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K149 Class X1 0.27% <br> 8/25/32<br>| 8342234 | 141816 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-150 Class A2 3.71% <br> 9/25/32<br>| 2005000 | 1925608 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-151 Class A2 3.80% <br> 10/25/32<br>| 1150000 | 1116848 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-151 Class X1 0.18% <br> 10/25/32<br>| 15154744 | 195217 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1511 Class X1 0.77% <br> 3/25/34<br>| 1829661 | 75614 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1520 Class X1 0.47% <br> 2/25/36<br>| 3748065 | 123375 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-153 Class A2 3.82% <br> 12/25/32<br>| 1000000 | 964678 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-157 Class X1 0.25% <br> 5/25/33<br>| 6796063 | 125657 |
| &nbsp;&nbsp;&nbsp; ♦•Series K507 Class A2 4.80% <br> 9/25/28<br>| 100000 | 101362 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K737 Class X1 0.60% <br> 10/25/26<br>| 5525428 | 8760 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K741 Class X1 0.54% <br> 12/25/27<br>| 2135488 | 16379 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K742 Class X1 0.63% <br> 3/25/28<br>| 3476094 | 30313 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K743 Class X1 0.90% <br> 5/25/28<br>| 2923688 | 47611 |
| &nbsp;&nbsp;&nbsp; ♦Series K753 Class A2 4.40% <br> 10/25/30<br>| 691000 | 694999 |
| &nbsp;&nbsp;&nbsp; ♦•Series K754 Class AM 4.94% <br> 11/25/30<br>| 4180000 | 4266768 |
| &nbsp;&nbsp;&nbsp; \*♦•Series KC05 Class X1 1.18% <br> 6/25/27<br>| 785087 | 5861 |
| &nbsp;&nbsp;&nbsp; ♦Series KJ45 Class A2 4.66% <br> 1/25/31<br>| 815000 | 824520 |
| &nbsp;&nbsp;&nbsp; \*♦•Series KL06 Class XFX 1.36% <br> 12/25/29<br>| 4115775 | 133937 |
| &nbsp;&nbsp;&nbsp; ♦•Series Q013 Class APT2 <br> 1.19% 5/25/50<br>| 645811 | 629975 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES |
| &nbsp;&nbsp;&nbsp; •Series 2013-M6 Class 1AC <br> 3.38% 2/25/43<br>| 38883 | $37801 |
| &nbsp;&nbsp;&nbsp; •Series 2015-M10 Class A2 <br> 3.09% 4/25/27<br>| 172420 | 171014 |
| &nbsp;&nbsp;&nbsp; Series 2016-M11 Class AL <br> 2.94% 7/25/39<br>| 75765 | 72045 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M12 Class A2 <br> 3.07% 6/25/27<br>| 183105 | 180825 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M5 Class A2 <br> 3.02% 4/25/29<br>| 134461 | 130597 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M7 Class A2 <br> 2.96% 2/25/27<br>| 586198 | 580619 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M8 Class A2 <br> 3.06% 5/25/27<br>| 203371 | 201208 |
| &nbsp;&nbsp;&nbsp; •Series 2018-M10 Class A2 <br> 3.37% 7/25/28<br>| 422403 | 416097 |
| &nbsp;&nbsp;&nbsp; Series 2018-M15 Class 1A2 <br> 3.70% 1/25/36<br>| 900000 | 859563 |
| &nbsp;&nbsp;&nbsp; •Series 2018-M3 Class A2 <br> 3.07% 2/25/30<br>| 105512 | 101812 |
| &nbsp;&nbsp;&nbsp; •Series 2018-M9 Class APT2 <br> 3.11% 4/25/28<br>| 55176 | 53884 |
| &nbsp;&nbsp;&nbsp; •Series 2019-M23 Class 3A3 <br> 2.72% 10/25/31<br>| 455836 | 420861 |
| &nbsp;&nbsp;&nbsp; Series 2019-M4 Class A2 <br> 3.61% 2/25/31<br>| 274373 | 265992 |
| &nbsp;&nbsp;&nbsp; Series 2019-M5 Class A2 <br> 3.27% 2/25/29<br>| 440647 | 430607 |
| &nbsp;&nbsp;&nbsp; Series 2019-M6 Class A2 <br> 3.45% 1/1/29<br>| 13998 | 13895 |
| &nbsp;&nbsp;&nbsp; Series 2020-M50 Class A2 <br> 1.20% 10/25/30<br>| 261752 | 254015 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-M50 Class X1 <br> 1.82% 10/25/30<br>| 4255134 | 159617 |
| &nbsp;&nbsp;&nbsp; Series 2020-M6 Class A <br> 2.50% 10/25/37<br>| 145445 | 130904 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-M3 Class X1 <br> 1.83% 11/25/33<br>| 1840875 | 112367 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M1G Class A2 <br> 1.53% 9/25/31<br>| 3350000 | 2946992 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M1S Class A2 <br> 2.08% 4/25/32<br>| 1290000 | 1140488 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M2S Class A2 <br> 3.76% 8/25/32<br>| 3835347 | 3702783 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M3 Class A2 <br> 1.71% 11/25/31<br>| 1500000 | 1302541 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M2 Class 3A2 <br> 1.81% 4/25/32<br>| 7500000 | 6519170 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M4 Class A2 <br> 3.77% 9/25/32<br>| 200000 | 192894 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M8 Class A2 <br> 4.48% 3/25/33<br>| 9405000 | 9387276 |
| •FREMF Mortgage Trust | •FREMF Mortgage Trust | •FREMF Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-K59 Class B <br> 3.56% 11/25/49<br>| 180000 | 178618 |

---

*LVIP JPMorgan Core Bond Fund–8*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| •FREMF Mortgage Trust (continued) | •FREMF Mortgage Trust (continued) | •FREMF Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2017-K71 Class B <br> 3.75% 11/25/50<br>| 259000 | $254685 |
| &nbsp;&nbsp;&nbsp; Series 2018-K73 Class C <br> 3.85% 2/25/51<br>| 2000000 | 1963054 |
| &nbsp;&nbsp;&nbsp; Series 2019-K102 Class B <br> 3.53% 12/25/51<br>| 750000 | 711632 |
| &nbsp;&nbsp;&nbsp; Series 2019-KBF3 Class B <br> 6.28% (30 day USD SOFR <br> Average + 2.61%) 1/25/29<br>| 542445 | 530351 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; •Series 2013-107 Class AD <br> 2.78% 11/16/47<br>| 259959 | 240339 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-50 IO 0.07% <br> 10/16/48<br>| 2812021 | 7011 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-74 IO 0.45% <br> 12/16/53<br>| 1580721 | 14895 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-145 IO 0.48% <br> 4/16/57<br>| 829277 | 19976 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-157 IO 0.52% <br> 12/16/59<br>| 563572 | 15879 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-8 IO 0.44% <br> 8/16/58<br>| 851133 | 16272 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-109 Class AI <br> 0.84% 5/16/60<br>| 1436032 | 78780 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-184 IO 0.91% <br> 11/16/60<br>| 2019264 | 135680 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-110 IO 0.88% <br> 11/16/63<br>| 3422500 | 210594 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-133 IO 0.88% <br> 7/16/63<br>| 3862456 | 262420 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-37 IO 0.80% <br> 1/16/61<br>| 2036575 | 114747 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-60 IO 0.83% <br> 5/16/63<br>| 1627875 | 87973 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-68 IO 0.88% <br> 10/16/62<br>| 1927792 | 109863 |
| &nbsp;&nbsp;&nbsp; •Series 2022-196 Class BE <br> 3.00% 10/16/64<br>| 900000 | 636115 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-210 IO 0.70% <br> 7/16/64<br>| 1027833 | 61480 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-216 IO 0.75% <br> 7/16/65<br>| 1066876 | 56491 |
| &nbsp;&nbsp;&nbsp; •Series 2022-220 Class E <br> 3.00% 10/16/64<br>| 600000 | 428647 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-3 IO 0.64% <br> 2/16/61<br>| 4879735 | 226836 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-59 IO 0.57% <br> 2/16/62<br>| 2506092 | 99264 |
| &nbsp;&nbsp;&nbsp; Series 2023-92 Class AH <br> 2.00% 6/16/64<br>| 4221809 | 3291940 |
| &nbsp;&nbsp;&nbsp; \*•Series 2023-92 Class IA <br> 0.61% 6/16/64<br>| 4516354 | 237133 |
| **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $58,028,527)** | **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $58,028,527)** | **58864449** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES–20.93%** | **AGENCY MORTGAGE-BACKED SECURITIES–20.93%** | **AGENCY MORTGAGE-BACKED SECURITIES–20.93%** |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; 1.50% 11/1/40 | 1929057 | $1642515 |
| &nbsp;&nbsp; 1.50% 5/1/41 | 2021934 | 1714535 |
| &nbsp;&nbsp; 1.50% 7/1/41 | 1511070 | 1278384 |
| &nbsp;&nbsp; 1.50% 10/1/41 | 2109384 | 1777786 |
| &nbsp;&nbsp; 1.50% 11/1/41 | 285570 | 240467 |
| &nbsp;&nbsp; 1.50% 2/1/51 | 550290 | 426558 |
| &nbsp;&nbsp; 1.50% 3/1/52 | 419887 | 324366 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 888907 | 780686 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 1159673 | 1023225 |
| &nbsp;&nbsp; 2.00% 7/1/41 | 889329 | 777003 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 2330219 | 2030996 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 953981 | 830111 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 519739 | 452219 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 1051909 | 914066 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 3279795 | 2850512 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 938788 | 814633 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 2065640 | 1804616 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 1185240 | 1027452 |
| &nbsp;&nbsp; 2.00% 8/1/42 | 1705720 | 1482425 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 1048660 | 862408 |
| &nbsp;&nbsp; 2.00% 12/1/50 | 486169 | 395650 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 2402201 | 1975121 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 1368237 | 1124243 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 413833 | 339944 |
| &nbsp;&nbsp; 2.00% 6/1/51 | 785337 | 644137 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 710841 | 577740 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 540229 | 441377 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 1282728 | 1039062 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 115010 | 104031 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 373116 | 335314 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 1639742 | 1473799 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 1818919 | 1633584 |
| &nbsp;&nbsp; 2.50% 11/1/49 | 9895300 | 8406682 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 2874851 | 2437904 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 2770283 | 2381032 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 2984834 | 2565343 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 29618 | 25402 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 1144212 | 983084 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 300002 | 257785 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 5642187 | 4815565 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 276205 | 234501 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 2148982 | 1846157 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 419308 | 360335 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 2778524 | 2383974 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 1259711 | 1083662 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 1862712 | 1603388 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 15964320 | 13666560 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 816515 | 701119 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 74142 | 63558 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 5891803 | 5064665 |
| &nbsp;&nbsp; 3.00% 9/1/32 | 54218 | 52698 |
| &nbsp;&nbsp; 3.00% 10/1/32 | 57413 | 55742 |
| &nbsp;&nbsp; 3.00% 10/1/33 | 39901 | 38510 |
| &nbsp;&nbsp; 3.00% 12/1/33 | 21455 | 20614 |

---

*LVIP JPMorgan Core Bond Fund–9*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 3.00% 6/1/36 | 45840 | $43556 |
| &nbsp;&nbsp; 3.00% 5/1/40 | 48182 | 44825 |
| &nbsp;&nbsp; 3.00% 4/1/42 | 436820 | 404715 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 72254 | 66947 |
| &nbsp;&nbsp; 3.00% 7/1/42 | 447639 | 414401 |
| &nbsp;&nbsp; 3.00% 9/1/42 | 827436 | 766634 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 5516883 | 4961929 |
| &nbsp;&nbsp; 3.00% 8/1/48 | 336151 | 303756 |
| &nbsp;&nbsp; 3.00% 9/1/48 | 28990 | 26264 |
| &nbsp;&nbsp; 3.00% 9/1/49 | 295440 | 265855 |
| &nbsp;&nbsp; 3.00% 11/1/49 | 292703 | 262287 |
| &nbsp;&nbsp; 3.00% 1/1/50 | 234391 | 210644 |
| &nbsp;&nbsp; 3.00% 6/1/50 | 898267 | 790171 |
| &nbsp;&nbsp; 3.00% 7/1/50 | 278928 | 251253 |
| &nbsp;&nbsp; 3.00% 8/1/50 | 4247482 | 3801673 |
| &nbsp;&nbsp; 3.00% 12/1/50 | 129574 | 116236 |
| &nbsp;&nbsp; 3.00% 2/1/51 | 131886 | 117861 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 414889 | 371574 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 472240 | 420713 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 364973 | 326135 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 248295 | 219409 |
| &nbsp;&nbsp; 3.00% 12/1/51 | 144616 | 128389 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 205828 | 183534 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 1249655 | 1102046 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 5416060 | 4793958 |
| &nbsp;&nbsp; 3.00% 8/1/52 | 1323650 | 1178648 |
| &nbsp;&nbsp;&nbsp; •3.01% (1 yr. USD RFUCCT + <br> 1.63%) 11/1/48<br>| 1718627 | 1716714 |
| &nbsp;&nbsp;&nbsp; •3.42% (1 yr. USD RFUCCT + <br> 1.62%) 2/1/50<br>| 915766 | 934130 |
| &nbsp;&nbsp; 3.50% 4/1/33 | 108526 | 106198 |
| &nbsp;&nbsp; 3.50% 1/1/38 | 671715 | 645794 |
| &nbsp;&nbsp; 3.50% 6/1/42 | 126130 | 118669 |
| &nbsp;&nbsp; 3.50% 2/1/47 | 706064 | 664073 |
| &nbsp;&nbsp; 3.50% 7/1/47 | 4313811 | 4031021 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 1293212 | 1212686 |
| &nbsp;&nbsp; 3.50% 2/1/49 | 2781609 | 2561187 |
| &nbsp;&nbsp; 3.50% 7/1/50 | 436747 | 404307 |
| &nbsp;&nbsp; 3.50% 12/1/50 | 681551 | 634260 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 129307 | 119440 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 1243647 | 1145733 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 1427185 | 1311370 |
| &nbsp;&nbsp; 3.50% 6/1/52 | 1883924 | 1735956 |
| &nbsp;&nbsp; 3.75% 8/1/32 | 1200000 | 1154912 |
| &nbsp;&nbsp; 4.00% 9/1/32 | 200000 | 195443 |
| &nbsp;&nbsp; 4.00% 6/1/42 | 55736 | 54138 |
| &nbsp;&nbsp; 4.00% 8/1/44 | 11274 | 10779 |
| &nbsp;&nbsp; 4.00% 5/1/45 | 7290 | 7027 |
| &nbsp;&nbsp; 4.00% 10/1/45 | 11518 | 11079 |
| &nbsp;&nbsp; 4.00% 11/1/45 | 9439 | 9077 |
| &nbsp;&nbsp; 4.00% 1/1/46 | 94949 | 91872 |
| &nbsp;&nbsp; 4.00% 10/1/47 | 505279 | 482405 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 4340980 | 4156468 |
| &nbsp;&nbsp; 4.00% 9/1/49 | 474676 | 454620 |
| &nbsp;&nbsp; 4.00% 1/1/50 | 206179 | 197137 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 4.00% 7/1/50 | 790704 | $754349 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 3755178 | 3571954 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 247367 | 237101 |
| &nbsp;&nbsp; 4.00% 9/1/52 | 5423490 | 5139996 |
| &nbsp;&nbsp; 4.00% 2/1/53 | 1333601 | 1270946 |
| &nbsp;&nbsp; 4.25% 11/1/34 | 8400000 | 8168431 |
| &nbsp;&nbsp; 4.50% 10/1/35 | 79222 | 78502 |
| &nbsp;&nbsp; 4.50% 5/1/38 | 313481 | 312094 |
| &nbsp;&nbsp; 4.50% 3/1/47 | 225443 | 222123 |
| &nbsp;&nbsp; 4.50% 5/1/47 | 21395 | 21095 |
| &nbsp;&nbsp; 4.50% 6/1/47 | 437250 | 430923 |
| &nbsp;&nbsp; 4.50% 1/1/49 | 317198 | 311366 |
| &nbsp;&nbsp; 4.50% 3/1/49 | 154664 | 151821 |
| &nbsp;&nbsp; 4.50% 8/1/49 | 480934 | 472687 |
| &nbsp;&nbsp; 4.50% 9/1/50 | 136125 | 132979 |
| &nbsp;&nbsp; 4.50% 1/1/51 | 453038 | 441827 |
| &nbsp;&nbsp; 4.50% 7/1/52 | 580701 | 564356 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 139218 | 136188 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 157219 | 152433 |
| &nbsp;&nbsp; 4.50% 10/1/52 | 2972765 | 2882724 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 9919276 | 9624061 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 439576 | 426469 |
| &nbsp;&nbsp; 4.50% 3/1/54 | 6786246 | 6611157 |
| &nbsp;&nbsp; 4.60% 2/1/30 | 599454 | 602930 |
| &nbsp;&nbsp; 5.00% 11/1/42 | 908934 | 907076 |
| &nbsp;&nbsp; 5.00% 10/1/48 | 190711 | 191137 |
| &nbsp;&nbsp; 5.00% 1/1/49 | 8274 | 8308 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 2647798 | 2630939 |
| &nbsp;&nbsp; 5.00% 9/1/52 | 4526074 | 4518427 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 276230 | 273428 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 365780 | 361926 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 1390288 | 1381731 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 679782 | 677974 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 981491 | 975342 |
| &nbsp;&nbsp; 5.00% 6/1/53 | 414283 | 411235 |
| &nbsp;&nbsp;&nbsp; •5.19% (1 yr. USD RFUCCT + <br> 1.62%) 11/1/47<br>| 483828 | 498343 |
| &nbsp;&nbsp; 5.50% 10/1/33 | 7925 | 7998 |
| &nbsp;&nbsp; 5.50% 9/1/41 | 529065 | 546647 |
| &nbsp;&nbsp; 5.50% 6/1/43 | 135158 | 136528 |
| &nbsp;&nbsp; 5.50% 7/1/43 | 1346371 | 1367915 |
| &nbsp;&nbsp; 5.50% 9/1/52 | 1044186 | 1064861 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 211868 | 215862 |
| &nbsp;&nbsp; 5.50% 12/1/52 | 368462 | 373457 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 204217 | 207286 |
| &nbsp;&nbsp; 5.50% 3/1/53 | 2380399 | 2419709 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 906574 | 916137 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 862659 | 877966 |
| &nbsp;&nbsp; 5.50% 6/1/53 | 704275 | 714859 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 223977 | 226095 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 2075294 | 2105338 |
| &nbsp;&nbsp; 5.50% 2/1/54 | 1741373 | 1771379 |
| &nbsp;&nbsp; 5.50% 2/1/55 | 3684780 | 3703349 |
| &nbsp;&nbsp; 6.00% 2/1/32 | 1135 | 1166 |
| &nbsp;&nbsp; 6.00% 12/1/52 | 1027309 | 1051500 |

---

*LVIP JPMorgan Core Bond Fund–10*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 6.00% 1/1/53 | 520471 | $540875 |
| &nbsp;&nbsp;&nbsp; •6.08% (1 yr. CMT + 2.26%) <br> 4/1/30<br>| 154 | 154 |
| &nbsp;&nbsp;&nbsp; •6.14% (1 yr. USD RFUCCT + <br> 1.82%) 1/1/37<br>| 4743 | 4866 |
| &nbsp;&nbsp;&nbsp; •6.35% (1 yr. USD RFUCCT + <br> 1.58%) 3/1/35<br>| 10704 | 10910 |
| &nbsp;&nbsp; 6.50% 6/1/29 | 1489 | 1541 |
| &nbsp;&nbsp; 6.50% 11/1/34 | 132 | 136 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 259524 | 269863 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 575609 | 598319 |
| &nbsp;&nbsp; 6.50% 3/1/53 | 51847 | 53826 |
| &nbsp;&nbsp; 6.50% 4/1/53 | 449266 | 468370 |
| &nbsp;&nbsp; 6.50% 5/1/53 | 868835 | 910987 |
| &nbsp;&nbsp;&nbsp; •6.75% (1 yr. USD RFUCCT + <br> 1.75%) 4/1/34<br>| 4312 | 4393 |
| &nbsp;&nbsp; 7.00% 7/1/29 | 12718 | 12911 |
| &nbsp;&nbsp; 7.00% 4/1/35 | 16265 | 17098 |
| &nbsp;&nbsp; 8.50% 7/1/28 | 28 | 28 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 1.27% 12/1/29 | 1182370 | 1062192 |
| &nbsp;&nbsp; 1.45% 10/1/30 | 1131952 | 1006979 |
| •1.46% 11/1/32 | 8172562 | 6875001 |
| &nbsp;&nbsp; 1.50% 1/1/31 | 1100000 | 972021 |
| &nbsp;&nbsp; 1.50% 1/1/51 | 500231 | 387680 |
| &nbsp;&nbsp; 1.50% 3/1/51 | 1820674 | 1410453 |
| •1.51% 11/1/32 | 13678398 | 11539322 |
| &nbsp;&nbsp; 1.56% 1/1/31 | 1300000 | 1150583 |
| •1.75% 3/1/32 | 1638899 | 1426179 |
| &nbsp;&nbsp; 1.76% 7/1/35 | 1481161 | 1195844 |
| &nbsp;&nbsp; 1.98% 1/1/32 | 1985000 | 1753503 |
| &nbsp;&nbsp; 2.00% 8/1/36 | 2304633 | 2122442 |
| &nbsp;&nbsp; 2.00% 8/1/40 | 53019 | 46705 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 1031003 | 909531 |
| &nbsp;&nbsp; 2.00% 5/1/41 | 472686 | 413597 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 197223 | 172360 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 866466 | 755480 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 816569 | 713664 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 544319 | 473371 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 910559 | 792761 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 2664275 | 2326470 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 704232 | 610850 |
| &nbsp;&nbsp; 2.00% 3/1/42 | 214387 | 185802 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 302921 | 262508 |
| &nbsp;&nbsp; 2.00% 6/1/50 | 2024072 | 1650160 |
| &nbsp;&nbsp; 2.00% 8/1/50 | 930141 | 757031 |
| &nbsp;&nbsp; 2.00% 9/1/50 | 1521701 | 1240540 |
| &nbsp;&nbsp; 2.00% 10/1/50 | 2630800 | 2143862 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 1283002 | 1053993 |
| &nbsp;&nbsp; 2.00% 12/1/50 | 409775 | 336543 |
| &nbsp;&nbsp; 2.00% 1/1/51 | 725864 | 595821 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 8312989 | 6789086 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 4117573 | 3374815 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 6030974 | 4907733 |
| &nbsp;&nbsp; 2.00% 5/1/51 | 996562 | 809146 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.00% 7/1/51 | 81132 | $66076 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 1575329 | 1288732 |
| &nbsp;&nbsp; 2.00% 9/1/51 | 3747910 | 3039344 |
| &nbsp;&nbsp; 2.00% 10/1/51 | 1200835 | 988041 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 361207 | 295459 |
| &nbsp;&nbsp; 2.00% 12/1/51 | 384017 | 309525 |
| &nbsp;&nbsp; 2.00% 1/1/52 | 3070390 | 2515846 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 585080 | 480043 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 1768504 | 1447658 |
| &nbsp;&nbsp; 2.01% 4/1/30 | 1240738 | 1141182 |
| &nbsp;&nbsp; 2.02% 8/1/30 | 1049066 | 956360 |
| •2.15% 2/1/32 | 1672663 | 1489475 |
| &nbsp;&nbsp; 2.18% 1/1/34 | 2814759 | 2423189 |
| &nbsp;&nbsp; 2.42% 10/1/29 | 667440 | 629749 |
| &nbsp;&nbsp; 2.50% 9/1/36 | 199891 | 186214 |
| &nbsp;&nbsp; 2.50% 3/1/38 | 605032 | 563864 |
| &nbsp;&nbsp; 2.50% 5/1/40 | 224040 | 203755 |
| &nbsp;&nbsp; 2.50% 11/1/40 | 375166 | 340071 |
| &nbsp;&nbsp; 2.50% 3/1/41 | 413561 | 374378 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 1000165 | 904753 |
| &nbsp;&nbsp; 2.50% 5/1/41 | 723084 | 652937 |
| &nbsp;&nbsp; 2.50% 11/1/41 | 199034 | 179414 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 651885 | 586437 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 347565 | 312278 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 786646 | 706337 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 232282 | 209208 |
| &nbsp;&nbsp; 2.50% 5/1/50 | 1009790 | 865402 |
| &nbsp;&nbsp; 2.50% 6/1/50 | 246619 | 211098 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 1218287 | 1026890 |
| &nbsp;&nbsp; 2.50% 8/1/50 | 1907374 | 1639541 |
| &nbsp;&nbsp; 2.50% 9/1/50 | 378798 | 320089 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 1530587 | 1311136 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 320334 | 274867 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 115749 | 99412 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 4166696 | 3593583 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 541546 | 463185 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 299429 | 257705 |
| &nbsp;&nbsp; 2.50% 4/1/51 | 173852 | 149705 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 834289 | 708299 |
| &nbsp;&nbsp; 2.50% 6/1/51 | 4881281 | 4191597 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 1428278 | 1229904 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 6711125 | 5762892 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 2977710 | 2535523 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 4599880 | 3930506 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 11559838 | 9826778 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 1411655 | 1197364 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2673257 | 2292623 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 8967414 | 7612882 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 5373345 | 4594736 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 5611309 | 4811181 |
| &nbsp;&nbsp; 2.50% 9/1/52 | 7400987 | 6252075 |
| &nbsp;&nbsp; 2.50% 7/1/53 | 598302 | 507343 |
| &nbsp;&nbsp; 2.50% 7/1/61 | 3743806 | 3078486 |
| &nbsp;&nbsp; 2.50% 9/1/61 | 1757910 | 1445500 |

---

*LVIP JPMorgan Core Bond Fund–11*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.50% 3/1/62 | 823266 | $676957 |
| &nbsp;&nbsp; 2.52% 11/1/29 | 989980 | 938448 |
| &nbsp;&nbsp; 2.93% 7/1/28 | 1187410 | 1159572 |
| &nbsp;&nbsp; 2.93% 10/1/29 | 1035233 | 995930 |
| &nbsp;&nbsp; 2.93% 6/1/30 | 618397 | 590605 |
| &nbsp;&nbsp; 2.95% 7/1/27 | 969890 | 955877 |
| &nbsp;&nbsp; 3.00% 9/1/31 | 42591 | 40605 |
| &nbsp;&nbsp; 3.00% 11/1/33 | 597118 | 579656 |
| &nbsp;&nbsp; 3.00% 7/1/35 | 156215 | 148366 |
| &nbsp;&nbsp; 3.00% 2/1/36 | 404473 | 385004 |
| &nbsp;&nbsp; 3.00% 4/1/36 | 295152 | 281072 |
| &nbsp;&nbsp; 3.00% 7/1/36 | 650810 | 618390 |
| &nbsp;&nbsp; 3.00% 8/1/36 | 1065723 | 1011619 |
| &nbsp;&nbsp; 3.00% 10/1/36 | 722710 | 685385 |
| &nbsp;&nbsp; 3.00% 12/1/37 | 599686 | 564934 |
| &nbsp;&nbsp; 3.00% 1/1/38 | 757364 | 714022 |
| &nbsp;&nbsp; 3.00% 4/1/38 | 215884 | 208349 |
| &nbsp;&nbsp; 3.00% 6/1/38 | 343334 | 326411 |
| &nbsp;&nbsp; 3.00% 9/1/40 | 66166 | 61467 |
| &nbsp;&nbsp; 3.00% 1/1/41 | 105135 | 99580 |
| &nbsp;&nbsp; 3.00% 3/1/42 | 192857 | 177126 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 301523 | 278143 |
| &nbsp;&nbsp; 3.00% 6/1/42 | 747294 | 688039 |
| &nbsp;&nbsp; 3.00% 6/1/43 | 73291 | 66838 |
| &nbsp;&nbsp; 3.00% 7/1/43 | 156914 | 143098 |
| &nbsp;&nbsp; 3.00% 10/1/43 | 154826 | 141169 |
| &nbsp;&nbsp; 3.00% 1/1/45 | 131033 | 119645 |
| &nbsp;&nbsp; 3.00% 6/1/45 | 32296 | 29368 |
| &nbsp;&nbsp; 3.00% 4/1/46 | 150915 | 137654 |
| &nbsp;&nbsp; 3.00% 8/1/46 | 79103 | 71550 |
| &nbsp;&nbsp; 3.00% 9/1/46 | 46679 | 42098 |
| &nbsp;&nbsp; 3.00% 10/1/46 | 538284 | 486342 |
| &nbsp;&nbsp; 3.00% 12/1/46 | 315213 | 285290 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 3832022 | 3483960 |
| &nbsp;&nbsp; 3.00% 2/1/47 | 1426535 | 1298649 |
| &nbsp;&nbsp; 3.00% 4/1/47 | 1473 | 1323 |
| &nbsp;&nbsp; 3.00% 10/1/47 | 3454 | 3051 |
| &nbsp;&nbsp; 3.00% 12/1/47 | 176007 | 158529 |
| &nbsp;&nbsp; 3.00% 2/1/48 | 1532417 | 1387003 |
| &nbsp;&nbsp; 3.00% 3/1/48 | 1242853 | 1118488 |
| &nbsp;&nbsp; 3.00% 11/1/48 | 427848 | 387767 |
| &nbsp;&nbsp; 3.00% 12/1/49 | 1345503 | 1205548 |
| &nbsp;&nbsp; 3.00% 2/1/50 | 659719 | 601754 |
| &nbsp;&nbsp; 3.00% 4/1/50 | 1007266 | 902779 |
| &nbsp;&nbsp; 3.00% 10/1/50 | 488495 | 434449 |
| &nbsp;&nbsp; 3.00% 11/1/50 | 1082950 | 962364 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 115208 | 103544 |
| &nbsp;&nbsp; 3.00% 7/1/51 | 579405 | 516154 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 1119527 | 1006098 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 247595 | 222452 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 11524631 | 10178695 |
| &nbsp;&nbsp; 3.00% 12/1/51 | 1352399 | 1203256 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 7059196 | 6256725 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 2002738 | 1776025 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 3/1/52 | 5905503 | $5259363 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 803459 | 713947 |
| &nbsp;&nbsp; 3.00% 6/1/52 | 2546657 | 2263659 |
| &nbsp;&nbsp; 3.00% 7/1/60 | 539247 | 465961 |
| &nbsp;&nbsp; 3.00% 3/1/61 | 791719 | 684070 |
| &nbsp;&nbsp; 3.00% 6/1/62 | 1087552 | 936996 |
| &nbsp;&nbsp; 3.03% 4/1/30 | 650000 | 623578 |
| &nbsp;&nbsp; 3.08% 1/1/30 | 2663346 | 2564832 |
| &nbsp;&nbsp; 3.08% 4/1/30 | 421917 | 405598 |
| &nbsp;&nbsp; 3.11% 3/1/30 | 1478834 | 1423832 |
| &nbsp;&nbsp; 3.12% 11/1/26 | 841999 | 835999 |
| &nbsp;&nbsp; 3.16% 5/1/29 | 270665 | 263706 |
| &nbsp;&nbsp; 3.19% 3/1/36 | 763377 | 722854 |
| &nbsp;&nbsp; 3.20% 2/1/29 | 166556 | 162845 |
| &nbsp;&nbsp; 3.25% 5/1/29 | 367526 | 359054 |
| &nbsp;&nbsp; 3.48% 3/1/37 | 911664 | 838139 |
| &nbsp;&nbsp; 3.50% 4/1/32 | 640459 | 627475 |
| &nbsp;&nbsp; 3.50% 12/1/34 | 185945 | 180657 |
| &nbsp;&nbsp; 3.50% 1/1/35 | 116406 | 113060 |
| &nbsp;&nbsp; 3.50% 2/1/37 | 88334 | 85285 |
| &nbsp;&nbsp; 3.50% 3/1/37 | 62475 | 60583 |
| &nbsp;&nbsp; 3.50% 12/1/37 | 109401 | 104351 |
| &nbsp;&nbsp; 3.50% 8/1/39 | 68822 | 66310 |
| &nbsp;&nbsp; 3.50% 2/1/40 | 370821 | 354011 |
| &nbsp;&nbsp; 3.50% 4/1/42 | 124783 | 118175 |
| &nbsp;&nbsp; 3.50% 12/1/42 | 56624 | 53383 |
| &nbsp;&nbsp; 3.50% 3/1/43 | 493313 | 465432 |
| &nbsp;&nbsp; 3.50% 5/1/43 | 148228 | 139651 |
| &nbsp;&nbsp; 3.50% 1/1/44 | 168237 | 158085 |
| &nbsp;&nbsp; 3.50% 11/1/44 | 4713541 | 4438152 |
| &nbsp;&nbsp; 3.50% 2/1/46 | 222938 | 208927 |
| &nbsp;&nbsp; 3.50% 10/1/46 | 113706 | 106557 |
| &nbsp;&nbsp; 3.50% 12/1/46 | 659945 | 622171 |
| &nbsp;&nbsp; 3.50% 12/1/47 | 1333411 | 1237054 |
| &nbsp;&nbsp; 3.50% 1/1/48 | 694509 | 652169 |
| &nbsp;&nbsp; 3.50% 2/1/48 | 972796 | 907898 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 5867390 | 5500056 |
| &nbsp;&nbsp; 3.50% 8/1/49 | 449623 | 425367 |
| &nbsp;&nbsp; 3.50% 3/1/50 | 204251 | 190627 |
| &nbsp;&nbsp; 3.50% 6/1/50 | 91440 | 85276 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 2163263 | 2009629 |
| &nbsp;&nbsp; 3.50% 9/1/50 | 448704 | 419248 |
| &nbsp;&nbsp; 3.50% 11/1/51 | 1617885 | 1489518 |
| &nbsp;&nbsp; 3.50% 12/1/51 | 132254 | 123481 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 553317 | 514293 |
| &nbsp;&nbsp; 3.50% 3/1/52 | 1974126 | 1833323 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 2209087 | 2034180 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 3970982 | 3689203 |
| &nbsp;&nbsp; 3.50% 6/1/52 | 1831084 | 1693400 |
| &nbsp;&nbsp; 3.50% 9/1/52 | 2308166 | 2146319 |
| &nbsp;&nbsp; 3.50% 3/1/60 | 570549 | 519099 |
| &nbsp;&nbsp; 3.50% 3/1/62 | 2373298 | 2145071 |
| &nbsp;&nbsp; 3.50% 6/1/62 | 822657 | 741228 |
| &nbsp;&nbsp; 3.52% 6/1/28 | 477878 | 472701 |

---

*LVIP JPMorgan Core Bond Fund–12*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.52% 6/1/32 | 296690 | $283133 |
| &nbsp;&nbsp; 3.54% 6/1/32 | 1386000 | 1323385 |
| &nbsp;&nbsp; 3.54% 11/1/32 | 1100000 | 1044100 |
| &nbsp;&nbsp; 3.56% 7/1/32 | 200000 | 191827 |
| &nbsp;&nbsp; 3.64% 8/1/28 | 884817 | 875290 |
| &nbsp;&nbsp; 3.67% 6/1/32 | 94224 | 90808 |
| &nbsp;&nbsp; 3.68% 9/1/32 | 936000 | 900331 |
| &nbsp;&nbsp; 3.70% 8/1/32 | 78996 | 75713 |
| &nbsp;&nbsp; 3.72% 8/1/32 | 949862 | 919163 |
| &nbsp;&nbsp; 3.73% 6/1/32 | 96222 | 93078 |
| &nbsp;&nbsp; 3.80% 9/1/32 | 1105031 | 1068618 |
| &nbsp;&nbsp; 3.81% 12/1/28 | 300000 | 297932 |
| &nbsp;&nbsp; 3.81% 10/1/32 | 1245000 | 1205736 |
| &nbsp;&nbsp; 3.81% 11/1/32 | 1010000 | 977136 |
| &nbsp;&nbsp; 3.83% 7/1/32 | 196170 | 190549 |
| &nbsp;&nbsp; 3.84% 7/1/32 | 200000 | 193998 |
| &nbsp;&nbsp; 3.85% 8/1/32 | 200000 | 193252 |
| &nbsp;&nbsp; 3.86% 7/1/32 | 94150 | 91696 |
| &nbsp;&nbsp; 3.88% 7/1/32 | 188971 | 184496 |
| &nbsp;&nbsp; 3.89% 7/1/32 | 800000 | 774170 |
| &nbsp;&nbsp; 3.90% 6/1/32 | 100000 | 97209 |
| &nbsp;&nbsp; 3.90% 8/1/32 | 100000 | 97012 |
| &nbsp;&nbsp; 3.90% 2/1/33 | 1200000 | 1161913 |
| &nbsp;&nbsp; 3.96% 2/1/30 | 1200000 | 1184267 |
| &nbsp;&nbsp; 4.00% 2/1/36 | 325946 | 319911 |
| &nbsp;&nbsp; 4.00% 7/1/42 | 169533 | 164468 |
| &nbsp;&nbsp; 4.00% 9/1/42 | 1925299 | 1878786 |
| &nbsp;&nbsp; 4.00% 11/1/42 | 368306 | 355618 |
| &nbsp;&nbsp; 4.00% 4/1/44 | 858976 | 828457 |
| &nbsp;&nbsp; 4.00% 10/1/44 | 4694092 | 4522594 |
| &nbsp;&nbsp; 4.00% 12/1/44 | 143995 | 138805 |
| &nbsp;&nbsp; 4.00% 2/1/47 | 73031 | 70231 |
| &nbsp;&nbsp; 4.00% 3/1/47 | 1074703 | 1033266 |
| &nbsp;&nbsp; 4.00% 5/1/47 | 604922 | 578737 |
| &nbsp;&nbsp; 4.00% 6/1/47 | 374562 | 360507 |
| &nbsp;&nbsp; 4.00% 6/1/48 | 924902 | 889665 |
| &nbsp;&nbsp; 4.00% 10/1/48 | 1185093 | 1137042 |
| &nbsp;&nbsp; 4.00% 1/1/49 | 410636 | 391492 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 95528 | 91545 |
| &nbsp;&nbsp; 4.00% 1/1/50 | 247225 | 236715 |
| &nbsp;&nbsp; 4.00% 3/1/50 | 350482 | 333653 |
| &nbsp;&nbsp; 4.00% 2/1/51 | 781378 | 739614 |
| &nbsp;&nbsp; 4.00% 8/1/51 | 640199 | 617959 |
| &nbsp;&nbsp; 4.00% 11/1/51 | 519072 | 492313 |
| &nbsp;&nbsp; 4.00% 12/1/51 | 386288 | 366785 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 3883079 | 3694922 |
| &nbsp;&nbsp; 4.00% 5/1/52 | 67269 | 64155 |
| &nbsp;&nbsp; 4.00% 6/1/52 | 3683152 | 3489474 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 889762 | 843717 |
| &nbsp;&nbsp; 4.00% 9/1/52 | 992427 | 940599 |
| &nbsp;&nbsp; 4.00% 7/1/56 | 162219 | 151845 |
| &nbsp;&nbsp; 4.00% 8/1/56 | 3081414 | 2914819 |
| &nbsp;&nbsp; 4.00% 6/1/57 | 620890 | 587323 |
| &nbsp;&nbsp; 4.00% 8/1/58 | 1178368 | 1121188 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.00% 8/1/59 | 950097 | $894598 |
| &nbsp;&nbsp; 4.00% 12/1/61 | 719123 | 670168 |
| &nbsp;&nbsp; 4.00% 3/1/62 | 227326 | 211850 |
| &nbsp;&nbsp; 4.00% 6/1/62 | 257725 | 244253 |
| &nbsp;&nbsp; 4.06% 7/1/32 | 394669 | 386413 |
| &nbsp;&nbsp; 4.08% 2/1/34 | 2231686 | 2180111 |
| &nbsp;&nbsp; 4.11% 7/1/32 | 100000 | 97962 |
| &nbsp;&nbsp; 4.12% 11/1/32 | 1405000 | 1383039 |
| &nbsp;&nbsp; 4.13% 7/1/32 | 100000 | 98617 |
| &nbsp;&nbsp; 4.19% 7/1/32 | 96636 | 95693 |
| &nbsp;&nbsp; 4.22% 10/1/32 | 1000000 | 989459 |
| &nbsp;&nbsp; 4.23% 10/1/32 | 6285000 | 6221343 |
| &nbsp;&nbsp; 4.27% 10/1/32 | 473887 | 471020 |
| &nbsp;&nbsp; 4.32% 3/1/30 | 1600000 | 1608070 |
| &nbsp;&nbsp; 4.34% 7/1/32 | 99268 | 99178 |
| &nbsp;&nbsp; 4.36% 2/1/33 | 500000 | 498566 |
| &nbsp;&nbsp; 4.37% 1/1/32 | 12304028 | 12314149 |
| &nbsp;&nbsp;&nbsp; •4.41% (Enterprise 11th <br> District COFI Replacement <br> Index + 1.25%) 3/1/29<br>| 37 | 37 |
| &nbsp;&nbsp; 4.42% 6/1/32 | 4692000 | 4690468 |
| &nbsp;&nbsp; 4.42% 3/1/33 | 500000 | 499354 |
| &nbsp;&nbsp; 4.45% 8/1/32 | 5000000 | 5002754 |
| &nbsp;&nbsp; 4.45% 12/1/32 | 1037147 | 1039415 |
| &nbsp;&nbsp; 4.45% 1/1/35 | 1861000 | 1841966 |
| &nbsp;&nbsp; 4.47% 3/1/33 | 2000000 | 1999582 |
| &nbsp;&nbsp; 4.49% 6/1/28 | 700000 | 704181 |
| &nbsp;&nbsp; 4.50% 11/1/38 | 238137 | 238680 |
| &nbsp;&nbsp; 4.50% 7/1/40 | 60659 | 59135 |
| &nbsp;&nbsp; 4.50% 12/1/40 | 687674 | 687187 |
| &nbsp;&nbsp; 4.50% 2/1/44 | 631835 | 625301 |
| &nbsp;&nbsp; 4.50% 2/1/46 | 95803 | 94515 |
| &nbsp;&nbsp; 4.50% 6/1/48 | 216791 | 213982 |
| &nbsp;&nbsp; 4.50% 7/1/48 | 276914 | 272091 |
| &nbsp;&nbsp; 4.50% 8/1/48 | 454834 | 447175 |
| &nbsp;&nbsp; 4.50% 10/1/48 | 22448 | 22108 |
| &nbsp;&nbsp; 4.50% 11/1/48 | 213737 | 210138 |
| &nbsp;&nbsp; 4.50% 12/1/48 | 200630 | 197003 |
| &nbsp;&nbsp; 4.50% 1/1/49 | 306128 | 300216 |
| &nbsp;&nbsp; 4.50% 2/1/49 | 169427 | 166724 |
| &nbsp;&nbsp; 4.50% 4/1/49 | 158286 | 154411 |
| &nbsp;&nbsp; 4.50% 5/1/49 | 122043 | 119306 |
| &nbsp;&nbsp; 4.50% 7/1/49 | 296306 | 289949 |
| &nbsp;&nbsp; 4.50% 9/1/49 | 1317403 | 1295640 |
| &nbsp;&nbsp; 4.50% 1/1/50 | 226473 | 221520 |
| &nbsp;&nbsp; 4.50% 3/1/50 | 212579 | 209724 |
| &nbsp;&nbsp; 4.50% 4/1/50 | 1085099 | 1066498 |
| &nbsp;&nbsp; 4.50% 5/1/50 | 282577 | 275581 |
| &nbsp;&nbsp; 4.50% 9/1/51 | 273227 | 266829 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 215817 | 209226 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 592324 | 576514 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 1502101 | 1459724 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 887083 | 859630 |
| &nbsp;&nbsp; 4.50% 1/1/53 | 569682 | 552696 |
| &nbsp;&nbsp; 4.50% 2/1/53 | 1559443 | 1509572 |

---

*LVIP JPMorgan Core Bond Fund–13*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.50% 3/1/53 | 588955 | $570910 |
| &nbsp;&nbsp; 4.50% 4/1/53 | 457268 | 442644 |
| &nbsp;&nbsp; 4.50% 9/1/57 | 778942 | 752092 |
| &nbsp;&nbsp; 4.50% 8/1/58 | 737852 | 712428 |
| &nbsp;&nbsp; 4.50% 1/1/59 | 68380 | 65834 |
| &nbsp;&nbsp; 4.50% 6/1/62 | 725728 | 700486 |
| &nbsp;&nbsp; 4.53% 5/1/35 | 1840704 | 1828764 |
| &nbsp;&nbsp; 4.55% 9/1/33 | 2846863 | 2868400 |
| &nbsp;&nbsp; 4.55% 6/1/35 | 3210000 | 3185403 |
| &nbsp;&nbsp; 4.57% 6/1/30 | 1442256 | 1457672 |
| &nbsp;&nbsp; 4.58% 1/1/33 | 200000 | 202111 |
| &nbsp;&nbsp; 4.67% 11/1/34 | 2955000 | 2973999 |
| &nbsp;&nbsp; 4.68% 11/1/31 | 1050000 | 1063350 |
| &nbsp;&nbsp; 4.69% 1/1/33 | 295714 | 300524 |
| &nbsp;&nbsp; 4.74% 6/1/30 | 400000 | 404776 |
| &nbsp;&nbsp; 4.74% 2/1/33 | 1070000 | 1084649 |
| &nbsp;&nbsp; 4.79% 5/1/35 | 4770000 | 4831049 |
| &nbsp;&nbsp; 4.82% 9/1/35 | 10209000 | 10359057 |
| &nbsp;&nbsp; 4.83% 9/1/28 | 1100000 | 1115852 |
| &nbsp;&nbsp; 4.86% 4/1/35 | 2975447 | 3014535 |
| &nbsp;&nbsp; 4.88% 9/1/28 | 500000 | 507778 |
| &nbsp;&nbsp; 4.88% 6/1/35 | 2502000 | 2542382 |
| &nbsp;&nbsp; 4.89% 4/1/34 | 2868600 | 2919842 |
| &nbsp;&nbsp; 4.96% 10/1/35 | 2100000 | 2139926 |
| &nbsp;&nbsp; 5.00% 9/1/35 | 5685 | 5736 |
| &nbsp;&nbsp; 5.00% 7/1/47 | 1327646 | 1341713 |
| &nbsp;&nbsp; 5.00% 9/1/48 | 491660 | 490431 |
| &nbsp;&nbsp; 5.00% 10/1/48 | 146114 | 145060 |
| &nbsp;&nbsp; 5.00% 1/1/49 | 226312 | 227609 |
| &nbsp;&nbsp; 5.00% 2/1/49 | 73643 | 73011 |
| &nbsp;&nbsp; 5.00% 4/1/49 | 126824 | 128298 |
| &nbsp;&nbsp; 5.00% 6/1/49 | 63979 | 64257 |
| &nbsp;&nbsp; 5.00% 9/1/49 | 657072 | 660160 |
| &nbsp;&nbsp; 5.00% 12/1/49 | 653367 | 657491 |
| &nbsp;&nbsp; 5.00% 1/1/51 | 1335880 | 1339462 |
| &nbsp;&nbsp; 5.00% 6/1/52 | 341975 | 341598 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 318060 | 316522 |
| &nbsp;&nbsp; 5.00% 8/1/52 | 133093 | 132297 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 75509 | 74667 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 380085 | 375697 |
| &nbsp;&nbsp; 5.00% 2/1/53 | 361002 | 357842 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 621642 | 619489 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 683828 | 681458 |
| &nbsp;&nbsp; 5.00% 5/1/53 | 386689 | 385350 |
| &nbsp;&nbsp; 5.00% 6/1/53 | 1567473 | 1550954 |
| &nbsp;&nbsp; 5.00% 8/1/53 | 3834855 | 3814177 |
| &nbsp;&nbsp; 5.00% 9/1/53 | 784220 | 776145 |
| &nbsp;&nbsp; 5.00% 12/1/61 | 653472 | 647771 |
| &nbsp;&nbsp; 5.21% 12/1/33 | 3070904 | 3186621 |
| &nbsp;&nbsp; 5.34% 9/1/28 | 199265 | 204428 |
| &nbsp;&nbsp; 5.50% 9/1/33 | 7573 | 7586 |
| &nbsp;&nbsp; 5.50% 5/1/34 | 116740 | 119034 |
| &nbsp;&nbsp; 5.50% 9/1/36 | 153273 | 156041 |
| &nbsp;&nbsp; 5.50% 1/1/38 | 467325 | 475661 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 5.50% 2/1/38 | 1678 | $1717 |
| &nbsp;&nbsp; 5.50% 3/1/38 | 1106 | 1137 |
| &nbsp;&nbsp; 5.50% 4/1/38 | 1108 | 1111 |
| &nbsp;&nbsp; 5.50% 6/1/38 | 356 | 366 |
| &nbsp;&nbsp; 5.50% 10/1/38 | 977021 | 996718 |
| &nbsp;&nbsp; 5.50% 1/1/39 | 182835 | 186441 |
| &nbsp;&nbsp; 5.50% 3/1/40 | 316378 | 322774 |
| &nbsp;&nbsp; 5.50% 3/1/41 | 161543 | 164523 |
| &nbsp;&nbsp; 5.50% 6/1/41 | 106836 | 109948 |
| &nbsp;&nbsp; 5.50% 7/1/41 | 356992 | 367890 |
| &nbsp;&nbsp; 5.50% 5/1/44 | 1380973 | 1425747 |
| &nbsp;&nbsp; 5.50% 8/1/52 | 908568 | 927601 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 680846 | 693926 |
| &nbsp;&nbsp; 5.50% 2/1/53 | 196565 | 199403 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 562284 | 570734 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 986904 | 999257 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 766336 | 772348 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 5107568 | 5158814 |
| &nbsp;&nbsp; 5.50% 2/1/55 | 1828616 | 1838027 |
| &nbsp;&nbsp; 5.50% 1/1/58 | 940741 | 974868 |
| &nbsp;&nbsp;&nbsp; •5.87% (6 mo. USD RFUCCT <br> + 1.52%) 1/1/35<br>| 16743 | 17366 |
| &nbsp;&nbsp;&nbsp; •5.91% (1 yr. USD RFUCCT + <br> 1.61%) 1/1/34<br>| 4088 | 4165 |
| &nbsp;&nbsp; 6.00% 1/1/29 | 194 | 198 |
| &nbsp;&nbsp; 6.00% 3/1/32 | 3159 | 3220 |
| &nbsp;&nbsp; 6.00% 3/1/33 | 296 | 301 |
| &nbsp;&nbsp; 6.00% 10/1/39 | 204734 | 213721 |
| &nbsp;&nbsp; 6.00% 7/1/41 | 490047 | 513560 |
| &nbsp;&nbsp; 6.00% 1/1/42 | 1065395 | 1116537 |
| &nbsp;&nbsp; 6.00% 1/1/53 | 260407 | 266799 |
| &nbsp;&nbsp; 6.00% 3/1/53 | 138322 | 141738 |
| &nbsp;&nbsp; 6.00% 5/1/53 | 1516433 | 1557255 |
| &nbsp;&nbsp; 6.00% 6/1/53 | 66289 | 67989 |
| &nbsp;&nbsp; 6.00% 7/1/53 | 2442107 | 2526008 |
| &nbsp;&nbsp; 6.00% 9/1/53 | 1193872 | 1219991 |
| &nbsp;&nbsp; 6.00% 12/1/54 | 1010515 | 1030086 |
| &nbsp;&nbsp; 6.00% 3/1/55 | 1123545 | 1145305 |
| &nbsp;&nbsp;&nbsp; •6.05% (1 yr. CMT + 2.28%) <br> 4/1/33<br>| 5546 | 5681 |
| &nbsp;&nbsp;&nbsp; •6.14% (1 yr. CMT + 2.12%) <br> 8/1/34<br>| 7737 | 7909 |
| &nbsp;&nbsp;&nbsp; •6.15% (1 yr. CMT + 2.15%) <br> 7/1/33<br>| 4267 | 4360 |
| &nbsp;&nbsp; 6.50% 4/1/32 | 8560 | 8906 |
| &nbsp;&nbsp; 6.50% 10/1/35 | 42081 | 42788 |
| &nbsp;&nbsp; 6.50% 11/1/36 | 15068 | 15896 |
| &nbsp;&nbsp; 6.50% 10/1/38 | 54656 | 56505 |
| &nbsp;&nbsp; 6.50% 11/1/52 | 249521 | 262450 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 1095381 | 1145149 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 314239 | 326137 |
| &nbsp;&nbsp; 6.50% 9/1/53 | 472207 | 492286 |
| &nbsp;&nbsp;&nbsp; •6.59% (1 yr. USD RFUCCT + <br> 1.60%) 5/1/35<br>| 11670 | 11946 |

---

*LVIP JPMorgan Core Bond Fund–14*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp;&nbsp; •6.59% (1 yr. USD RFUCCT + <br> 1.74%) 10/1/34<br>| 5849 | $5958 |
| &nbsp;&nbsp; 7.00% 6/1/35 | 148265 | 156033 |
| &nbsp;&nbsp; 8.00% 3/1/27 | 344 | 346 |
| &nbsp;&nbsp; 8.00% 11/1/28 | 3265 | 3326 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; 2.00% 12/20/50 | 1027497 | 843391 |
| &nbsp;&nbsp; 2.00% 2/20/51 | 1056984 | 873672 |
| &nbsp;&nbsp; 2.00% 3/20/51 | 1117216 | 915130 |
| &nbsp;&nbsp; 2.50% 10/20/49 | 557324 | 482567 |
| &nbsp;&nbsp; 2.50% 12/20/50 | 778378 | 663906 |
| &nbsp;&nbsp; 2.50% 1/20/51 | 247393 | 213208 |
| &nbsp;&nbsp; 2.50% 2/20/51 | 4041568 | 3480297 |
| &nbsp;&nbsp; 2.50% 5/20/51 | 234522 | 201321 |
| &nbsp;&nbsp; 2.50% 6/20/51 | 338641 | 291538 |
| &nbsp;&nbsp; 2.50% 7/20/51 | 581272 | 503162 |
| &nbsp;&nbsp; 2.50% 8/20/51 | 7542063 | 6492596 |
| &nbsp;&nbsp; 2.50% 10/20/51 | 3755618 | 3233199 |
| &nbsp;&nbsp; 2.50% 11/20/51 | 474393 | 408402 |
| &nbsp;&nbsp; 2.50% 12/20/51 | 1820886 | 1564616 |
| &nbsp;&nbsp; 2.50% 8/20/52 | 68770 | 59466 |
| &nbsp;&nbsp; 2.50% 9/20/52 | 280259 | 241649 |
| &nbsp;&nbsp; 2.50% 2/20/53 | 654374 | 564769 |
| &nbsp;&nbsp; 2.50% 9/20/53 | 13345963 | 11501962 |
| &nbsp;&nbsp; 2.50% 10/20/53 | 3895527 | 3359756 |
| &nbsp;&nbsp; 3.00% 9/15/42 | 274854 | 251508 |
| &nbsp;&nbsp; 3.00% 10/15/42 | 21763 | 19874 |
| &nbsp;&nbsp; 3.00% 8/15/45 | 221725 | 200036 |
| &nbsp;&nbsp; 3.00% 1/20/46 | 35981 | 32635 |
| &nbsp;&nbsp; 3.00% 8/20/46 | 272244 | 246800 |
| &nbsp;&nbsp; 3.00% 11/20/46 | 141159 | 127959 |
| &nbsp;&nbsp; 3.00% 2/20/47 | 48698 | 43984 |
| &nbsp;&nbsp; 3.00% 4/20/47 | 32051 | 29035 |
| &nbsp;&nbsp; 3.00% 9/20/47 | 185651 | 167795 |
| &nbsp;&nbsp; 3.00% 1/20/50 | 567467 | 502035 |
| &nbsp;&nbsp; 3.00% 3/15/50 | 128386 | 114609 |
| &nbsp;&nbsp; 3.00% 3/20/50 | 489281 | 431929 |
| &nbsp;&nbsp; 3.00% 7/20/50 | 890081 | 795089 |
| &nbsp;&nbsp; 3.00% 8/20/50 | 289629 | 254969 |
| &nbsp;&nbsp; 3.00% 2/20/51 | 5555201 | 4967789 |
| &nbsp;&nbsp; 3.00% 5/20/51 | 52317 | 46740 |
| &nbsp;&nbsp; 3.00% 7/20/51 | 459109 | 410375 |
| &nbsp;&nbsp; 3.00% 9/20/51 | 3775726 | 3373617 |
| &nbsp;&nbsp; 3.00% 10/20/51 | 441166 | 394334 |
| &nbsp;&nbsp; 3.00% 11/20/51 | 665335 | 588678 |
| &nbsp;&nbsp; 3.00% 12/20/51 | 1711199 | 1529185 |
| &nbsp;&nbsp; 3.00% 1/20/52 | 694202 | 619371 |
| &nbsp;&nbsp; 3.00% 2/20/52 | 1977851 | 1755256 |
| &nbsp;&nbsp; 3.00% 3/20/52 | 7345938 | 6537486 |
| &nbsp;&nbsp; 3.00% 4/20/52 | 1396845 | 1242149 |
| &nbsp;&nbsp; 3.00% 11/20/52 | 514724 | 460588 |
| &nbsp;&nbsp; 3.00% 12/20/52 | 773128 | 691897 |
| &nbsp;&nbsp; 3.00% 1/20/53 | 359184 | 321427 |
| &nbsp;&nbsp; 3.00% 4/20/53 | 143005 | 128764 |
| &nbsp;&nbsp; 3.50% 3/20/45 | 7634 | 7186 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.50% 4/20/45 | 135349 | $127508 |
| &nbsp;&nbsp; 3.50% 11/20/45 | 152677 | 143050 |
| &nbsp;&nbsp; 3.50% 1/20/46 | 91068 | 85723 |
| &nbsp;&nbsp; 3.50% 3/20/46 | 432774 | 405577 |
| &nbsp;&nbsp; 3.50% 4/20/46 | 291311 | 274212 |
| &nbsp;&nbsp; 3.50% 5/20/46 | 118997 | 111448 |
| &nbsp;&nbsp; 3.50% 6/20/46 | 200704 | 187970 |
| &nbsp;&nbsp; 3.50% 7/20/46 | 123168 | 115164 |
| &nbsp;&nbsp; 3.50% 9/20/46 | 36732 | 34565 |
| &nbsp;&nbsp; 3.50% 9/20/47 | 1541204 | 1446410 |
| &nbsp;&nbsp; 3.50% 10/20/47 | 289299 | 267841 |
| &nbsp;&nbsp; 3.50% 9/20/48 | 4238745 | 3970353 |
| &nbsp;&nbsp; 3.50% 10/20/48 | 89348 | 83664 |
| &nbsp;&nbsp; 3.50% 11/20/48 | 876023 | 820245 |
| &nbsp;&nbsp; 3.50% 10/20/49 | 59240 | 54370 |
| &nbsp;&nbsp; 3.50% 2/20/50 | 98958 | 90825 |
| &nbsp;&nbsp; 3.50% 4/20/50 | 755783 | 691359 |
| &nbsp;&nbsp; 3.50% 5/15/50 | 177757 | 163668 |
| &nbsp;&nbsp; 3.50% 2/20/52 | 572638 | 524309 |
| &nbsp;&nbsp; 3.50% 3/20/52 | 330102 | 298064 |
| &nbsp;&nbsp; 3.50% 6/20/52 | 218352 | 197698 |
| &nbsp;&nbsp; 3.50% 2/20/53 | 75938 | 70488 |
| &nbsp;&nbsp; 3.75% 12/20/32 | 41582 | 40858 |
| &nbsp;&nbsp; 3.75% 4/20/48 | 1313766 | 1227586 |
| &nbsp;&nbsp; 4.00% 10/20/44 | 19436 | 18664 |
| &nbsp;&nbsp; 4.00% 8/20/46 | 365445 | 349886 |
| &nbsp;&nbsp; 4.00% 2/20/47 | 101713 | 97154 |
| &nbsp;&nbsp; 4.00% 6/20/47 | 924932 | 884300 |
| &nbsp;&nbsp; 4.00% 9/20/47 | 564416 | 539316 |
| &nbsp;&nbsp; 4.00% 11/20/47 | 292070 | 278975 |
| &nbsp;&nbsp; 4.00% 12/20/47 | 118693 | 113350 |
| &nbsp;&nbsp; 4.00% 2/20/48 | 357680 | 336691 |
| &nbsp;&nbsp; 4.00% 3/20/48 | 1244347 | 1187873 |
| &nbsp;&nbsp; 4.00% 4/20/48 | 87773 | 83758 |
| &nbsp;&nbsp; 4.00% 5/20/48 | 129542 | 123873 |
| &nbsp;&nbsp; 4.00% 8/20/48 | 349164 | 332696 |
| &nbsp;&nbsp; 4.00% 9/20/48 | 103582 | 98771 |
| &nbsp;&nbsp; 4.00% 2/20/49 | 669819 | 637203 |
| &nbsp;&nbsp; 4.00% 3/20/49 | 206235 | 196065 |
| &nbsp;&nbsp; 4.00% 4/20/49 | 171445 | 162938 |
| &nbsp;&nbsp; 4.00% 10/20/49 | 63760 | 60320 |
| &nbsp;&nbsp; 4.00% 11/20/49 | 439949 | 416214 |
| &nbsp;&nbsp; 4.00% 1/20/50 | 52137 | 48360 |
| &nbsp;&nbsp; 4.00% 2/20/50 | 349556 | 331993 |
| &nbsp;&nbsp; 4.00% 3/15/50 | 25081 | 23693 |
| &nbsp;&nbsp; 4.00% 3/20/50 | 445201 | 418530 |
| &nbsp;&nbsp; 4.00% 4/20/50 | 654533 | 614187 |
| &nbsp;&nbsp; 4.00% 2/20/52 | 857300 | 803731 |
| &nbsp;&nbsp; 4.00% 5/20/52 | 1022454 | 966894 |
| &nbsp;&nbsp; 4.00% 6/20/52 | 1031796 | 973672 |
| &nbsp;&nbsp; 4.00% 8/20/52 | 1765005 | 1668205 |
| &nbsp;&nbsp; 4.00% 4/20/53 | 159837 | 151078 |
| &nbsp;&nbsp; 4.50% 8/20/47 | 152112 | 150070 |
| &nbsp;&nbsp; 4.50% 4/20/48 | 275014 | 270952 |

---

*LVIP JPMorgan Core Bond Fund–15*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.50% 5/20/48 | 14540 | $14280 |
| &nbsp;&nbsp; 4.50% 6/20/48 | 332174 | 326833 |
| &nbsp;&nbsp; 4.50% 7/20/48 | 7037 | 6935 |
| &nbsp;&nbsp; 4.50% 8/20/48 | 1210238 | 1191211 |
| &nbsp;&nbsp; 4.50% 10/20/48 | 239063 | 235299 |
| &nbsp;&nbsp; 4.50% 12/20/48 | 426449 | 419602 |
| &nbsp;&nbsp; 4.50% 1/20/49 | 481633 | 474200 |
| &nbsp;&nbsp; 4.50% 2/20/49 | 432264 | 424927 |
| &nbsp;&nbsp; 4.50% 3/20/49 | 886261 | 871490 |
| &nbsp;&nbsp; 4.50% 9/20/49 | 482829 | 480164 |
| &nbsp;&nbsp; 4.50% 2/20/50 | 827062 | 812106 |
| &nbsp;&nbsp; 4.50% 3/20/50 | 92726 | 91125 |
| &nbsp;&nbsp; 4.50% 5/20/50 | 1004773 | 986378 |
| &nbsp;&nbsp; 4.50% 11/20/50 | 480667 | 473104 |
| &nbsp;&nbsp; 4.50% 12/20/50 | 125142 | 122891 |
| &nbsp;&nbsp; 4.50% 5/20/52 | 1826745 | 1781867 |
| &nbsp;&nbsp; 4.50% 8/20/52 | 833820 | 808764 |
| &nbsp;&nbsp; 4.50% 9/20/52 | 1956538 | 1905781 |
| &nbsp;&nbsp; 5.00% 5/20/48 | 99285 | 100230 |
| &nbsp;&nbsp; 5.00% 6/20/48 | 64578 | 64954 |
| &nbsp;&nbsp; 5.00% 9/20/48 | 123413 | 124537 |
| &nbsp;&nbsp; 5.00% 10/20/48 | 471611 | 476805 |
| &nbsp;&nbsp; 5.00% 11/20/48 | 199964 | 201745 |
| &nbsp;&nbsp; 5.00% 12/20/48 | 293873 | 296190 |
| &nbsp;&nbsp; 5.00% 1/20/49 | 340106 | 342926 |
| &nbsp;&nbsp; 5.00% 4/20/49 | 200757 | 202834 |
| &nbsp;&nbsp; 5.00% 9/20/49 | 200619 | 202529 |
| &nbsp;&nbsp; 5.00% 11/20/49 | 126451 | 127655 |
| &nbsp;&nbsp; 5.00% 1/20/50 | 174903 | 176564 |
| &nbsp;&nbsp; 5.00% 12/20/51 | 46547 | 46683 |
| &nbsp;&nbsp; 5.00% 9/20/52 | 892846 | 889820 |
| &nbsp;&nbsp; 5.00% 10/20/52 | 787858 | 783963 |
| &nbsp;&nbsp; 5.00% 11/20/52 | 1103356 | 1100608 |
| &nbsp;&nbsp; 5.00% 12/20/52 | 146575 | 145798 |
| &nbsp;&nbsp; 5.00% 1/20/53 | 2388848 | 2382978 |
| &nbsp;&nbsp; 5.00% 3/20/53 | 74428 | 73986 |
| &nbsp;&nbsp; 5.00% 5/20/53 | 375600 | 375011 |
| &nbsp;&nbsp; 5.00% 10/20/54 | 1073881 | 1068243 |
| &nbsp;&nbsp; 5.00% 6/20/63 | 590263 | 586913 |
| &nbsp;&nbsp;&nbsp; •5.17% (1 yr. CMT + 1.65%) <br> 4/20/72<br>| 1260202 | 1317412 |
| &nbsp;&nbsp;&nbsp; •5.18% (1 yr. CMT + 1.67%) <br> 4/20/72<br>| 1174269 | 1228193 |
| &nbsp;&nbsp;&nbsp; •5.21% (1 yr. CMT + 1.70%) <br> 2/20/72<br>| 1215159 | 1269168 |
| &nbsp;&nbsp;&nbsp; •5.21% (1 yr. CMT + 1.71%) <br> 3/20/72<br>| 1034502 | 1082366 |
| &nbsp;&nbsp;&nbsp; •5.29% (1 yr. CMT + 1.81%) <br> 8/20/71<br>| 1220220 | 1276283 |
| &nbsp;&nbsp;&nbsp; •5.33% (1 yr. CMT + 1.82%) <br> 7/20/72<br>| 950682 | 1004610 |
| &nbsp;&nbsp; 5.50% 6/15/38 | 430727 | 455268 |
| &nbsp;&nbsp; 5.50% 7/15/38 | 356579 | 375227 |
| &nbsp;&nbsp; 5.50% 9/15/38 | 606792 | 641988 |
| &nbsp;&nbsp; 5.50% 10/15/42 | 655262 | 681211 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 5.50% 11/20/52 | 1173351 | $1191913 |
| &nbsp;&nbsp; 5.50% 2/20/53 | 411907 | 415821 |
| &nbsp;&nbsp; 5.50% 4/20/53 | 639285 | 637166 |
| &nbsp;&nbsp; 5.50% 5/20/53 | 1371858 | 1392006 |
| &nbsp;&nbsp; 5.50% 6/20/53 | 708213 | 718401 |
| &nbsp;&nbsp; 5.50% 7/20/53 | 1906644 | 1934071 |
| &nbsp;&nbsp; 5.50% 2/20/54 | 1033432 | 1048298 |
| &nbsp;&nbsp; 5.50% 11/20/54 | 1128956 | 1158976 |
| &nbsp;&nbsp; 6.00% 5/15/37 | 22066 | 22786 |
| &nbsp;&nbsp; 6.00% 10/15/38 | 2990 | 3104 |
| &nbsp;&nbsp; 6.00% 4/20/53 | 702551 | 722034 |
| &nbsp;&nbsp; 6.00% 5/20/53 | 1339863 | 1382713 |
| &nbsp;&nbsp; 6.00% 6/20/53 | 878860 | 902700 |
| &nbsp;&nbsp; 6.00% 6/20/63 | 517195 | 527779 |
| &nbsp;&nbsp; 6.50% 3/15/28 | 95 | 95 |
| &nbsp;&nbsp; 6.50% 12/15/38 | 8691 | 9346 |
| &nbsp;&nbsp; 7.00% 11/15/27 | 112 | 113 |
| &nbsp;&nbsp; 7.00% 6/15/28 | 270 | 271 |
| &nbsp;&nbsp; 7.00% 6/15/33 | 1681 | 1758 |
| &nbsp;&nbsp; 7.50% 12/20/26 | 26 | 26 |
| &nbsp;&nbsp; 7.50% 9/15/28 | 313 | 319 |
| &nbsp;&nbsp; 8.00% 11/20/26 | 154 | 155 |
| &nbsp;&nbsp; 8.00% 1/20/27 | 50 | 50 |
| &nbsp;&nbsp; 8.00% 10/15/27 | 273 | 275 |
| **Total Agency Mortgage-Backed Securities** <br>**(Cost $767,186,871)** | **Total Agency Mortgage-Backed Securities** <br>**(Cost $767,186,871)** | **782720111** |
| **AGENCY OBLIGATIONS–0.02%** | **AGENCY OBLIGATIONS–0.02%** | **AGENCY OBLIGATIONS–0.02%** |
| &nbsp;&nbsp; ^Federal National Mortgage <br> Association Principal <br> STRIPS 0.00% 3/23/28<br>| 630000 | 579619 |
| Tennessee Valley Authority | Tennessee Valley Authority | Tennessee Valley Authority |
| &nbsp;&nbsp; 4.25% 9/15/65 | 101000 | 83079 |
| &nbsp;&nbsp; 4.63% 9/15/60 | 93000 | 81902 |
| &nbsp;&nbsp; 5.88% 4/1/36 | 140000 | 155201 |
| **Total Agency Obligations** <br>**(Cost $928,950)** | **Total Agency Obligations** <br>**(Cost $928,950)** | **899801** |
| **CORPORATE BONDS–24.53%** | **CORPORATE BONDS–24.53%** | **CORPORATE BONDS–24.53%** |
| **Aerospace & Defense–0.60%** | **Aerospace & Defense–0.60%** | **Aerospace & Defense–0.60%** |
| BAE Systems PLC |  |  |
| &nbsp;&nbsp; 1.90% 2/15/31 | 200000 | 176255 |
| &nbsp;&nbsp; 5.80% 10/11/41 | 51000 | 52951 |
| Boeing Co. |  |  |
| &nbsp;&nbsp; 2.70% 2/1/27 | 810000 | 798647 |
| &nbsp;&nbsp; 2.80% 3/1/27 | 240000 | 236273 |
| &nbsp;&nbsp; 3.20% 3/1/29 | 830000 | 800531 |
| &nbsp;&nbsp; 3.25% 3/1/28 | 224000 | 219164 |
| &nbsp;&nbsp; 3.75% 2/1/50 | 320000 | 226996 |
| &nbsp;&nbsp; 5.93% 5/1/60 | 560000 | 537537 |
| &nbsp;&nbsp; 6.30% 5/1/29 | 1190000 | 1249304 |
| &nbsp;&nbsp; 6.39% 5/1/31 | 675000 | 719780 |
| &nbsp;&nbsp; 6.53% 5/1/34 | 1110000 | 1209170 |
| &nbsp;&nbsp; 6.86% 5/1/54 | 2139000 | 2354130 |

---

*LVIP JPMorgan Core Bond Fund–16*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** |
| &nbsp;&nbsp; General Dynamics Corp. <br> 4.25% 4/1/40<br>| 50000 | $44898 |
| &nbsp;&nbsp; Honeywell Aerospace, Inc. <br> 4.95% 3/16/36<br>| 2955000 | 2931960 |
| L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp; 4.85% 4/27/35 | 440000 | 431607 |
| &nbsp;&nbsp; 5.25% 6/1/31 | 1080000 | 1105083 |
| &nbsp;&nbsp; 5.40% 7/31/33 | 297000 | 304720 |
| Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp; 4.15% 6/15/53 | 1580000 | 1247301 |
| &nbsp;&nbsp; 4.50% 5/15/36 | 640000 | 621635 |
| Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp; 4.75% 6/1/43 | 179000 | 161619 |
| &nbsp;&nbsp; 5.15% 5/1/40 | 140000 | 136461 |
| &nbsp;&nbsp; 5.20% 6/1/54 | 729000 | 671708 |
| &nbsp;&nbsp; 5.25% 5/1/50 | 3390000 | 3144030 |
| RTX Corp. |  |  |
| &nbsp;&nbsp; 2.25% 7/1/30 | 570000 | 521122 |
| &nbsp;&nbsp; 3.13% 7/1/50 | 1520000 | 999509 |
| &nbsp;&nbsp; 3.75% 11/1/46 | 80000 | 60846 |
| &nbsp;&nbsp; 4.13% 11/16/28 | 980000 | 975886 |
| &nbsp;&nbsp; 4.15% 5/15/45 | 138000 | 112808 |
| &nbsp;&nbsp; 4.35% 4/15/47 | 90000 | 74520 |
| &nbsp;&nbsp; 5.15% 2/27/33 | 221000 | 225387 |
|  |  | **22351838** |
| **Agriculture–0.24%** | **Agriculture–0.24%** | **Agriculture–0.24%** |
| Altria Group, Inc. |  |  |
| &nbsp;&nbsp; 2.45% 2/4/32 | 1730000 | 1518059 |
| &nbsp;&nbsp; 3.40% 2/4/41 | 610000 | 460440 |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp; 3.56% 8/15/27 | 600000 | 593416 |
| &nbsp;&nbsp; 4.39% 8/15/37 | 250000 | 227134 |
| &nbsp;&nbsp; 4.54% 8/15/47 | 754000 | 612197 |
| Bunge Ltd. Finance Corp. |  |  |
| &nbsp;&nbsp; 2.75% 5/14/31 | 400000 | 364220 |
| &nbsp;&nbsp; 3.20% 4/21/31 | 400000 | 373078 |
| &nbsp;&nbsp; 4.20% 9/17/29 | 1081000 | 1070773 |
| &nbsp;&nbsp; 4.65% 9/17/34 | 1228000 | 1188885 |
| &nbsp;&nbsp; 5.15% 8/4/35 | 1675000 | 1667823 |
| &nbsp;&nbsp; Philip Morris International, <br> Inc. 2.10% 5/1/30<br>| 810000 | 737162 |
| &nbsp;&nbsp; Reynolds American, Inc. <br> 5.85% 8/15/45<br>| 150000 | 145272 |
|  |  | **8958459** |
| **Airlines–0.32%** | **Airlines–0.32%** | **Airlines–0.32%** |
| &nbsp;&nbsp; ♦Air Canada Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 3.30% 7/15/31 | 160160 | 153151 |
| &nbsp;&nbsp; 3.55% 7/15/31 | 113960 | 108322 |
| &nbsp;&nbsp; 3.60% 9/15/28 | 50188 | 49492 |
| &nbsp;&nbsp; ♦American Airlines <br> Pass-Through Trust<br>|  |  |
| &nbsp;&nbsp; 3.00% 4/15/30 | 72857 | 70598 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Airlines (continued)** | **Airlines (continued)** | **Airlines (continued)** |
| &nbsp;&nbsp; ♦American Airlines <br> Pass-Through <br> Trust (continued)<br>|  |  |
| &nbsp;&nbsp; 3.38% 11/1/28 | 758537 | $748944 |
| &nbsp;&nbsp; 3.70% 4/1/28 | 21957 | 21879 |
| &nbsp;&nbsp; 3.95% 1/11/32 | 3425000 | 3266233 |
| &nbsp;&nbsp; 4.00% 3/22/29 | 2104863 | 2064448 |
| &nbsp;&nbsp; ♦British Airways Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 3.30% 6/15/34 | 105266 | 99558 |
| &nbsp;&nbsp; 3.80% 3/20/33 | 38899 | 37959 |
| &nbsp;&nbsp; 4.13% 3/20/33 | 52619 | 50851 |
| &nbsp;&nbsp; ♦Delta Air Lines Pass-Through <br> Trust 3.63% 1/30/29<br>| 216753 | 214110 |
| &nbsp;&nbsp; Delta Air Lines, Inc./SkyMiles <br> IP Ltd. 4.75% 10/20/28<br>| 1448333 | 1446241 |
| &nbsp;&nbsp; ♦United Airlines Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.70% 11/1/33 | 162363 | 149233 |
| &nbsp;&nbsp; 2.88% 4/7/30 | 60221 | 58090 |
| &nbsp;&nbsp; 3.10% 4/7/30 | 192708 | 184534 |
| &nbsp;&nbsp; 3.70% 9/1/31 | 251465 | 241594 |
| &nbsp;&nbsp; 4.00% 10/11/27 | 32168 | 32139 |
| &nbsp;&nbsp; 4.15% 2/25/33 | 171174 | 167431 |
| &nbsp;&nbsp; 5.45% 8/15/38 | 2616251 | 2665826 |
|  |  | **11830633** |
| **Auto Manufacturers–0.06%** | **Auto Manufacturers–0.06%** | **Auto Manufacturers–0.06%** |
| &nbsp;&nbsp; General Motors Financial Co., <br> Inc. 5.63% 4/4/32<br>| 263000 | 269109 |
| Hyundai Capital America |  |  |
| &nbsp;&nbsp; 1.50% 6/15/26 | 45000 | 44728 |
| &nbsp;&nbsp; 1.80% 1/10/28 | 215000 | 204757 |
| &nbsp;&nbsp; 2.38% 10/15/27 | 130000 | 125809 |
| &nbsp;&nbsp; 3.00% 2/10/27 | 200000 | 197401 |
| &nbsp;&nbsp; 5.65% 6/26/26 | 1280000 | 1283455 |
|  |  | **2125259** |
| **Banks–9.77%** | **Banks–9.77%** | **Banks–9.77%** |
| μABN AMRO Bank NV |  |  |
| &nbsp;&nbsp; 2.47% 12/13/29 | 900000 | 851871 |
| &nbsp;&nbsp; 5.52% 12/3/35 | 2200000 | 2230121 |
| μAIB Group PLC |  |  |
| &nbsp;&nbsp; 5.32% 5/15/31 | 725000 | 738036 |
| &nbsp;&nbsp; 5.87% 3/28/35 | 2340000 | 2418065 |
| &nbsp;&nbsp; 6.61% 9/13/29 | 1490000 | 1559420 |
| &nbsp;&nbsp; Banco Bilbao Vizcaya <br> Argentaria SA 5.13% 3/3/36<br>| 2400000 | 2334510 |
| &nbsp;&nbsp; Banco Nacional de Panama <br> 2.50% 8/11/30<br>| 300000 | 265949 |
| Banco Santander SA |  |  |
| μ1.72% 9/14/27 | 200000 | 197448 |
| μ4.18% 3/24/28 | 200000 | 199119 |
| &nbsp;&nbsp; 4.55% 11/6/30 | 2600000 | 2562756 |
| &nbsp;&nbsp; 5.13% 11/6/35 | 1600000 | 1559808 |

---

*LVIP JPMorgan Core Bond Fund–17*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Banco Santander <br> SA (continued)<br>|  |  |
| &nbsp;&nbsp; 5.59% 8/8/28 | 400000 | $409729 |
| &nbsp;&nbsp; 6.61% 11/7/28 | 600000 | 630605 |
| Bank of America Corp. |  |  |
| μ1.73% 7/22/27 | 235000 | 233037 |
| μ1.90% 7/23/31 | 1450000 | 1291433 |
| μ2.57% 10/20/32 | 2450000 | 2179812 |
| μ2.59% 4/29/31 | 1083000 | 1000514 |
| μ2.68% 6/19/41 | 4243000 | 3040752 |
| μ2.97% 2/4/33 | 3510000 | 3177298 |
| μ3.97% 2/7/30 | 890000 | 877755 |
| μ4.08% 3/20/51 | 3690000 | 2854245 |
| μ4.33% 3/15/50 | 720000 | 583746 |
| &nbsp;&nbsp; 5.00% 1/21/44 | 1660000 | 1544403 |
| μ5.02% 7/22/33 | 1800000 | 1810633 |
| μ5.16% 1/24/31 | 813000 | 828489 |
| μ5.51% 1/24/36 | 710000 | 724044 |
| μ5.52% 10/25/35 | 2189000 | 2188950 |
| μ5.82% 9/15/29 | 825000 | 851061 |
| μ5.87% 9/15/34 | 420000 | 439808 |
| μ6.20% 11/10/28 | 1943000 | 1996031 |
| μBank of Ireland Group PLC |  |  |
| &nbsp;&nbsp; 2.03% 9/30/27 | 206000 | 203349 |
| &nbsp;&nbsp; 5.60% 3/20/30 | 3300000 | 3384252 |
| &nbsp;&nbsp; μBank of Montreal 4.44% <br> 1/14/32<br>| 2490000 | 2451621 |
| &nbsp;&nbsp; μBank of New York Mellon <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 4.94% 2/11/31 | 633000 | 641351 |
| &nbsp;&nbsp; 6.47% 10/25/34 | 980000 | 1071161 |
| Bank of Nova Scotia |  |  |
| μ4.81% 2/2/34 | 2290000 | 2257484 |
| &nbsp;&nbsp; 4.85% 2/1/30 | 111000 | 112272 |
| &nbsp;&nbsp; Banque Federative du Credit <br> Mutuel SA<br>|  |  |
| &nbsp;&nbsp; 1.60% 10/4/26 | 245000 | 241660 |
| &nbsp;&nbsp; 4.54% 1/15/31 | 1635000 | 1612383 |
| &nbsp;&nbsp; 5.54% 1/22/30 | 1715000 | 1762917 |
| μBarclays PLC |  |  |
| &nbsp;&nbsp; 2.89% 11/24/32 | 200000 | 178694 |
| &nbsp;&nbsp; 4.94% 9/10/30 | 1262000 | 1268503 |
| &nbsp;&nbsp; 4.97% 5/16/29 | 1450000 | 1458821 |
| &nbsp;&nbsp; 5.21% 2/24/37 | 1125000 | 1088759 |
| &nbsp;&nbsp; 5.79% 2/25/36 | 885000 | 894849 |
| &nbsp;&nbsp; 6.22% 5/9/34 | 853000 | 894543 |
| &nbsp;&nbsp; 6.50% 9/13/27 | 750000 | 756040 |
| BNP Paribas SA |  |  |
| μ3.13% 1/20/33 | 320000 | 287667 |
| &nbsp;&nbsp; 4.40% 8/14/28 | 1360000 | 1354240 |
| μ5.20% 1/10/30 | 960000 | 973274 |
| μ5.28% 11/19/30 | 2945000 | 2989838 |
| μ5.50% 5/20/30 | 635000 | 650251 |
| μ5.79% 1/13/33 | 4655000 | 4808718 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| μBPCE SA |  |  |
| &nbsp;&nbsp; 2.28% 1/20/32 | 250000 | $220383 |
| &nbsp;&nbsp; 5.39% 5/28/31 | 2820000 | 2857991 |
| &nbsp;&nbsp; 5.94% 5/30/35 | 1942000 | 1986350 |
| &nbsp;&nbsp; 6.03% 5/28/36 | 3385000 | 3460917 |
| &nbsp;&nbsp; 6.29% 1/14/36 | 6165000 | 6452528 |
| &nbsp;&nbsp; 6.71% 10/19/29 | 1500000 | 1569100 |
| &nbsp;&nbsp; 7.00% 10/19/34 | 975000 | 1065560 |
| μCaixaBank SA |  |  |
| &nbsp;&nbsp; 5.58% 7/3/36 | 6516000 | 6553072 |
| &nbsp;&nbsp; 5.67% 3/15/30 | 427000 | 438708 |
| &nbsp;&nbsp; 6.04% 6/15/35 | 2135000 | 2223599 |
| &nbsp;&nbsp; 6.84% 9/13/34 | 1064000 | 1158792 |
| Citibank NA 5.49% 12/4/26 | 1071000 | 1079411 |
| Citigroup, Inc. |  |  |
| μ2.56% 5/1/32 | 625000 | 559090 |
| μ2.57% 6/3/31 | 3210000 | 2942543 |
| μ2.90% 11/3/42 | 75000 | 53545 |
| μ3.06% 1/25/33 | 221000 | 199859 |
| μ3.52% 10/27/28 | 75000 | 73884 |
| μ3.67% 7/24/28 | 605000 | 598557 |
| μ3.79% 3/17/33 | 1250000 | 1172568 |
| μ4.08% 4/23/29 | 74000 | 73456 |
| μ4.50% 9/11/31 | 395000 | 390510 |
| μ4.54% 9/19/30 | 1664000 | 1658227 |
| &nbsp;&nbsp; 4.65% 7/23/48 | 1540000 | 1303417 |
| μ4.66% 5/24/28 | 300000 | 300565 |
| μ4.91% 5/24/33 | 1990000 | 1980991 |
| μ5.17% 9/11/36 | 1060000 | 1050770 |
| μ5.33% 3/27/36 | 1600000 | 1604874 |
| μ5.61% 3/4/56 | 503000 | 483094 |
| &nbsp;&nbsp; 8.13% 7/15/39 | 50000 | 62274 |
| μCooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp; 3.65% 4/6/28 | 600000 | 594559 |
| &nbsp;&nbsp; 3.76% 4/6/33 | 500000 | 468257 |
| &nbsp;&nbsp; 4.99% 5/27/31 | 1955000 | 1973834 |
| μCredit Agricole SA |  |  |
| &nbsp;&nbsp; 4.82% 9/25/33 | 585000 | 573064 |
| &nbsp;&nbsp; 5.22% 5/27/31 | 919000 | 930163 |
| &nbsp;&nbsp; 5.23% 1/9/29 | 824000 | 833017 |
| &nbsp;&nbsp; 5.26% 1/12/37 | 2465000 | 2411408 |
| &nbsp;&nbsp; 5.86% 1/9/36 | 5900000 | 6077572 |
| μDanske Bank AS |  |  |
| &nbsp;&nbsp; 4.42% 9/12/31 | 1355000 | 1330340 |
| &nbsp;&nbsp; 4.61% 10/2/30 | 1054000 | 1050887 |
| &nbsp;&nbsp; 5.02% 3/4/31 | 1425000 | 1434229 |
| &nbsp;&nbsp; 5.71% 3/1/30 | 970000 | 997656 |
| Deutsche Bank AG |  |  |
| μ2.55% 1/7/28 | 350000 | 344555 |
| μ3.55% 9/18/31 | 730000 | 686290 |
| μ4.47% 12/10/31 | 720000 | 707928 |
| μ4.95% 8/4/31 | 1100000 | 1095857 |
| μ5.00% 9/11/30 | 520000 | 522449 |
| μ5.30% 5/9/31 | 4127000 | 4169594 |

---

*LVIP JPMorgan Core Bond Fund–18*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Deutsche Bank <br> AG (continued)<br>|  |  |
| μ5.37% 1/10/29 | 4145000 | $4192735 |
| &nbsp;&nbsp; 5.41% 5/10/29 | 985000 | 1011779 |
| μ6.72% 1/18/29 | 786000 | 814332 |
| μ6.82% 11/20/29 | 2159000 | 2266881 |
| μ7.15% 7/13/27 | 478000 | 481224 |
| μDNB Bank ASA |  |  |
| &nbsp;&nbsp; 1.61% 3/30/28 | 325000 | 315821 |
| &nbsp;&nbsp; 4.38% 11/4/31 | 935000 | 921605 |
| &nbsp;&nbsp; μFifth Third Bancorp 5.14% <br> 1/29/37<br>| 1750000 | 1704715 |
| Goldman Sachs Group, Inc. |  |  |
| μ1.95% 10/21/27 | 195000 | 192339 |
| μ2.38% 7/21/32 | 95000 | 83864 |
| &nbsp;&nbsp; 2.60% 2/7/30 | 400000 | 372089 |
| μ2.64% 2/24/28 | 301000 | 296150 |
| μ2.65% 10/21/32 | 1120000 | 994314 |
| μ2.91% 7/21/42 | 580000 | 408529 |
| μ3.10% 2/24/33 | 1511000 | 1364658 |
| μ3.21% 4/22/42 | 250000 | 185370 |
| μ3.62% 3/15/28 | 270000 | 267848 |
| μ3.81% 4/23/29 | 45000 | 44391 |
| μ4.02% 10/31/38 | 400000 | 349181 |
| μ4.22% 5/1/29 | 1780000 | 1769956 |
| μ4.41% 4/23/39 | 215000 | 192549 |
| &nbsp;&nbsp; 4.75% 10/21/45 | 810000 | 701567 |
| μ4.94% 10/21/36 | 680000 | 658523 |
| μ5.02% 10/23/35 | 887000 | 870594 |
| μ5.07% 1/21/37 | 1460000 | 1427401 |
| μ5.22% 4/23/31 | 1398000 | 1421577 |
| μ5.33% 7/23/35 | 1345000 | 1349555 |
| μ5.54% 1/28/36 | 3000000 | 3049458 |
| μ5.56% 11/19/45 | 738000 | 709981 |
| μ5.73% 1/28/56 | 850000 | 829881 |
| μ5.85% 4/25/35 | 2780000 | 2884731 |
| &nbsp;&nbsp; 6.25% 2/1/41 | 1260000 | 1326286 |
| μ6.48% 10/24/29 | 2096000 | 2192719 |
| μHSBC Holdings PLC |  |  |
| &nbsp;&nbsp; 2.21% 8/17/29 | 200000 | 189319 |
| &nbsp;&nbsp; 2.36% 8/18/31 | 300000 | 270598 |
| &nbsp;&nbsp; 2.87% 11/22/32 | 1985000 | 1776097 |
| &nbsp;&nbsp; 3.97% 5/22/30 | 1740000 | 1703599 |
| &nbsp;&nbsp; 4.62% 11/6/31 | 1095000 | 1079792 |
| &nbsp;&nbsp; 4.68% 3/10/32 | 1990000 | 1963628 |
| &nbsp;&nbsp; 5.13% 3/3/31 | 845000 | 854549 |
| &nbsp;&nbsp; 5.13% 11/6/36 | 1450000 | 1418324 |
| &nbsp;&nbsp; 5.24% 5/13/31 | 2010000 | 2038311 |
| &nbsp;&nbsp; 5.28% 3/10/37 | 2840000 | 2788989 |
| &nbsp;&nbsp; 5.29% 11/19/30 | 2090000 | 2127935 |
| &nbsp;&nbsp; 6.33% 3/9/44 | 200000 | 210801 |
| μHuntington Bancshares, Inc. |  |  |
| &nbsp;&nbsp; 5.27% 1/15/31 | 780000 | 791821 |
| &nbsp;&nbsp; 6.21% 8/21/29 | 712000 | 738642 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| ING Groep NV |  |  |
| &nbsp;&nbsp; 3.95% 3/29/27 | 200000 | $199402 |
| μ4.80% 3/23/32 | 1740000 | 1729582 |
| μ5.42% 3/23/37 | 1190000 | 1186526 |
| μKBC Group NV |  |  |
| &nbsp;&nbsp; 4.45% 9/23/31 | 4800000 | 4724933 |
| &nbsp;&nbsp; 4.93% 10/16/30 | 670000 | 674359 |
| &nbsp;&nbsp; 6.32% 9/21/34 | 520000 | 556339 |
| μKeyCorp |  |  |
| &nbsp;&nbsp; 4.79% 6/1/33 | 55000 | 53746 |
| &nbsp;&nbsp; 5.12% 4/4/31 | 1465000 | 1479452 |
| &nbsp;&nbsp; 5.31% 1/28/37 | 895000 | 876523 |
| μLloyds Banking Group PLC |  |  |
| &nbsp;&nbsp; 1.63% 5/11/27 | 245000 | 244143 |
| &nbsp;&nbsp; 4.94% 11/4/36 | 2720000 | 2625332 |
| &nbsp;&nbsp; 5.46% 1/5/28 | 1180000 | 1188705 |
| &nbsp;&nbsp; 5.72% 6/5/30 | 420000 | 433716 |
| μM&T Bank Corp. 5.18% 7/8/31 | 2565000 | 2591880 |
| &nbsp;&nbsp; μMitsubishi UFJ Financial <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 1.54% 7/20/27 | 220000 | 218003 |
| &nbsp;&nbsp; 4.08% 4/19/28 | 590000 | 587765 |
| &nbsp;&nbsp; 5.06% 1/14/37 | 2130000 | 2092571 |
| &nbsp;&nbsp; 5.16% 4/24/31 | 200000 | 202846 |
| &nbsp;&nbsp; 5.19% 9/12/36 | 2380000 | 2362818 |
| μMizuho Financial Group, Inc. |  |  |
| &nbsp;&nbsp; 1.23% 5/22/27 | 255000 | 253797 |
| &nbsp;&nbsp; 2.87% 9/13/30 | 220000 | 207428 |
| &nbsp;&nbsp; 4.71% 7/8/31 | 1965000 | 1961753 |
| &nbsp;&nbsp; 5.32% 7/8/36 | 4255000 | 4273833 |
| &nbsp;&nbsp; 5.74% 5/27/31 | 400000 | 414565 |
| Morgan Stanley |  |  |
| μ1.79% 2/13/32 | 280000 | 242463 |
| μ2.48% 1/21/28 | 39000 | 38389 |
| μ2.70% 1/22/31 | 1740000 | 1615631 |
| μ3.22% 4/22/42 | 265000 | 199783 |
| μ3.62% 4/1/31 | 3530000 | 3384937 |
| &nbsp;&nbsp; 4.30% 1/27/45 | 85000 | 70285 |
| μ4.36% 10/22/31 | 1395000 | 1367085 |
| μ4.43% 1/23/30 | 209000 | 208059 |
| μ4.71% 3/12/32 | 2675000 | 2656989 |
| μ4.89% 10/22/36 | 1175000 | 1135878 |
| μ5.04% 7/19/30 | 870000 | 880064 |
| μ5.07% 1/30/37 | 2075000 | 2032918 |
| μ5.17% 1/16/30 | 100000 | 101406 |
| μ5.19% 4/17/31 | 132000 | 133966 |
| μ5.32% 7/19/35 | 1180000 | 1184093 |
| μ5.42% 7/21/34 | 120000 | 121759 |
| μ5.59% 1/18/36 | 1955000 | 1993171 |
| μ5.66% 4/17/36 | 477000 | 488573 |
| μ5.83% 4/19/35 | 1271000 | 1319537 |
| μ5.90% 3/13/47 | 3705000 | 3687809 |
| μ6.30% 10/18/28 | 1061000 | 1088767 |
| μ6.41% 11/1/29 | 669000 | 698233 |

---

*LVIP JPMorgan Core Bond Fund–19*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; μMorgan Stanley Private Bank <br> NA 4.73% 7/18/31<br>| 393000 | $391783 |
| NatWest Group PLC |  |  |
| &nbsp;&nbsp; 4.80% 4/5/26 | 283000 | 282988 |
| μ4.89% 5/18/29 | 1660000 | 1671601 |
| μ4.96% 8/15/30 | 1000000 | 1008887 |
| μ5.08% 1/27/30 | 215000 | 217369 |
| μ5.78% 3/1/35 | 7450000 | 7701318 |
| μ5.81% 9/13/29 | 440000 | 452718 |
| &nbsp;&nbsp; NatWest Markets PLC 5.41% <br> 5/17/29<br>| 345000 | 354188 |
| &nbsp;&nbsp; μPNC Financial Services <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 4.81% 10/21/32 | 1030000 | 1026574 |
| &nbsp;&nbsp; 5.07% 1/24/34 | 361000 | 360924 |
| &nbsp;&nbsp; 5.37% 7/21/36 | 2483000 | 2493839 |
| &nbsp;&nbsp; 5.58% 1/29/36 | 430000 | 438989 |
| &nbsp;&nbsp; 5.68% 1/22/35 | 459000 | 472177 |
| &nbsp;&nbsp; 6.88% 10/20/34 | 671000 | 741301 |
| &nbsp;&nbsp; Royal Bank of Canada 3.88% <br> 5/4/32<br>| 1930000 | 1852426 |
| &nbsp;&nbsp; μSantander Holdings USA, Inc. <br> 6.17% 1/9/30<br>| 1460000 | 1508532 |
| &nbsp;&nbsp; μSantander U.K. Group <br> Holdings PLC<br>|  |  |
| &nbsp;&nbsp; 1.67% 6/14/27 | 220000 | 218648 |
| &nbsp;&nbsp; 4.86% 9/11/30 | 2415000 | 2420252 |
| &nbsp;&nbsp; 5.69% 4/15/31 | 3015000 | 3100883 |
| &nbsp;&nbsp; 6.53% 1/10/29 | 470000 | 484949 |
| &nbsp;&nbsp; Skandinaviska Enskilda <br> Banken AB<br>|  |  |
| &nbsp;&nbsp; 4.50% 9/3/30 | 1660000 | 1649946 |
| &nbsp;&nbsp; 5.38% 3/5/29 | 1630000 | 1670368 |
| Societe Generale SA |  |  |
| μ1.79% 6/9/27 | 215000 | 213865 |
| μ2.89% 6/9/32 | 500000 | 448464 |
| μ3.34% 1/21/33 | 3970000 | 3583522 |
| &nbsp;&nbsp; 5.25% 2/19/27 | 1208000 | 1215504 |
| μ5.40% 4/10/37 | 4050000 | 3918080 |
| μ5.44% 10/3/36 | 1000000 | 978391 |
| μ5.51% 5/22/31 | 3283000 | 3351501 |
| μ6.10% 4/13/33 | 4045000 | 4202447 |
| μStandard Chartered PLC |  |  |
| &nbsp;&nbsp; 5.01% 10/15/30 | 478000 | 481999 |
| &nbsp;&nbsp; 5.24% 1/13/37 | 680000 | 658846 |
| &nbsp;&nbsp; 5.69% 5/14/28 | 693000 | 701196 |
| State Street Corp. |  |  |
| μ4.78% 10/23/36 | 925000 | 899045 |
| μ4.82% 1/26/34 | 200000 | 198908 |
| &nbsp;&nbsp; 4.83% 4/24/30 | 370000 | 375821 |
| &nbsp;&nbsp; 4.99% 3/18/27 | 682000 | 686667 |
| &nbsp;&nbsp; Sumitomo Mitsui Financial <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.01% 10/19/26 | 25000 | 24865 |
| &nbsp;&nbsp; 3.04% 7/16/29 | 345000 | 328161 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Sumitomo Mitsui Financial <br> Group, Inc. (continued)<br>|  |  |
| μ4.95% 7/8/33 | 1500000 | $1494280 |
| &nbsp;&nbsp; 5.24% 4/15/30 | 400000 | 408391 |
| μ5.57% 1/15/47 | 2370000 | 2293453 |
| &nbsp;&nbsp; 5.71% 1/13/30 | 370000 | 383403 |
| &nbsp;&nbsp; 5.72% 9/14/28 | 310000 | 318711 |
| Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp; 4.46% 6/8/32 | 1180000 | 1160142 |
| &nbsp;&nbsp; 5.16% 1/10/28 | 240000 | 243050 |
| &nbsp;&nbsp; 5.30% 1/30/32 | 1280000 | 1314713 |
| μTruist Bank 4.63% 9/17/29 | 1905000 | 1888649 |
| μTruist Financial Corp. |  |  |
| &nbsp;&nbsp; 4.96% 10/23/36 | 2405000 | 2329496 |
| &nbsp;&nbsp; 5.07% 5/20/31 | 1440000 | 1455698 |
| &nbsp;&nbsp; 5.71% 1/24/35 | 800000 | 825235 |
| &nbsp;&nbsp; 6.05% 6/8/27 | 2000000 | 2005038 |
| &nbsp;&nbsp; 7.16% 10/30/29 | 1080000 | 1147860 |
| μU.S. Bancorp |  |  |
| &nbsp;&nbsp; 2.22% 1/27/28 | 130000 | 127732 |
| &nbsp;&nbsp; 4.65% 2/1/29 | 1407000 | 1413436 |
| &nbsp;&nbsp; 5.05% 2/12/31 | 634000 | 643236 |
| &nbsp;&nbsp; 5.38% 1/23/30 | 217000 | 222230 |
| &nbsp;&nbsp; 5.68% 1/23/35 | 2568000 | 2652383 |
| &nbsp;&nbsp; 5.78% 6/12/29 | 840000 | 864007 |
| &nbsp;&nbsp; 5.84% 6/12/34 | 330000 | 344431 |
| &nbsp;&nbsp; 6.79% 10/26/27 | 325000 | 329327 |
| μU.S. Bank NA 4.73% 5/15/28 | 592000 | 594152 |
| UBS AG 4.50% 6/26/48 | 200000 | 166935 |
| μUBS Group AG |  |  |
| &nbsp;&nbsp; 2.75% 2/11/33 | 440000 | 389123 |
| &nbsp;&nbsp; 3.09% 5/14/32 | 1837000 | 1684669 |
| &nbsp;&nbsp; 3.87% 1/12/29 | 250000 | 247121 |
| &nbsp;&nbsp; 4.19% 4/1/31 | 1280000 | 1252369 |
| &nbsp;&nbsp; 4.40% 9/23/31 | 475000 | 466325 |
| &nbsp;&nbsp; 4.75% 5/12/28 | 1320000 | 1323659 |
| &nbsp;&nbsp; 4.84% 11/6/33 | 2730000 | 2685203 |
| &nbsp;&nbsp; 5.01% 3/23/37 | 2010000 | 1943789 |
| &nbsp;&nbsp; 5.20% 8/10/37 | 1245000 | 1216046 |
| &nbsp;&nbsp; 5.58% 5/9/36 | 642000 | 651141 |
| &nbsp;&nbsp; 6.30% 9/22/34 | 539000 | 572981 |
| μUniCredit SpA 1.98% 6/3/27 | 200000 | 199076 |
| Wells Fargo & Co. |  |  |
| μ2.39% 6/2/28 | 750000 | 732042 |
| μ2.88% 10/30/30 | 1390000 | 1311436 |
| &nbsp;&nbsp; 3.00% 10/23/26 | 1060000 | 1052715 |
| μ3.35% 3/2/33 | 1070000 | 982459 |
| &nbsp;&nbsp; 4.15% 1/24/29 | 1290000 | 1282750 |
| μ4.48% 4/4/31 | 1230000 | 1219374 |
| μ4.90% 7/25/33 | 269000 | 267624 |
| μ5.01% 4/4/51 | 7300000 | 6431249 |
| μ5.15% 4/23/31 | 671000 | 682465 |
| μ5.21% 12/3/35 | 1320000 | 1314162 |
| μ5.24% 1/24/31 | 489000 | 498477 |
| μ5.39% 4/24/34 | 325000 | 329867 |

---

*LVIP JPMorgan Core Bond Fund–20*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Wells Fargo & <br> Co. (continued)<br>|  |  |
| μ5.50% 1/23/35 | 4860000 | $4947230 |
| μ5.56% 7/25/34 | 310000 | 317708 |
| μ5.57% 7/25/29 | 276000 | 282340 |
| μ5.61% 4/23/36 | 913000 | 934298 |
| &nbsp;&nbsp; Westpac New Zealand Ltd. <br> 4.90% 2/15/28<br>| 560000 | 565804 |
|  |  | **365290641** |
| **Beverages–0.11%** | **Beverages–0.11%** | **Beverages–0.11%** |
| &nbsp;&nbsp; Anheuser-Busch InBev <br> Worldwide, Inc. 5.55% <br> 1/23/49<br>| 1610000 | 1563586 |
| &nbsp;&nbsp; Coca-Cola Femsa SAB de CV <br> 1.85% 9/1/32<br>| 215000 | 179366 |
| Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 8/1/31 | 100000 | 88206 |
| &nbsp;&nbsp; 2.88% 5/1/30 | 420000 | 393011 |
| &nbsp;&nbsp; 4.35% 5/9/27 | 490000 | 489362 |
| &nbsp;&nbsp; 4.50% 5/9/47 | 65000 | 52962 |
| &nbsp;&nbsp; 4.75% 5/9/32 | 20000 | 19849 |
| &nbsp;&nbsp; 5.25% 11/15/48 | 25000 | 22469 |
| Maple Parent Holdings Corp. |  |  |
| &nbsp;&nbsp; 5.05% 3/26/31 | 785000 | 781681 |
| &nbsp;&nbsp; 5.70% 3/26/36 | 607000 | 603108 |
|  |  | **4193600** |
| **Biotechnology–0.22%** | **Biotechnology–0.22%** | **Biotechnology–0.22%** |
| Amgen, Inc. |  |  |
| &nbsp;&nbsp; 1.65% 8/15/28 | 120000 | 113147 |
| &nbsp;&nbsp; 3.15% 2/21/40 | 428000 | 332886 |
| &nbsp;&nbsp; 4.66% 6/15/51 | 300000 | 251690 |
| &nbsp;&nbsp; 4.85% 2/19/36 | 2835000 | 2785475 |
| &nbsp;&nbsp; 5.60% 3/2/43 | 390000 | 384398 |
| &nbsp;&nbsp; 5.65% 3/2/53 | 1275000 | 1234891 |
| Baxalta, Inc. 5.25% 6/23/45 | 3000 | 2792 |
| Biogen, Inc. 5.75% 5/15/35 | 1100000 | 1137564 |
| &nbsp;&nbsp; Gilead Sciences, Inc. 2.60% <br> 10/1/40<br>| 2386000 | 1726971 |
| &nbsp;&nbsp; Regeneron Pharmaceuticals, <br> Inc. 1.75% 9/15/30<br>| 460000 | 407726 |
|  |  | **8377540** |
| **Building Materials–0.01%** | **Building Materials–0.01%** | **Building Materials–0.01%** |
| &nbsp;&nbsp; Carrier Global Corp. 3.58% <br> 4/5/50<br>| 24000 | 17153 |
| Masco Corp. |  |  |
| &nbsp;&nbsp; 2.00% 10/1/30 | 56000 | 49772 |
| &nbsp;&nbsp; 6.50% 8/15/32 | 80000 | 86231 |
| &nbsp;&nbsp; Trane Technologies Financing <br> Ltd. 5.25% 3/3/33<br>| 150000 | 153823 |
|  |  | **306979** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Chemicals–0.16%** | **Chemicals–0.16%** | **Chemicals–0.16%** |
| &nbsp;&nbsp; CF Industries, Inc. 5.30% <br> 11/26/35<br>| 740000 | $737012 |
| DuPont de Nemours, Inc. |  |  |
| &nbsp;&nbsp; 5.32% 11/15/38 | 626000 | 616734 |
| &nbsp;&nbsp; 5.42% 11/15/48 | 139000 | 128637 |
| EIDP, Inc. 5.13% 5/15/32 | 2120000 | 2150470 |
| &nbsp;&nbsp; International Flavors & <br> Fragrances, Inc. 2.30% <br> 11/1/30<br>| 2220000 | 1977768 |
| &nbsp;&nbsp; Ma'aden Sukuk Ltd. 5.25% <br> 2/13/30<br>| 297000 | 298465 |
|  |  | **5909086** |
| **Commercial Services–0.42%** | **Commercial Services–0.42%** | **Commercial Services–0.42%** |
| DP World Ltd. |  |  |
| &nbsp;&nbsp; 4.70% 9/30/49 | 1030000 | 809674 |
| &nbsp;&nbsp; 5.63% 9/25/48 | 3080000 | 2758415 |
| &nbsp;&nbsp; Element Fleet Management <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 5.04% 3/25/30 | 1825000 | 1841796 |
| &nbsp;&nbsp; 6.27% 6/26/26 | 235000 | 235612 |
| &nbsp;&nbsp; 6.32% 12/4/28 | 990000 | 1031536 |
| ERAC USA Finance LLC |  |  |
| &nbsp;&nbsp; 5.63% 3/15/42 | 12000 | 11931 |
| &nbsp;&nbsp; 7.00% 10/15/37 | 160000 | 181908 |
| &nbsp;&nbsp; Ford Foundation 2.82% <br> 6/1/70<br>| 90000 | 50174 |
| Global Payments, Inc. |  |  |
| &nbsp;&nbsp; 2.90% 5/15/30 | 48000 | 43874 |
| &nbsp;&nbsp; 2.90% 11/15/31 | 92000 | 80614 |
| &nbsp;&nbsp; 3.20% 8/15/29 | 236000 | 222585 |
| &nbsp;&nbsp; 5.30% 8/15/29 | 91000 | 91624 |
| &nbsp;&nbsp; 5.40% 3/15/33 | 1760000 | 1717711 |
| &nbsp;&nbsp; 5.55% 11/15/35 | 4050000 | 3902737 |
| &nbsp;&nbsp; Pepperdine University 3.30% <br> 12/1/59<br>| 110000 | 69465 |
| Quanta Services, Inc. |  |  |
| &nbsp;&nbsp; 2.35% 1/15/32 | 270000 | 235172 |
| &nbsp;&nbsp; 2.90% 10/1/30 | 360000 | 333918 |
| &nbsp;&nbsp; 5.10% 8/9/35 | 1830000 | 1804864 |
| &nbsp;&nbsp; University of Miami 4.06% <br> 4/1/52<br>| 120000 | 93167 |
| &nbsp;&nbsp; University of Southern <br> California 3.23% 10/1/20<br>| 110000 | 61005 |
|  |  | **15577782** |
| **Computers–0.25%** | **Computers–0.25%** | **Computers–0.25%** |
| &nbsp;&nbsp; Accenture Capital, Inc. 4.50% <br> 10/4/34<br>| 1098000 | 1061601 |
| Apple, Inc. |  |  |
| &nbsp;&nbsp; 2.70% 8/5/51 | 965000 | 591006 |
| &nbsp;&nbsp; 3.45% 2/9/45 | 82000 | 62659 |
| &nbsp;&nbsp; 3.75% 9/12/47 | 140000 | 108255 |
| CGI, Inc. 2.30% 9/14/31 | 370000 | 323397 |

---

*LVIP JPMorgan Core Bond Fund–21*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Computers (continued)** | **Computers (continued)** | **Computers (continued)** |
| &nbsp;&nbsp; Dell International LLC/EMC <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 4.90% 10/1/26 | 292000 | $292406 |
| &nbsp;&nbsp; 5.25% 2/1/28 | 287000 | 290817 |
| &nbsp;&nbsp; 5.30% 4/1/32 | 3180000 | 3229373 |
| Leidos, Inc. |  |  |
| &nbsp;&nbsp; 2.30% 2/15/31 | 1370000 | 1219184 |
| &nbsp;&nbsp; 5.40% 3/15/32 | 862000 | 878680 |
| &nbsp;&nbsp; 5.50% 3/15/35 | 1173000 | 1192036 |
| &nbsp;&nbsp; 5.75% 3/15/33 | 150000 | 155495 |
|  |  | **9404909** |
| **Cosmetics & Personal Care–0.06%** | **Cosmetics & Personal Care–0.06%** | **Cosmetics & Personal Care–0.06%** |
| Haleon U.S. Capital LLC |  |  |
| &nbsp;&nbsp; 3.38% 3/24/27 | 590000 | 584231 |
| &nbsp;&nbsp; 3.63% 3/24/32 | 640000 | 601374 |
| Kenvue, Inc. 4.90% 3/22/33 | 930000 | 937484 |
|  |  | **2123089** |
| **Distribution/Wholesale–0.00%** | **Distribution/Wholesale–0.00%** | **Distribution/Wholesale–0.00%** |
| &nbsp;&nbsp; WW Grainger, Inc. 4.60% <br> 6/15/45<br>| 77000 | 68342 |
|  |  | **68342** |
| **Diversified Financial Services–1.06%** | **Diversified Financial Services–1.06%** | **Diversified Financial Services–1.06%** |
| &nbsp;&nbsp; AerCap Ireland Capital <br> DAC/AerCap Global Aviation <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.45% 10/29/26 | 2140000 | 2116428 |
| &nbsp;&nbsp; 3.00% 10/29/28 | 1771000 | 1704737 |
| &nbsp;&nbsp; 3.30% 1/30/32 | 4205000 | 3819089 |
| &nbsp;&nbsp; 4.75% 1/15/33 | 440000 | 427662 |
| &nbsp;&nbsp; 5.00% 11/15/35 | 480000 | 463655 |
| &nbsp;&nbsp; 5.10% 1/19/29 | 364000 | 368755 |
| &nbsp;&nbsp; 6.10% 1/15/27 | 440000 | 444791 |
| &nbsp;&nbsp; Aircastle Ltd./Aircastle <br> Ireland DAC<br>|  |  |
| &nbsp;&nbsp; 5.00% 9/15/30 | 709000 | 707312 |
| &nbsp;&nbsp; 5.25% 3/15/30 | 751000 | 757179 |
| &nbsp;&nbsp; 5.75% 10/1/31 | 810000 | 829374 |
| μAmerican Express Co. |  |  |
| &nbsp;&nbsp; 4.80% 10/24/36 | 1670000 | 1614738 |
| &nbsp;&nbsp; 4.92% 7/20/33 | 770000 | 771407 |
| &nbsp;&nbsp; 5.10% 2/16/28 | 1300000 | 1307079 |
| &nbsp;&nbsp; 5.44% 1/30/36 | 1275000 | 1297892 |
| Aviation Capital Group LLC |  |  |
| &nbsp;&nbsp; 3.50% 11/1/27 | 1376000 | 1351072 |
| &nbsp;&nbsp; 4.80% 10/24/30 | 1412000 | 1395692 |
| &nbsp;&nbsp; 5.13% 4/10/30 | 1120000 | 1125835 |
| &nbsp;&nbsp; 5.38% 7/15/29 | 607000 | 616505 |
| Avolon Holdings Funding Ltd. |  |  |
| &nbsp;&nbsp; 2.53% 11/18/27 | 395000 | 381614 |
| &nbsp;&nbsp; 4.20% 4/15/29 | 1065000 | 1045044 |
| &nbsp;&nbsp; 4.25% 4/15/26 | 245000 | 244986 |
| &nbsp;&nbsp; 4.38% 5/1/26 | 1525000 | 1524921 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** |
| &nbsp;&nbsp; Avolon Holdings Funding <br> Ltd. (continued)<br>|  |  |
| &nbsp;&nbsp; 4.70% 1/30/31 | 1270000 | $1244467 |
| &nbsp;&nbsp; 4.85% 4/1/33 | 2516000 | 2410241 |
| &nbsp;&nbsp; 4.95% 1/15/28 | 1316000 | 1320332 |
| &nbsp;&nbsp; 4.95% 10/15/32 | 474000 | 461665 |
| &nbsp;&nbsp; 5.15% 1/15/30 | 1750000 | 1756321 |
| &nbsp;&nbsp; 5.75% 3/1/29 | 500000 | 511311 |
| &nbsp;&nbsp; Blackstone Holdings Finance <br> Co. LLC 4.45% 7/15/45<br>| 21000 | 17363 |
| μCapital One Financial Corp. |  |  |
| &nbsp;&nbsp; 1.88% 11/2/27 | 74000 | 72777 |
| &nbsp;&nbsp; 2.62% 11/2/32 | 235000 | 206114 |
| &nbsp;&nbsp; 5.20% 9/11/36 | 1815000 | 1759514 |
| &nbsp;&nbsp; 5.70% 2/1/30 | 990000 | 1015657 |
| &nbsp;&nbsp; Intercontinental Exchange, <br> Inc. 4.25% 9/21/48<br>| 230000 | 184823 |
| &nbsp;&nbsp; LSEG Finance PLC 2.00% <br> 4/6/28<br>| 475000 | 452371 |
| &nbsp;&nbsp; Macquarie Airfinance <br> Holdings Ltd.<br>|  |  |
| &nbsp;&nbsp; 5.15% 3/17/30 | 385000 | 383031 |
| &nbsp;&nbsp; 5.20% 3/27/28 | 528000 | 529903 |
| &nbsp;&nbsp; Mitsubishi HC Finance <br> America LLC 5.81% 9/12/28<br>| 210000 | 215785 |
| Nasdaq, Inc. 5.55% 2/15/34 | 109000 | 112126 |
| Nomura Holdings, Inc. |  |  |
| &nbsp;&nbsp; 2.68% 7/16/30 | 200000 | 182977 |
| &nbsp;&nbsp; 6.07% 7/12/28 | 800000 | 825170 |
| Nuveen LLC 4.00% 11/1/28 | 160000 | 158750 |
| &nbsp;&nbsp; OneSky Loan Trust 3.88% <br> 1/15/31<br>| 477274 | 457172 |
| &nbsp;&nbsp; μSynchrony Financial 5.94% <br> 8/2/30<br>| 1079000 | 1096312 |
|  |  | **39689949** |
| **Electric–2.44%** | **Electric–2.44%** | **Electric–2.44%** |
| AEP Texas, Inc. |  |  |
| &nbsp;&nbsp; 3.45% 1/15/50 | 156000 | 104275 |
| &nbsp;&nbsp; 4.15% 5/1/49 | 133000 | 100465 |
| &nbsp;&nbsp; 5.40% 6/1/33 | 219000 | 221920 |
| &nbsp;&nbsp; AEP Transmission Co. LLC <br> 3.15% 9/15/49<br>| 35000 | 23013 |
| AES Corp. 5.80% 3/15/32 | 1600000 | 1608933 |
| &nbsp;&nbsp; Alabama Power Co. 6.13% <br> 5/15/38<br>| 62000 | 66465 |
| &nbsp;&nbsp; Ameren Illinois Co. 3.25% <br> 3/15/50<br>| 185000 | 123633 |
| &nbsp;&nbsp; American Electric Power Co., <br> Inc. 2.30% 3/1/30<br>| 260000 | 237910 |
| &nbsp;&nbsp; American Transmission <br> Systems, Inc. 2.65% 1/15/32<br>| 240000 | 215034 |
| &nbsp;&nbsp; Appalachian Power Co. 3.70% <br> 5/1/50<br>| 209000 | 148382 |

---

*LVIP JPMorgan Core Bond Fund–22*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Atlantic City Electric Co. <br> 4.00% 10/15/28<br>| 147000 | $145928 |
| Baltimore Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.90% 6/15/50 | 110000 | 69128 |
| &nbsp;&nbsp; 5.40% 6/1/53 | 385000 | 361982 |
| &nbsp;&nbsp; 5.65% 6/1/54 | 850000 | 824201 |
| &nbsp;&nbsp; Berkshire Hathaway Energy <br> Co. 2.85% 5/15/51<br>| 923000 | 555718 |
| &nbsp;&nbsp; CenterPoint Energy Houston <br> Electric LLC<br>|  |  |
| &nbsp;&nbsp; 2.90% 7/1/50 | 200000 | 126349 |
| &nbsp;&nbsp; 3.95% 3/1/48 | 10000 | 7784 |
| &nbsp;&nbsp; CenterPoint Energy, Inc. <br> 1.45% 6/1/26<br>| 230000 | 228873 |
| &nbsp;&nbsp; Chile Electricity Lux MPC II <br> SARL 5.58% 10/20/35<br>| 591391 | 593929 |
| &nbsp;&nbsp; Chile Electricity Lux MPC <br> SARL 6.01% 1/20/33<br>| 257140 | 265332 |
| &nbsp;&nbsp; Cleveland Electric <br> Illuminating Co.<br>|  |  |
| &nbsp;&nbsp; 3.50% 4/1/28 | 325000 | 318307 |
| &nbsp;&nbsp; 4.55% 11/15/30 | 65000 | 64183 |
| &nbsp;&nbsp; CMS Energy Corp. 2.95% <br> 2/15/27<br>| 47000 | 46421 |
| &nbsp;&nbsp; Commonwealth Edison Co. <br> 3.65% 6/15/46<br>| 30000 | 22355 |
| &nbsp;&nbsp; Consolidated Edison Co. of <br> New York, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.35% 4/1/30 | 250000 | 239810 |
| &nbsp;&nbsp; 3.95% 4/1/50 | 200000 | 153461 |
| &nbsp;&nbsp; 4.50% 5/15/58 | 54000 | 43028 |
| &nbsp;&nbsp; 5.70% 6/15/40 | 38000 | 38607 |
| &nbsp;&nbsp; Constellation Energy <br> Generation LLC<br>|  |  |
| &nbsp;&nbsp; 5.60% 6/15/42 | 2500000 | 2449934 |
| &nbsp;&nbsp; 5.75% 10/1/41 | 1144000 | 1144709 |
| &nbsp;&nbsp; 5.75% 3/15/54 | 698000 | 677119 |
| &nbsp;&nbsp; 5.80% 3/1/33 | 66000 | 69124 |
| &nbsp;&nbsp; 6.25% 10/1/39 | 100000 | 105300 |
| &nbsp;&nbsp; 6.50% 10/1/53 | 330000 | 350218 |
| &nbsp;&nbsp; Delmarva Power & Light Co. <br> 4.15% 5/15/45<br>| 50000 | 40656 |
| DTE Electric Co. |  |  |
| &nbsp;&nbsp; 3.65% 3/1/52 | 226000 | 163553 |
| &nbsp;&nbsp; 5.40% 4/1/53 | 185000 | 176347 |
| DTE Energy Co. |  |  |
| &nbsp;&nbsp; 4.88% 6/1/28 | 350000 | 353141 |
| &nbsp;&nbsp; 5.10% 3/1/29 | 614000 | 624344 |
| &nbsp;&nbsp; Duke Energy Carolinas LLC <br> 4.95% 1/15/33<br>| 2444000 | 2480905 |
| Duke Energy Corp. |  |  |
| &nbsp;&nbsp; 2.65% 9/1/26 | 100000 | 99299 |
| &nbsp;&nbsp; 3.15% 8/15/27 | 240000 | 236417 |
| &nbsp;&nbsp; 5.70% 9/15/55 | 1310000 | 1237978 |
| &nbsp;&nbsp; 5.80% 6/15/54 | 1500000 | 1436184 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Duke Energy <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 6.10% 9/15/53 | 880000 | $882502 |
| &nbsp;&nbsp; Duke Energy Ohio, Inc. 3.70% <br> 6/15/46<br>| 46000 | 34281 |
| &nbsp;&nbsp; Duke Energy Progress LLC <br> 3.70% 10/15/46<br>| 54000 | 40180 |
| &nbsp;&nbsp; Duquesne Light Holdings, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.53% 10/1/30 | 210000 | 191126 |
| &nbsp;&nbsp; 3.62% 8/1/27 | 160000 | 158015 |
| &nbsp;&nbsp; Electricite de France SA <br> 5.95% 4/22/34<br>| 960000 | 1002972 |
| &nbsp;&nbsp; Emera U.S. Finance LP 4.75% <br> 6/15/46<br>| 2330000 | 1922172 |
| &nbsp;&nbsp; ENEL Finance International <br> NV 5.00% 9/30/35<br>| 1740000 | 1687406 |
| &nbsp;&nbsp; Entergy Arkansas LLC 4.20% <br> 4/1/49<br>| 906000 | 713091 |
| Entergy Corp. 2.95% 9/1/26 | 21000 | 20878 |
| Entergy Louisiana LLC |  |  |
| &nbsp;&nbsp; 2.40% 10/1/26 | 59000 | 58516 |
| &nbsp;&nbsp; 2.90% 3/15/51 | 130000 | 79701 |
| &nbsp;&nbsp; 3.05% 6/1/31 | 38000 | 35353 |
| &nbsp;&nbsp; 4.00% 3/15/33 | 40000 | 37975 |
| &nbsp;&nbsp; 5.80% 3/15/55 | 2355000 | 2309390 |
| &nbsp;&nbsp; Entergy Mississippi LLC <br> 3.85% 6/1/49<br>| 135000 | 99861 |
| Entergy Texas, Inc. |  |  |
| &nbsp;&nbsp; 3.55% 9/30/49 | 309000 | 216135 |
| &nbsp;&nbsp; 5.80% 9/1/53 | 100000 | 98960 |
| Evergy Metro, Inc. |  |  |
| &nbsp;&nbsp; 4.20% 3/15/48 | 50000 | 39750 |
| &nbsp;&nbsp; 5.40% 4/1/34 | 80000 | 82192 |
| &nbsp;&nbsp; Evergy Missouri West Storm <br> Funding I LLC 5.10% <br> 12/1/40<br>| 1401881 | 1429950 |
| Evergy, Inc. 2.90% 9/15/29 | 90000 | 85298 |
| &nbsp;&nbsp; Eversource Energy 3.38% <br> 3/1/32<br>| 310000 | 284060 |
| Exelon Corp. |  |  |
| &nbsp;&nbsp; 5.30% 3/15/33 | 300000 | 307130 |
| &nbsp;&nbsp; 5.45% 3/15/34 | 1140000 | 1165446 |
| &nbsp;&nbsp; Fells Point Funding Trust <br> 3.05% 1/31/27<br>| 1585000 | 1567140 |
| &nbsp;&nbsp; FirstEnergy Corp. 3.90% <br> 7/15/27<br>| 1610000 | 1596889 |
| &nbsp;&nbsp; FirstEnergy Pennsylvania <br> Electric Co. 3.25% 3/15/28<br>| 19000 | 18576 |
| Florida Power & Light Co. |  |  |
| &nbsp;&nbsp; 5.30% 4/1/53 | 210000 | 196582 |
| &nbsp;&nbsp; 5.40% 9/1/35 | 50000 | 51078 |
| &nbsp;&nbsp; 5.80% 3/15/65 | 880000 | 876648 |
| Fortis, Inc. 3.06% 10/4/26 | 85000 | 84405 |

---

*LVIP JPMorgan Core Bond Fund–23*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| ITC Holdings Corp. |  |  |
| &nbsp;&nbsp; 2.95% 5/14/30 | 100000 | $93575 |
| &nbsp;&nbsp; 5.30% 7/1/43 | 1405000 | 1291071 |
| &nbsp;&nbsp; 5.50% 4/15/36 | 800000 | 802366 |
| &nbsp;&nbsp; Jersey Central Power & Light <br> Co.<br>|  |  |
| &nbsp;&nbsp; 5.10% 1/15/35 | 430000 | 429815 |
| &nbsp;&nbsp; 6.15% 6/1/37 | 30000 | 31621 |
| &nbsp;&nbsp; Massachusetts Electric Co. <br> 4.00% 8/15/46<br>| 56000 | 42818 |
| MidAmerican Energy Co. |  |  |
| &nbsp;&nbsp; 3.65% 4/15/29 | 820000 | 805141 |
| &nbsp;&nbsp; 5.85% 9/15/54 | 220000 | 220879 |
| &nbsp;&nbsp; Monongahela Power Co. <br> 5.85% 2/15/34<br>| 140000 | 146998 |
| Nevada Power Co. |  |  |
| &nbsp;&nbsp; 3.70% 5/1/29 | 100000 | 98177 |
| &nbsp;&nbsp; 6.00% 3/15/54 | 160000 | 160224 |
| &nbsp;&nbsp; New England Power Co. 3.80% <br> 12/5/47<br>| 45000 | 33523 |
| &nbsp;&nbsp; New York State Electric & <br> Gas Corp. 3.25% 12/1/26<br>| 50000 | 49629 |
| &nbsp;&nbsp; NextEra Energy Capital <br> Holdings, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.55% 5/1/27 | 27000 | 26765 |
| &nbsp;&nbsp; 5.25% 2/28/53 | 170000 | 153409 |
| &nbsp;&nbsp; 5.55% 3/15/54 | 2836000 | 2665906 |
| Niagara Mohawk Power Corp. |  |  |
| &nbsp;&nbsp; 1.96% 6/27/30 | 250000 | 224865 |
| &nbsp;&nbsp; 6.00% 7/3/55 | 820000 | 805248 |
| NRG Energy, Inc. |  |  |
| &nbsp;&nbsp; 2.45% 12/2/27 | 210000 | 202286 |
| &nbsp;&nbsp; 4.45% 6/15/29 | 110000 | 108642 |
| &nbsp;&nbsp; 4.73% 10/15/30 | 3405000 | 3371892 |
| Ohio Power Co. 5.00% 6/1/33 | 345000 | 343180 |
| &nbsp;&nbsp; Oncor Electric Delivery Co. <br> LLC 3.10% 9/15/49<br>| 215000 | 139954 |
| Pacific Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/27 | 140000 | 135683 |
| &nbsp;&nbsp; 2.50% 2/1/31 | 360000 | 322634 |
| &nbsp;&nbsp; 3.30% 8/1/40 | 720000 | 538461 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 180000 | 119015 |
| &nbsp;&nbsp; 3.75% 8/15/42 | 33000 | 24707 |
| &nbsp;&nbsp; 4.00% 12/1/46 | 230000 | 168338 |
| &nbsp;&nbsp; 4.30% 3/15/45 | 55000 | 42959 |
| &nbsp;&nbsp; 5.70% 3/1/35 | 3045000 | 3086575 |
| &nbsp;&nbsp; 5.80% 5/15/34 | 2890000 | 2961353 |
| &nbsp;&nbsp; 6.00% 8/15/35 | 2620000 | 2706870 |
| &nbsp;&nbsp; 6.00% 5/1/56 | 2370000 | 2249213 |
| &nbsp;&nbsp; 6.40% 6/15/33 | 488000 | 517920 |
| &nbsp;&nbsp; 6.75% 1/15/53 | 15000 | 15564 |
| &nbsp;&nbsp; PECO Energy Co. 2.80% <br> 6/15/50<br>| 100000 | 61813 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Perusahaan Perseroan <br> Persero PT Perusahaan <br> Listrik Negara<br>|  |  |
| &nbsp;&nbsp; 4.13% 5/15/27 | 990000 | $981868 |
| &nbsp;&nbsp; 5.45% 5/21/28 | 490000 | 493821 |
| &nbsp;&nbsp; 6.15% 5/21/48 | 2820000 | 2687228 |
| PG&E Recovery Funding LLC |  |  |
| &nbsp;&nbsp; 5.23% 6/1/42 | 1570000 | 1541097 |
| &nbsp;&nbsp; 5.53% 6/1/51 | 1865000 | 1831975 |
| &nbsp;&nbsp; 5.54% 7/15/49 | 245000 | 242203 |
| &nbsp;&nbsp; PG&E Wildfire Recovery <br> Funding LLC<br>|  |  |
| &nbsp;&nbsp; 4.26% 6/1/38 | 160000 | 154211 |
| &nbsp;&nbsp; 5.10% 6/1/54 | 205000 | 189392 |
| &nbsp;&nbsp; 5.21% 12/1/49 | 110000 | 103664 |
| &nbsp;&nbsp; Potomac Electric Power Co. <br> 6.50% 11/15/37<br>| 75000 | 82810 |
| &nbsp;&nbsp; PPL Electric Utilities Corp. <br> 5.25% 5/15/53<br>| 225000 | 208545 |
| &nbsp;&nbsp; Public Service Co. of <br> Oklahoma<br>|  |  |
| &nbsp;&nbsp; 5.20% 1/15/35 | 310000 | 308363 |
| &nbsp;&nbsp; 5.25% 1/15/33 | 280000 | 283355 |
| &nbsp;&nbsp; 6.63% 11/15/37 | 175000 | 189442 |
| &nbsp;&nbsp; Public Service Electric & Gas <br> Co.<br>|  |  |
| &nbsp;&nbsp; 3.00% 3/1/51 | 1785000 | 1143313 |
| &nbsp;&nbsp; 5.38% 11/1/39 | 28000 | 27581 |
| &nbsp;&nbsp; Public Service Enterprise <br> Group, Inc. 5.45% 4/1/34<br>| 870000 | 883131 |
| &nbsp;&nbsp; Puget Energy, Inc. 5.73% <br> 3/15/35<br>| 650000 | 654729 |
| San Diego Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 5.35% 5/15/35 | 70000 | 71002 |
| &nbsp;&nbsp; 5.95% 3/15/56 | 640000 | 641713 |
| SCE Recovery Funding LLC |  |  |
| &nbsp;&nbsp; 4.70% 6/15/42 | 233033 | 224576 |
| &nbsp;&nbsp; 5.11% 12/14/49 | 110000 | 102789 |
| &nbsp;&nbsp; 5.34% 3/15/47 | 1375000 | 1365816 |
| &nbsp;&nbsp; Sierra Pacific Power Co. <br> 5.90% 3/15/54<br>| 290000 | 285845 |
| &nbsp;&nbsp; Sigeco Securitization I LLC <br> 5.03% 11/15/38<br>| 221265 | 223612 |
| &nbsp;&nbsp; Southern California Edison <br> Co.<br>|  |  |
| &nbsp;&nbsp; 3.65% 3/1/28 | 80000 | 78732 |
| &nbsp;&nbsp; 4.05% 3/15/42 | 100000 | 78074 |
| &nbsp;&nbsp; 5.55% 1/15/36 | 80000 | 79648 |
| &nbsp;&nbsp; 5.70% 3/1/53 | 115000 | 105574 |
| &nbsp;&nbsp; 5.75% 4/15/54 | 1500000 | 1392264 |
| &nbsp;&nbsp; 5.88% 12/1/53 | 290000 | 274238 |
| &nbsp;&nbsp; 5.90% 3/1/55 | 735000 | 700560 |
| Southern Co. 5.20% 6/15/33 | 1620000 | 1636231 |
| &nbsp;&nbsp; Southern Power Co. 5.15% <br> 9/15/41<br>| 50000 | 47027 |

---

*LVIP JPMorgan Core Bond Fund–24*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Southwestern Electric Power <br> Co. 4.10% 9/15/28<br>| 1547000 | $1536314 |
| &nbsp;&nbsp; Tampa Electric Co. 4.45% <br> 6/15/49<br>| 100000 | 81499 |
| &nbsp;&nbsp; Toledo Edison Co. 6.15% <br> 5/15/37<br>| 50000 | 53704 |
| Union Electric Co. |  |  |
| &nbsp;&nbsp; 5.20% 4/1/34 | 1580000 | 1605082 |
| &nbsp;&nbsp; 5.45% 3/15/53 | 250000 | 236291 |
| Virginia Electric & Power Co. |  |  |
| &nbsp;&nbsp; 5.65% 3/15/55 | 2800000 | 2680394 |
| &nbsp;&nbsp; 6.35% 11/30/37 | 70000 | 75360 |
| Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp; 5.35% 1/31/36 | 1115000 | 1090686 |
| &nbsp;&nbsp; 5.70% 12/30/34 | 425000 | 427556 |
| &nbsp;&nbsp; 6.00% 4/15/34 | 1082000 | 1112260 |
| &nbsp;&nbsp; 6.95% 10/15/33 | 1526000 | 1660453 |
| &nbsp;&nbsp; WEC Energy Group, Inc. <br> 5.60% 9/12/26<br>| 155000 | 155781 |
|  |  | **91203210** |
| **Electrical Components & Equipment–0.02%** | **Electrical Components & Equipment–0.02%** | **Electrical Components & Equipment–0.02%** |
| &nbsp;&nbsp; Emerson Electric Co. 2.80% <br> 12/21/51<br>| 1120000 | 686431 |
|  |  | **686431** |
| **Electronics–0.06%** | **Electronics–0.06%** | **Electronics–0.06%** |
| Amphenol Corp. |  |  |
| &nbsp;&nbsp; 2.20% 9/15/31 | 622000 | 552014 |
| &nbsp;&nbsp; 5.30% 11/15/55 | 2010000 | 1887609 |
|  |  | **2439623** |
| **Food–0.55%** | **Food–0.55%** | **Food–0.55%** |
| Bimbo Bakeries USA, Inc. |  |  |
| &nbsp;&nbsp; 4.00% 5/17/51 | 290000 | 219364 |
| &nbsp;&nbsp; 5.38% 1/9/36 | 200000 | 199002 |
| &nbsp;&nbsp; 6.05% 1/15/29 | 200000 | 206646 |
| &nbsp;&nbsp; 6.40% 1/15/34 | 605000 | 645133 |
| &nbsp;&nbsp; JBS NV/JBS USA Foods Group <br> Holdings, Inc./JBS USA Food <br> Co. Holdings<br>|  |  |
| &nbsp;&nbsp; 5.50% 1/15/36 | 2629000 | 2630209 |
| &nbsp;&nbsp; 5.95% 4/20/35 | 500000 | 519032 |
| &nbsp;&nbsp; 6.25% 3/1/56 | 551000 | 540146 |
| &nbsp;&nbsp; 6.38% 2/25/55 | 1225000 | 1220767 |
| &nbsp;&nbsp; 6.38% 4/15/66 | 2295000 | 2251996 |
| &nbsp;&nbsp; 6.50% 12/1/52 | 320000 | 323942 |
| &nbsp;&nbsp; 6.75% 3/15/34 | 381000 | 419043 |
| Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp; 4.38% 6/1/46 | 153000 | 119622 |
| &nbsp;&nbsp; 4.63% 10/1/39 | 200000 | 176325 |
| &nbsp;&nbsp; 4.88% 10/1/49 | 2100000 | 1717344 |
| &nbsp;&nbsp; 5.00% 7/15/35 | 1500000 | 1457075 |
| Kroger Co. |  |  |
| &nbsp;&nbsp; 2.20% 5/1/30 | 500000 | 456351 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Food (continued)** | **Food (continued)** | **Food (continued)** |
| Kroger Co. (continued) |  |  |
| &nbsp;&nbsp; 5.00% 9/15/34 | 460000 | $454187 |
| &nbsp;&nbsp; 5.40% 7/15/40 | 18000 | 17576 |
| &nbsp;&nbsp; 5.50% 9/15/54 | 350000 | 325038 |
| Mars, Inc. |  |  |
| &nbsp;&nbsp; 4.80% 3/1/30 | 840000 | 848840 |
| &nbsp;&nbsp; 5.20% 3/1/35 | 740000 | 747045 |
| &nbsp;&nbsp; 5.65% 5/1/45 | 2804000 | 2768995 |
| &nbsp;&nbsp; 5.70% 5/1/55 | 1122000 | 1094031 |
| &nbsp;&nbsp; McCormick & Co., Inc. 2.50% <br> 4/15/30<br>| 342000 | 315091 |
| &nbsp;&nbsp; Tyson Foods, Inc. 5.70% <br> 3/15/34<br>| 880000 | 910986 |
|  |  | **20583786** |
| **Gas–0.16%** | **Gas–0.16%** | **Gas–0.16%** |
| Atmos Energy Corp. |  |  |
| &nbsp;&nbsp; 2.85% 2/15/52 | 417000 | 256440 |
| &nbsp;&nbsp; 4.13% 10/15/44 | 50000 | 41354 |
| &nbsp;&nbsp; 4.13% 3/15/49 | 155000 | 121253 |
| &nbsp;&nbsp; 5.00% 12/15/54 | 943000 | 835699 |
| &nbsp;&nbsp; 5.90% 11/15/33 | 1000000 | 1067670 |
| Boston Gas Co. 4.49% 2/15/42 | 22000 | 18570 |
| &nbsp;&nbsp; Brooklyn Union Gas Co. 4.27% <br> 3/15/48<br>| 80000 | 62430 |
| NiSource, Inc. |  |  |
| &nbsp;&nbsp; 1.70% 2/15/31 | 190000 | 165126 |
| &nbsp;&nbsp; 5.20% 7/1/29 | 1100000 | 1121758 |
| ONE Gas, Inc. 2.00% 5/15/30 | 200000 | 181743 |
| &nbsp;&nbsp; Piedmont Natural Gas Co., <br> Inc. 3.50% 6/1/29<br>| 200000 | 194411 |
| Southern California Gas Co. |  |  |
| &nbsp;&nbsp; 2.55% 2/1/30 | 195000 | 182509 |
| &nbsp;&nbsp; 6.35% 11/15/52 | 200000 | 210470 |
| &nbsp;&nbsp; Southern Co. Gas Capital <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 3.25% 6/15/26 | 17000 | 16966 |
| &nbsp;&nbsp; 3.95% 10/1/46 | 21000 | 15996 |
| &nbsp;&nbsp; 4.40% 6/1/43 | 42000 | 35204 |
| &nbsp;&nbsp; 5.10% 9/15/35 | 945000 | 932683 |
| &nbsp;&nbsp; 5.75% 9/15/33 | 220000 | 228635 |
| &nbsp;&nbsp; 5.88% 3/15/41 | 96000 | 97729 |
| &nbsp;&nbsp; Southwest Gas Corp. 3.80% <br> 9/29/46<br>| 44000 | 33068 |
|  |  | **5819714** |
| **Health Care Products–0.19%** | **Health Care Products–0.19%** | **Health Care Products–0.19%** |
| &nbsp;&nbsp; Abbott Laboratories 4.75% <br> 11/30/36<br>| 620000 | 609099 |
| &nbsp;&nbsp; Boston Scientific Corp. 4.55% <br> 3/1/39<br>| 49000 | 45898 |
| &nbsp;&nbsp; GE HealthCare Technologies, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 4.80% 1/15/31 | 279000 | 280719 |
| &nbsp;&nbsp; 5.50% 6/15/35 | 273000 | 278581 |

---

*LVIP JPMorgan Core Bond Fund–25*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Health Care Products (continued)** | **Health Care Products (continued)** | **Health Care Products (continued)** |
| &nbsp;&nbsp; Solventum Corp. 5.60% <br> 3/23/34<br>| 1410000 | $1441458 |
| Thermo Fisher Scientific, Inc. |  |  |
| &nbsp;&nbsp; 2.00% 10/15/31 | 330000 | 291635 |
| &nbsp;&nbsp; 4.90% 2/12/36 | 2150000 | 2134734 |
| &nbsp;&nbsp; Zimmer Biomet Holdings, Inc. <br> 5.50% 2/19/35<br>| 2065000 | 2107832 |
|  |  | **7189956** |
| **Health Care Services–0.54%** | **Health Care Services–0.54%** | **Health Care Services–0.54%** |
| &nbsp;&nbsp; Ascension Health 2.53% <br> 11/15/29<br>| 190000 | 178570 |
| &nbsp;&nbsp; Children's Hospital 2.93% <br> 7/15/50<br>| 180000 | 115815 |
| Cigna Group |  |  |
| &nbsp;&nbsp; 3.20% 3/15/40 | 1736000 | 1344913 |
| &nbsp;&nbsp; 4.90% 12/15/48 | 700000 | 607766 |
| &nbsp;&nbsp; 5.25% 1/15/36 | 1472000 | 1473897 |
| CommonSpirit Health |  |  |
| &nbsp;&nbsp; 2.78% 10/1/30 | 145000 | 133301 |
| &nbsp;&nbsp; 3.91% 10/1/50 | 140000 | 102651 |
| Elevance Health, Inc. |  |  |
| &nbsp;&nbsp; 4.10% 3/1/28 | 55000 | 54633 |
| &nbsp;&nbsp; 4.55% 5/15/52 | 490000 | 394712 |
| &nbsp;&nbsp; Hackensack Meridian Health, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.68% 9/1/41 | 390000 | 277987 |
| &nbsp;&nbsp; 2.88% 9/1/50 | 230000 | 143320 |
| HCA, Inc. |  |  |
| &nbsp;&nbsp; 3.63% 3/15/32 | 521000 | 484163 |
| &nbsp;&nbsp; 4.90% 11/15/35 | 1370000 | 1324530 |
| &nbsp;&nbsp; 5.13% 6/15/39 | 125000 | 117803 |
| &nbsp;&nbsp; 5.25% 3/1/30 | 1635000 | 1668476 |
| &nbsp;&nbsp; 5.45% 9/15/34 | 2877000 | 2903926 |
| &nbsp;&nbsp; 5.50% 6/15/47 | 245000 | 224506 |
| &nbsp;&nbsp; 5.75% 3/1/35 | 1249000 | 1284163 |
| &nbsp;&nbsp; 5.95% 9/15/54 | 550000 | 529021 |
| &nbsp;&nbsp; 6.10% 4/1/64 | 2435000 | 2350710 |
| &nbsp;&nbsp; Memorial Health Services <br> 3.45% 11/1/49<br>| 245000 | 172258 |
| &nbsp;&nbsp; MyMichigan Health 3.41% <br> 6/1/50<br>| 80000 | 55894 |
| &nbsp;&nbsp; Northwestern Memorial <br> Healthcare Obligated Group <br> 2.63% 7/15/51<br>| 882000 | 535282 |
| &nbsp;&nbsp; Quest Diagnostics, Inc. 3.45% <br> 6/1/26<br>| 17000 | 16974 |
| &nbsp;&nbsp; Roche Holdings, Inc. 2.61% <br> 12/13/51<br>| 970000 | 587476 |
| Sutter Health 5.55% 8/15/53 | 400000 | 390499 |
| &nbsp;&nbsp; Texas Health Resources 2.33% <br> 11/15/50<br>| 140000 | 78355 |
| UnitedHealth Group, Inc. |  |  |
| &nbsp;&nbsp; 2.30% 5/15/31 | 120000 | 107554 |
| &nbsp;&nbsp; 2.90% 5/15/50 | 380000 | 236559 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Health Care Services (continued)** | **Health Care Services (continued)** | **Health Care Services (continued)** |
| &nbsp;&nbsp; UnitedHealth Group, <br> Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 3.13% 5/15/60 | 80000 | $47556 |
| &nbsp;&nbsp; 3.25% 5/15/51 | 140000 | 92226 |
| &nbsp;&nbsp; 3.70% 8/15/49 | 1770000 | 1272880 |
| &nbsp;&nbsp; 3.88% 8/15/59 | 490000 | 341857 |
| &nbsp;&nbsp; 5.05% 4/15/53 | 320000 | 281502 |
| &nbsp;&nbsp; 5.88% 2/15/53 | 140000 | 137881 |
| &nbsp;&nbsp; Yale-New Haven Health <br> Services Corp. 2.50% 7/1/50<br>| 200000 | 115744 |
|  |  | **20185360** |
| **Insurance–0.52%** | **Insurance–0.52%** | **Insurance–0.52%** |
| &nbsp;&nbsp; Aon Corp./Aon Global <br> Holdings PLC<br>|  |  |
| &nbsp;&nbsp; 2.90% 8/23/51 | 1089000 | 660593 |
| &nbsp;&nbsp; 5.00% 9/12/32 | 1068000 | 1074258 |
| Aon North America, Inc. |  |  |
| &nbsp;&nbsp; 5.30% 3/1/31 | 439000 | 447918 |
| &nbsp;&nbsp; 5.45% 3/1/34 | 1690000 | 1725886 |
| &nbsp;&nbsp; 5.75% 3/1/54 | 620000 | 597388 |
| &nbsp;&nbsp; Athene Global Funding 2.95% <br> 11/12/26<br>| 515000 | 509956 |
| &nbsp;&nbsp; Athene Holding Ltd. 6.63% <br> 5/19/55<br>| 550000 | 529835 |
| &nbsp;&nbsp; Berkshire Hathaway Finance <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 3.85% 3/15/52 | 210000 | 158502 |
| &nbsp;&nbsp; 4.25% 1/15/49 | 910000 | 746826 |
| &nbsp;&nbsp; 4.30% 5/15/43 | 62000 | 54325 |
| &nbsp;&nbsp; Chubb INA Holdings LLC <br> 3.35% 5/3/26<br>| 450000 | 449566 |
| &nbsp;&nbsp; CNO Global Funding 5.88% <br> 6/4/27<br>| 2350000 | 2382134 |
| Corebridge Financial, Inc. |  |  |
| &nbsp;&nbsp; 3.65% 4/5/27 | 185000 | 183323 |
| &nbsp;&nbsp; 3.85% 4/5/29 | 130000 | 126910 |
| &nbsp;&nbsp; Corebridge Global Funding <br> 4.90% 8/21/32<br>| 745000 | 733578 |
| &nbsp;&nbsp; F&G Annuities & Life, Inc. <br> 6.50% 6/4/29<br>| 1560000 | 1566519 |
| &nbsp;&nbsp; F&G Global Funding 1.75% <br> 6/30/26<br>| 185000 | 183649 |
| &nbsp;&nbsp; Guardian Life Insurance Co. <br> of America 4.85% 1/24/77<br>| 21000 | 16948 |
| &nbsp;&nbsp; Hartford Insurance Group, <br> Inc. 4.30% 4/15/43<br>| 70000 | 58786 |
| &nbsp;&nbsp; Marsh & McLennan Cos., Inc. <br> 5.35% 11/15/44<br>| 1055000 | 998827 |
| MetLife, Inc. |  |  |
| &nbsp;&nbsp; 4.13% 8/13/42 | 28000 | 23029 |
| &nbsp;&nbsp; 6.40% 12/15/66 | 1220000 | 1245666 |
| &nbsp;&nbsp; Mutual of Omaha Cos Global <br> Funding 5.80% 7/27/26<br>| 250000 | 251170 |

---

*LVIP JPMorgan Core Bond Fund–26*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
| New York Life Global Funding |  |  |
| &nbsp;&nbsp; 2.35% 7/14/26 | 65000 | $64663 |
| &nbsp;&nbsp; 5.45% 9/18/26 | 845000 | 849989 |
| &nbsp;&nbsp; New York Life Insurance Co. <br> 4.45% 5/15/69<br>| 105000 | 79359 |
| &nbsp;&nbsp; μPacific Life Insurance Co. <br> 4.30% 10/24/67<br>| 134000 | 104624 |
| &nbsp;&nbsp; Pine Street Trust III 6.22% <br> 5/15/54<br>| 1000000 | 998509 |
| &nbsp;&nbsp; Principal Financial Group, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 3.70% 5/15/29 | 30000 | 29272 |
| &nbsp;&nbsp; 4.11% 2/15/28 | 825000 | 817431 |
| Prudential Financial, Inc. |  |  |
| &nbsp;&nbsp; 3.70% 3/13/51 | 773000 | 553403 |
| &nbsp;&nbsp; 3.91% 12/7/47 | 61000 | 45958 |
| &nbsp;&nbsp; Prudential Funding Asia PLC <br> 3.13% 4/14/30<br>| 1200000 | 1141710 |
| &nbsp;&nbsp; Teachers Insurance & <br> Annuity Association of <br> America 4.27% 5/15/47<br>| 50000 | 40199 |
|  |  | **19450709** |
| **Internet–0.79%** | **Internet–0.79%** | **Internet–0.79%** |
| &nbsp;&nbsp; Alibaba Group Holding Ltd. <br> 5.25% 5/26/35<br>| 771000 | 792084 |
| Alphabet, Inc. |  |  |
| &nbsp;&nbsp; 5.50% 2/15/46 | 1240000 | 1230038 |
| &nbsp;&nbsp; 5.65% 2/15/56 | 1825000 | 1819130 |
| &nbsp;&nbsp; 5.75% 2/15/66 | 1120000 | 1109183 |
| Amazon.com, Inc. |  |  |
| &nbsp;&nbsp; 2.10% 5/12/31 | 750000 | 672107 |
| &nbsp;&nbsp; 2.50% 6/3/50 | 5570000 | 3251579 |
| &nbsp;&nbsp; 3.15% 8/22/27 | 1030000 | 1017538 |
| &nbsp;&nbsp; 3.30% 4/13/27 | 210000 | 208418 |
| &nbsp;&nbsp; 3.95% 4/13/52 | 390000 | 299030 |
| &nbsp;&nbsp; 4.05% 8/22/47 | 460000 | 367821 |
| &nbsp;&nbsp; 4.25% 8/22/57 | 150000 | 117033 |
| &nbsp;&nbsp; 4.95% 12/5/44 | 480000 | 448580 |
| &nbsp;&nbsp; 5.80% 3/13/56 | 420000 | 419663 |
| &nbsp;&nbsp; Identity Digital Cap LLC <br> 6.79% 3/20/65<br>| 5400000 | 5415120 |
| Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp; 3.85% 8/15/32 | 593000 | 566007 |
| &nbsp;&nbsp; 4.88% 11/15/35 | 2900000 | 2845020 |
| &nbsp;&nbsp; 5.40% 8/15/54 | 1731000 | 1567865 |
| &nbsp;&nbsp; 5.50% 11/15/45 | 2890000 | 2734852 |
| &nbsp;&nbsp; 5.63% 11/15/55 | 1965000 | 1841972 |
| Prosus NV |  |  |
| &nbsp;&nbsp; 3.68% 1/21/30 | 600000 | 568237 |
| &nbsp;&nbsp; 4.03% 8/3/50 | 2720000 | 1819476 |
| &nbsp;&nbsp; Uber Technologies, Inc. 4.80% <br> 9/15/34<br>| 615000 | 602090 |
|  |  | **29712843** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** |
| &nbsp;&nbsp; nVent Finance SARL 4.55% <br> 4/15/28<br>| 75000 | $74825 |
| Xylem, Inc. 2.25% 1/30/31 | 110000 | 99018 |
|  |  | **173843** |
| **Media–0.39%** | **Media–0.39%** | **Media–0.39%** |
| &nbsp;&nbsp; Charter Communications <br> Operating LLC/Charter <br> Communications Operating <br> Capital<br>|  |  |
| &nbsp;&nbsp; 3.50% 3/1/42 | 475000 | 325157 |
| &nbsp;&nbsp; 3.85% 4/1/61 | 651000 | 380192 |
| &nbsp;&nbsp; 4.80% 3/1/50 | 980000 | 724570 |
| &nbsp;&nbsp; 5.13% 7/1/49 | 1160000 | 890624 |
| &nbsp;&nbsp; 5.38% 4/1/38 | 1308000 | 1172296 |
| &nbsp;&nbsp; 5.50% 4/1/63 | 480000 | 370715 |
| Comcast Corp. |  |  |
| &nbsp;&nbsp; 2.80% 1/15/51 | 930000 | 532007 |
| &nbsp;&nbsp; 2.89% 11/1/51 | 1196000 | 691367 |
| &nbsp;&nbsp; 2.94% 11/1/56 | 481000 | 266457 |
| &nbsp;&nbsp; 2.99% 11/1/63 | 206000 | 109076 |
| &nbsp;&nbsp; 3.40% 4/1/30 | 570000 | 547223 |
| &nbsp;&nbsp; 3.45% 2/1/50 | 400000 | 262258 |
| &nbsp;&nbsp; 4.00% 3/1/48 | 110000 | 80981 |
| &nbsp;&nbsp; 4.00% 11/1/49 | 152000 | 110207 |
| &nbsp;&nbsp; 4.25% 1/15/33 | 167000 | 161384 |
| &nbsp;&nbsp; 5.17% 1/15/37 | 4338000 | 4224097 |
| Cox Communications, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 10/1/50 | 180000 | 97037 |
| &nbsp;&nbsp; 3.35% 9/15/26 | 67000 | 66690 |
| &nbsp;&nbsp; Time Warner Cable <br> Enterprises LLC 8.38% <br> 7/15/33<br>| 90000 | 101905 |
| Time Warner Cable LLC |  |  |
| &nbsp;&nbsp; 5.50% 9/1/41 | 100000 | 86185 |
| &nbsp;&nbsp; 5.88% 11/15/40 | 505000 | 457649 |
| &nbsp;&nbsp; 6.55% 5/1/37 | 250000 | 252049 |
| &nbsp;&nbsp; 6.75% 6/15/39 | 521000 | 516973 |
| &nbsp;&nbsp; 7.30% 7/1/38 | 1695000 | 1773606 |
| &nbsp;&nbsp; Walt Disney Co. 6.65% <br> 11/15/37<br>| 350000 | 393817 |
|  |  | **14594522** |
| **Mining–0.23%** | **Mining–0.23%** | **Mining–0.23%** |
| Anglo American Capital PLC |  |  |
| &nbsp;&nbsp; 4.75% 4/10/27 | 430000 | 430454 |
| &nbsp;&nbsp; 5.25% 3/19/36 | 270000 | 264001 |
| &nbsp;&nbsp; 5.75% 4/5/34 | 2465000 | 2537166 |
| &nbsp;&nbsp; Barrick North America <br> Finance LLC 5.70% 5/30/41<br>| 1070000 | 1071360 |
| &nbsp;&nbsp; Corp. Nacional del Cobre de <br> Chile 6.44% 1/26/36<br>| 863000 | 909453 |
| Glencore Funding LLC |  |  |
| &nbsp;&nbsp; 2.50% 9/1/30 | 750000 | 682007 |
| &nbsp;&nbsp; 4.00% 3/27/27 | 400000 | 398240 |

---

*LVIP JPMorgan Core Bond Fund–27*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Mining (continued)** | **Mining (continued)** | **Mining (continued)** |
| &nbsp;&nbsp; Glencore <br> Funding LLC (continued)<br>|  |  |
| &nbsp;&nbsp; 5.51% 4/1/36 | 1110000 | $1112403 |
| &nbsp;&nbsp; 5.63% 4/4/34 | 1020000 | 1043942 |
|  |  | **8449026** |
| **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** |
| Eaton Corp. 4.15% 11/2/42 | 780000 | 669170 |
| &nbsp;&nbsp; Parker-Hannifin Corp. 4.45% <br> 11/21/44<br>| 30000 | 25948 |
| Siemens Funding BV |  |  |
| &nbsp;&nbsp; 4.60% 5/28/30 | 320000 | 322502 |
| &nbsp;&nbsp; 4.90% 5/28/32 | 404000 | 411654 |
| Textron, Inc. 5.50% 5/15/35 | 1800000 | 1831201 |
|  |  | **3260475** |
| **Oil & Gas–0.75%** | **Oil & Gas–0.75%** | **Oil & Gas–0.75%** |
| &nbsp;&nbsp; BP Capital Markets America, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.72% 1/12/32 | 630000 | 569286 |
| &nbsp;&nbsp; 2.77% 11/10/50 | 370000 | 227204 |
| &nbsp;&nbsp; 2.94% 6/4/51 | 345000 | 217514 |
| &nbsp;&nbsp; 3.00% 3/17/52 | 135000 | 85427 |
| &nbsp;&nbsp; μBP Capital Markets PLC <br> 4.88% 3/22/30<br>| 507000 | 500517 |
| Chevron Corp. |  |  |
| &nbsp;&nbsp; 2.00% 5/11/27 | 200000 | 195761 |
| &nbsp;&nbsp; 3.08% 5/11/50 | 460000 | 309854 |
| &nbsp;&nbsp; Chevron USA, Inc. 3.85% <br> 1/15/28<br>| 500000 | 498378 |
| ConocoPhillips Co. |  |  |
| &nbsp;&nbsp; 5.00% 1/15/35 | 651000 | 653295 |
| &nbsp;&nbsp; 5.05% 9/15/33 | 1434000 | 1456334 |
| &nbsp;&nbsp; 5.50% 1/15/55 | 495000 | 472872 |
| Continental Resources, Inc. |  |  |
| &nbsp;&nbsp; 4.38% 1/15/28 | 1520000 | 1509699 |
| &nbsp;&nbsp; 5.75% 1/15/31 | 20000 | 20383 |
| &nbsp;&nbsp; Coterra Energy, Inc. 5.40% <br> 2/15/35<br>| 1165000 | 1168715 |
| Devon Energy Corp. |  |  |
| &nbsp;&nbsp; 4.50% 1/15/30 | 640000 | 637958 |
| &nbsp;&nbsp; 4.75% 5/15/42 | 150000 | 131655 |
| &nbsp;&nbsp; 5.60% 7/15/41 | 940000 | 908513 |
| Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp; 3.13% 3/24/31 | 1150000 | 1066193 |
| &nbsp;&nbsp; 3.50% 12/1/29 | 1400000 | 1350871 |
| Eni USA, Inc. 7.30% 11/15/27 | 50000 | 52208 |
| EOG Resources, Inc. |  |  |
| &nbsp;&nbsp; 5.00% 7/15/32 | 1061000 | 1074202 |
| &nbsp;&nbsp; 5.95% 7/15/55 | 309000 | 313770 |
| EQT Corp. |  |  |
| &nbsp;&nbsp; 3.90% 10/1/27 | 18000 | 17781 |
| &nbsp;&nbsp; 7.00% 2/1/30 | 680000 | 727515 |
| Exxon Mobil Corp. |  |  |
| &nbsp;&nbsp; 3.00% 8/16/39 | 405000 | 321722 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Oil & Gas (continued)** | **Oil & Gas (continued)** | **Oil & Gas (continued)** |
| &nbsp;&nbsp; Exxon Mobil <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 3.45% 4/15/51 | 570000 | $405999 |
| &nbsp;&nbsp; 4.33% 3/19/50 | 90000 | 74835 |
| &nbsp;&nbsp; KazMunayGas National Co. <br> JSC<br>|  |  |
| &nbsp;&nbsp; 5.38% 4/24/30 | 800000 | 808022 |
| &nbsp;&nbsp; 5.75% 4/19/47 | 2050000 | 1903864 |
| &nbsp;&nbsp; Pertamina Persero PT 6.00% <br> 5/3/42<br>| 1360000 | 1306297 |
| &nbsp;&nbsp; Pioneer Natural Resources <br> Co.<br>|  |  |
| &nbsp;&nbsp; 1.90% 8/15/30 | 920000 | 827445 |
| &nbsp;&nbsp; 2.15% 1/15/31 | 5390000 | 4857417 |
| Shell Finance U.S., Inc. |  |  |
| &nbsp;&nbsp; 2.38% 11/7/29 | 150000 | 140705 |
| &nbsp;&nbsp; 3.25% 4/6/50 | 1890000 | 1286003 |
| &nbsp;&nbsp; Shell International Finance <br> BV 2.88% 5/10/26<br>| 610000 | 609170 |
| Suncor Energy, Inc. |  |  |
| &nbsp;&nbsp; 5.95% 12/1/34 | 60000 | 62861 |
| &nbsp;&nbsp; 6.80% 5/15/38 | 79000 | 86320 |
| &nbsp;&nbsp; TotalEnergies Capital <br> International SA<br>|  |  |
| &nbsp;&nbsp; 2.99% 6/29/41 | 350000 | 260711 |
| &nbsp;&nbsp; 3.13% 5/29/50 | 260000 | 171903 |
| &nbsp;&nbsp; 3.46% 7/12/49 | 145000 | 102538 |
| &nbsp;&nbsp; Woodside Finance Ltd. 5.70% <br> 5/19/32<br>| 570000 | 590768 |
|  |  | **27982485** |
| **Oil & Gas Services–0.05%** | **Oil & Gas Services–0.05%** | **Oil & Gas Services–0.05%** |
| &nbsp;&nbsp; Baker Hughes <br> Holdings LLC/Baker Hughes <br> Co-Obligor, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.14% 11/7/29 | 180000 | 173314 |
| &nbsp;&nbsp; 5.00% 6/15/36 | 1835000 | 1801608 |
|  |  | **1974922** |
| **Packaging & Containers–0.14%** | **Packaging & Containers–0.14%** | **Packaging & Containers–0.14%** |
| &nbsp;&nbsp; Amcor Flexibles North <br> America, Inc. 5.13% 3/12/36<br>| 2120000 | 2061103 |
| &nbsp;&nbsp; Graphic Packaging <br> International LLC 1.51% <br> 4/15/26<br>| 284000 | 283591 |
| Packaging Corp. of America |  |  |
| &nbsp;&nbsp; 4.05% 12/15/49 | 155000 | 118190 |
| &nbsp;&nbsp; 5.20% 8/15/35 | 1225000 | 1215195 |
| &nbsp;&nbsp; Smurfit Westrock Financing <br> DAC 5.42% 1/15/35<br>| 1505000 | 1517081 |
| WRKCo, Inc. 3.90% 6/1/28 | 35000 | 34575 |
|  |  | **5229735** |

---

*LVIP JPMorgan Core Bond Fund–28*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pharmaceuticals–0.67%** | **Pharmaceuticals–0.67%** | **Pharmaceuticals–0.67%** |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 11/21/26 | 530000 | $526176 |
| &nbsp;&nbsp; 4.05% 11/21/39 | 510000 | 447639 |
| &nbsp;&nbsp; 4.25% 11/21/49 | 1190000 | 965962 |
| &nbsp;&nbsp; 4.40% 11/6/42 | 370000 | 324999 |
| &nbsp;&nbsp; 4.50% 5/14/35 | 100000 | 96709 |
| &nbsp;&nbsp; 4.55% 3/15/35 | 60000 | 58256 |
| &nbsp;&nbsp; 4.75% 3/15/36 | 2310000 | 2266384 |
| &nbsp;&nbsp; 4.85% 6/15/44 | 200000 | 181782 |
| &nbsp;&nbsp; 4.88% 11/14/48 | 110000 | 98636 |
| &nbsp;&nbsp; 5.05% 3/15/34 | 455000 | 461804 |
| &nbsp;&nbsp; 5.55% 3/15/56 | 2655000 | 2596609 |
| &nbsp;&nbsp; AstraZeneca PLC 6.45% <br> 9/15/37<br>| 50000 | 55879 |
| Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp; 2.35% 11/13/40 | 175000 | 122028 |
| &nbsp;&nbsp; 3.70% 3/15/52 | 714000 | 514788 |
| &nbsp;&nbsp; 4.13% 6/15/39 | 114000 | 101542 |
| &nbsp;&nbsp; 4.25% 10/26/49 | 859000 | 689836 |
| &nbsp;&nbsp; 4.55% 2/20/48 | 707000 | 597978 |
| &nbsp;&nbsp; 5.55% 2/22/54 | 113000 | 108808 |
| &nbsp;&nbsp; Cardinal Health, Inc. 5.15% <br> 9/15/35<br>| 2895000 | 2866468 |
| Cencora, Inc. |  |  |
| &nbsp;&nbsp; 5.13% 2/15/34 | 1550000 | 1562941 |
| &nbsp;&nbsp; 5.15% 2/15/35 | 2185000 | 2200608 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp; 1.88% 2/28/31 | 180000 | 157153 |
| &nbsp;&nbsp; 2.13% 9/15/31 | 590000 | 511582 |
| &nbsp;&nbsp; 3.63% 4/1/27 | 230000 | 228025 |
| &nbsp;&nbsp; 3.75% 4/1/30 | 740000 | 715048 |
| &nbsp;&nbsp; 4.30% 3/25/28 | 1271000 | 1266495 |
| &nbsp;&nbsp; 5.13% 7/20/45 | 840000 | 737313 |
| &nbsp;&nbsp; 5.25% 2/21/33 | 330000 | 333771 |
| ♦CVS Pass-Through Trust |  |  |
| &nbsp;&nbsp; 4.70% 1/10/36 | 114830 | 108362 |
| &nbsp;&nbsp; 5.93% 1/10/34 | 50896 | 51865 |
| &nbsp;&nbsp; 7.51% 1/10/32 | 42047 | 44399 |
| &nbsp;&nbsp; 8.35% 7/10/31 | 41758 | 45242 |
| Eli Lilly & Co. |  |  |
| &nbsp;&nbsp; 4.70% 2/9/34 | 210000 | 209656 |
| &nbsp;&nbsp; 4.95% 2/27/63 | 210000 | 184345 |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp; 2.75% 12/10/51 | 170000 | 103400 |
| &nbsp;&nbsp; 2.90% 12/10/61 | 245000 | 139848 |
| &nbsp;&nbsp; 4.00% 3/7/49 | 220000 | 172257 |
| &nbsp;&nbsp; Novartis Capital Corp. 5.70% <br> 3/18/56<br>| 540000 | 543853 |
| &nbsp;&nbsp; Pfizer Investment Enterprises <br> Pte. Ltd. 5.34% 5/19/63<br>| 485000 | 440538 |
| Pfizer, Inc. 2.70% 5/28/50 | 760000 | 466128 |
| &nbsp;&nbsp; Takeda Pharmaceutical Co. <br> Ltd.<br>|  |  |
| &nbsp;&nbsp; 3.18% 7/9/50 | 1044000 | 686082 |
| &nbsp;&nbsp; 5.65% 7/5/44 | 386000 | 378991 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
| &nbsp;&nbsp; Utah Acquisition Sub, Inc. <br> 3.95% 6/15/26<br>| 127000 | $126758 |
| Viatris, Inc. 2.30% 6/22/27 | 589000 | 571125 |
|  |  | **25068068** |
| **Pipelines–0.98%** | **Pipelines–0.98%** | **Pipelines–0.98%** |
| &nbsp;&nbsp; Cameron LNG LLC 3.70% <br> 1/15/39<br>| 188000 | 159169 |
| &nbsp;&nbsp; Cheniere Energy Partners LP <br> 5.55% 10/30/35<br>| 715000 | 728119 |
| &nbsp;&nbsp; Cheniere Energy, Inc. 5.65% <br> 4/15/34<br>| 710000 | 730964 |
| &nbsp;&nbsp; Columbia Pipelines Holding <br> Co. LLC 5.10% 10/1/31<br>| 421000 | 423276 |
| &nbsp;&nbsp; Columbia Pipelines Operating <br> Co. LLC<br>|  |  |
| &nbsp;&nbsp; 5.44% 2/15/35 | 550000 | 557780 |
| &nbsp;&nbsp; 5.96% 2/15/55 | 555000 | 540698 |
| &nbsp;&nbsp; 6.04% 11/15/33 | 810000 | 853469 |
| &nbsp;&nbsp; 6.54% 11/15/53 | 1230000 | 1290314 |
| &nbsp;&nbsp; Eastern Energy Gas <br> Holdings LLC 6.20% 1/15/55<br>| 655000 | 663844 |
| &nbsp;&nbsp; Eastern Gas Transmission & <br> Storage, Inc. 3.90% 11/15/49<br>| 137000 | 99775 |
| Enbridge, Inc. |  |  |
| &nbsp;&nbsp; 4.90% 6/20/30 | 340000 | 343559 |
| &nbsp;&nbsp; 5.25% 4/5/27 | 590000 | 594929 |
| &nbsp;&nbsp; 5.45% 3/27/36 | 880000 | 887582 |
| &nbsp;&nbsp; 5.55% 6/20/35 | 533000 | 544405 |
| &nbsp;&nbsp; 5.63% 4/5/34 | 1850000 | 1908255 |
| &nbsp;&nbsp; 5.70% 3/8/33 | 260000 | 269330 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp; 3.75% 5/15/30 | 3950000 | 3818297 |
| &nbsp;&nbsp; 5.30% 4/1/44 | 50000 | 44801 |
| &nbsp;&nbsp; 5.40% 10/1/47 | 670000 | 595363 |
| &nbsp;&nbsp; 5.70% 4/1/35 | 2000000 | 2054061 |
| &nbsp;&nbsp; 5.95% 5/15/54 | 472000 | 442583 |
| &nbsp;&nbsp; 6.00% 6/15/48 | 335000 | 321567 |
| &nbsp;&nbsp; 6.05% 9/1/54 | 585000 | 557008 |
| &nbsp;&nbsp; 6.10% 12/1/28 | 565000 | 587235 |
| &nbsp;&nbsp; 6.10% 2/15/42 | 60000 | 59385 |
| &nbsp;&nbsp; 6.25% 4/15/49 | 340000 | 333447 |
| &nbsp;&nbsp; Enterprise Products <br> Operating LLC<br>|  |  |
| &nbsp;&nbsp; 3.20% 2/15/52 | 981000 | 639400 |
| &nbsp;&nbsp; 3.30% 2/15/53 | 1462000 | 965921 |
| &nbsp;&nbsp; 5.55% 2/16/55 | 384000 | 369381 |
| &nbsp;&nbsp; 7.55% 4/15/38 | 206000 | 243952 |
| &nbsp;&nbsp; Galaxy Pipeline Assets Bidco <br> Ltd. 2.94% 9/30/40<br>| 212228 | 171592 |
| &nbsp;&nbsp; Gray Oak Pipeline LLC 3.45% <br> 10/15/27<br>| 372000 | 364908 |
| &nbsp;&nbsp; Greensaif Pipelines Bidco <br> SARL 6.51% 2/23/42<br>| 338000 | 349117 |

---

*LVIP JPMorgan Core Bond Fund–29*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pipelines (continued)** | **Pipelines (continued)** | **Pipelines (continued)** |
| &nbsp;&nbsp; Kinder Morgan Energy <br> Partners LP 5.50% 3/1/44<br>| 440000 | $415572 |
| Kinder Morgan, Inc. |  |  |
| &nbsp;&nbsp; 5.20% 3/1/48 | 70000 | 63175 |
| &nbsp;&nbsp; 5.55% 6/1/45 | 550000 | 524604 |
| MPLX LP |  |  |
| &nbsp;&nbsp; 4.70% 4/15/48 | 550000 | 447041 |
| &nbsp;&nbsp; 5.50% 2/15/49 | 470000 | 424800 |
| &nbsp;&nbsp; NGPL PipeCo LLC 3.25% <br> 7/15/31<br>| 1015000 | 932778 |
| &nbsp;&nbsp; ONEOK Partners LP 6.65% <br> 10/1/36<br>| 15000 | 16156 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp; 4.75% 10/15/31 | 140000 | 138513 |
| &nbsp;&nbsp; 5.05% 11/1/34 | 256000 | 249010 |
| &nbsp;&nbsp; 5.55% 11/1/26 | 320000 | 321855 |
| &nbsp;&nbsp; 5.70% 11/1/54 | 419000 | 382265 |
| &nbsp;&nbsp; 5.80% 11/1/30 | 500000 | 520379 |
| &nbsp;&nbsp; 6.05% 9/1/33 | 1030000 | 1080082 |
| &nbsp;&nbsp; 6.63% 9/1/53 | 1340000 | 1375097 |
| &nbsp;&nbsp; South Bow USA <br> Infrastructure Holdings LLC<br>|  |  |
| &nbsp;&nbsp; 4.91% 9/1/27 | 335000 | 336346 |
| &nbsp;&nbsp; 5.03% 10/1/29 | 385000 | 387481 |
| Targa Resources Corp. |  |  |
| &nbsp;&nbsp; 4.90% 9/15/30 | 2171000 | 2189343 |
| &nbsp;&nbsp; 5.50% 2/15/35 | 1425000 | 1437674 |
| &nbsp;&nbsp; Targa Resources <br> Partners LP/Targa <br> Resources Partners Finance <br> Corp. 5.00% 1/15/28<br>| 1023000 | 1022402 |
| &nbsp;&nbsp; Tennessee Gas Pipeline Co. <br> LLC 2.90% 3/1/30<br>| 1214000 | 1137523 |
| &nbsp;&nbsp; Western Midstream <br> Operating LP<br>|  |  |
| &nbsp;&nbsp; 4.05% 2/1/30 | 110000 | 106818 |
| &nbsp;&nbsp; 5.25% 2/1/50 | 990000 | 834984 |
|  |  | **36857384** |
| **Private Equity–0.03%** | **Private Equity–0.03%** | **Private Equity–0.03%** |
| &nbsp;&nbsp; Blackstone Reg Finance Co. <br> LLC 5.00% 12/6/34<br>| 872000 | 853620 |
| Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp; 3.90% 1/25/28 | 55000 | 54396 |
| &nbsp;&nbsp; 4.70% 9/20/47 | 9000 | 7476 |
| &nbsp;&nbsp; 4.85% 3/29/29 | 54000 | 54244 |
|  |  | **969736** |
| **Real Estate Investment Trusts–0.38%** | **Real Estate Investment Trusts–0.38%** | **Real Estate Investment Trusts–0.38%** |
| &nbsp;&nbsp; Alexandria Real Estate <br> Equities, Inc.<br>|  |  |
| &nbsp;&nbsp; 2.00% 5/18/32 | 240000 | 200792 |
| &nbsp;&nbsp; 3.80% 4/15/26 | 23000 | 22995 |
| American Tower Corp. |  |  |
| &nbsp;&nbsp; 1.88% 10/15/30 | 275000 | 242706 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** |
| &nbsp;&nbsp; American Tower <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 2.10% 6/15/30 | 150000 | $134994 |
| &nbsp;&nbsp; 2.95% 1/15/51 | 85000 | 52452 |
| &nbsp;&nbsp; 3.10% 6/15/50 | 130000 | 83460 |
| &nbsp;&nbsp; 3.38% 10/15/26 | 44000 | 43743 |
| &nbsp;&nbsp; 3.70% 10/15/49 | 230000 | 165105 |
| &nbsp;&nbsp; 4.70% 12/15/32 | 2990000 | 2938015 |
| &nbsp;&nbsp; American Tower Trust #1 <br> 3.65% 3/15/48<br>| 160000 | 158265 |
| &nbsp;&nbsp; Brixmor Operating <br> Partnership LP<br>|  |  |
| &nbsp;&nbsp; 2.25% 4/1/28 | 200000 | 191956 |
| &nbsp;&nbsp; 2.50% 8/16/31 | 105000 | 93456 |
| &nbsp;&nbsp; COPT Defense Properties LP <br> 2.75% 4/15/31<br>| 326000 | 295170 |
| Crown Castle, Inc. |  |  |
| &nbsp;&nbsp; 4.00% 3/1/27 | 24000 | 23893 |
| &nbsp;&nbsp; 5.80% 3/1/34 | 665000 | 681132 |
| DOC Dr. LLC 2.63% 11/1/31 | 130000 | 115237 |
| &nbsp;&nbsp; Equinix Europe 2 Financing <br> Corp. LLC 4.70% 3/15/33<br>| 2400000 | 2334270 |
| Essex Portfolio LP |  |  |
| &nbsp;&nbsp; 1.65% 1/15/31 | 200000 | 173422 |
| &nbsp;&nbsp; 2.65% 3/15/32 | 145000 | 127477 |
| &nbsp;&nbsp; 5.50% 4/1/34 | 420000 | 425269 |
| Extra Space Storage LP |  |  |
| &nbsp;&nbsp; 2.20% 10/15/30 | 300000 | 268409 |
| &nbsp;&nbsp; 4.00% 6/15/29 | 150000 | 147606 |
| &nbsp;&nbsp; 5.40% 2/1/34 | 1004000 | 1012235 |
| &nbsp;&nbsp; Goodman U.S. Finance <br> Three LLC 3.70% 3/15/28<br>| 43000 | 42311 |
| Healthpeak OP LLC |  |  |
| &nbsp;&nbsp; 2.13% 12/1/28 | 330000 | 310806 |
| &nbsp;&nbsp; 3.00% 1/15/30 | 90000 | 84644 |
| &nbsp;&nbsp; 3.50% 7/15/29 | 132000 | 127566 |
| Mid-America Apartments LP |  |  |
| &nbsp;&nbsp; 1.70% 2/15/31 | 150000 | 130754 |
| &nbsp;&nbsp; 3.95% 3/15/29 | 230000 | 227519 |
| NNN REIT, Inc. |  |  |
| &nbsp;&nbsp; 3.60% 12/15/26 | 58000 | 57711 |
| &nbsp;&nbsp; 4.30% 10/15/28 | 150000 | 149442 |
| &nbsp;&nbsp; 5.50% 6/15/34 | 640000 | 649730 |
| &nbsp;&nbsp; 5.60% 10/15/33 | 150000 | 154360 |
| Prologis LP |  |  |
| &nbsp;&nbsp; 2.13% 10/15/50 | 150000 | 79568 |
| &nbsp;&nbsp; 2.88% 11/15/29 | 95000 | 90081 |
| &nbsp;&nbsp; Safehold GL Holdings LLC <br> 2.85% 1/15/32<br>| 400000 | 358226 |
| UDR, Inc. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/32 | 160000 | 135377 |
| &nbsp;&nbsp; 2.95% 9/1/26 | 28000 | 27801 |
| &nbsp;&nbsp; 3.00% 8/15/31 | 25000 | 22885 |
| &nbsp;&nbsp; 3.20% 1/15/30 | 150000 | 142998 |

---

*LVIP JPMorgan Core Bond Fund–30*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** |
| Ventas Realty LP |  |  |
| &nbsp;&nbsp; 3.25% 10/15/26 | 25000 | $24862 |
| &nbsp;&nbsp; 3.85% 4/1/27 | 49000 | 48694 |
| &nbsp;&nbsp; VICI Properties LP 4.95% <br> 2/15/30<br>| 748000 | 746804 |
| &nbsp;&nbsp; VICI Properties LP/VICI <br> Note Co., Inc. 4.63% 12/1/29<br>| 255000 | 250699 |
| &nbsp;&nbsp; Welltower OP LLC 6.50% <br> 3/15/41<br>| 125000 | 136803 |
| WP Carey, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 4/1/33 | 180000 | 149345 |
| &nbsp;&nbsp; 4.25% 10/1/26 | 245000 | 244887 |
|  |  | **14325932** |
| **Retail–0.15%** | **Retail–0.15%** | **Retail–0.15%** |
| AutoZone, Inc. 1.65% 1/15/31 | 180000 | 156245 |
| Costco Wholesale Corp. |  |  |
| &nbsp;&nbsp; 1.38% 6/20/27 | 930000 | 902182 |
| &nbsp;&nbsp; 1.75% 4/20/32 | 380000 | 328428 |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp; 2.50% 4/15/27 | 320000 | 314966 |
| &nbsp;&nbsp; 3.63% 4/15/52 | 235000 | 167737 |
| &nbsp;&nbsp; 3.90% 6/15/47 | 90000 | 69586 |
| &nbsp;&nbsp; 4.88% 6/25/27 | 226000 | 228180 |
| &nbsp;&nbsp; 4.95% 6/25/34 | 592000 | 596286 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp; 4.20% 4/1/50 | 500000 | 394076 |
| &nbsp;&nbsp; 4.88% 12/9/45 | 1060000 | 944569 |
| &nbsp;&nbsp; O'Reilly Automotive, Inc. <br> 3.60% 9/1/27<br>| 49000 | 48493 |
| Starbucks Corp. |  |  |
| &nbsp;&nbsp; 4.80% 2/15/33 | 440000 | 438294 |
| &nbsp;&nbsp; 4.90% 2/15/31 | 850000 | 859403 |
| Walmart, Inc. 1.80% 9/22/31 | 180000 | 159461 |
|  |  | **5607906** |
| **Savings & Loans–0.11%** | **Savings & Loans–0.11%** | **Savings & Loans–0.11%** |
| μNationwide Building Society |  |  |
| &nbsp;&nbsp; 3.96% 7/18/30 | 2165000 | 2116264 |
| &nbsp;&nbsp; 4.30% 3/8/29 | 525000 | 521373 |
| &nbsp;&nbsp; 5.54% 7/14/36 | 1535000 | 1539338 |
|  |  | **4176975** |
| **Semiconductors–0.57%** | **Semiconductors–0.57%** | **Semiconductors–0.57%** |
| &nbsp;&nbsp; Analog Devices, Inc. 2.80% <br> 10/1/41<br>| 227000 | 162744 |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp; 1.95% 2/15/28 | 592000 | 568152 |
| &nbsp;&nbsp; 3.14% 11/15/35 | 2778000 | 2360149 |
| &nbsp;&nbsp; 3.19% 11/15/36 | 400000 | 334264 |
| &nbsp;&nbsp; 4.80% 2/15/36 | 854000 | 832595 |
| &nbsp;&nbsp; 4.90% 7/15/32 | 286000 | 288499 |
| &nbsp;&nbsp; 4.93% 5/15/37 | 650000 | 630450 |
| &nbsp;&nbsp; 5.05% 7/12/29 | 3281000 | 3348835 |
| &nbsp;&nbsp; 5.20% 7/15/35 | 357000 | 359784 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Semiconductors (continued)** | **Semiconductors (continued)** | **Semiconductors (continued)** |
| &nbsp;&nbsp; Foundry JV Holdco LLC 6.10% <br> 1/25/36<br>| 683000 | $703574 |
| Intel Corp. |  |  |
| &nbsp;&nbsp; 3.10% 2/15/60 | 50000 | 27621 |
| &nbsp;&nbsp; 3.25% 11/15/49 | 1600000 | 1010877 |
| &nbsp;&nbsp; 3.73% 12/8/47 | 590000 | 412275 |
| &nbsp;&nbsp; 5.70% 2/10/53 | 100000 | 92077 |
| KLA Corp. |  |  |
| &nbsp;&nbsp; 3.30% 3/1/50 | 150000 | 102166 |
| &nbsp;&nbsp; 4.65% 7/15/32 | 520000 | 522307 |
| Marvell Technology, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 4/15/31 | 360000 | 330384 |
| &nbsp;&nbsp; 5.45% 7/15/35 | 4602000 | 4676137 |
| &nbsp;&nbsp; 5.75% 2/15/29 | 380000 | 392342 |
| &nbsp;&nbsp; Micron Technology, Inc. 5.30% <br> 1/15/31<br>| 1905000 | 1993993 |
| NVIDIA Corp. |  |  |
| &nbsp;&nbsp; 3.50% 4/1/50 | 1570000 | 1157881 |
| &nbsp;&nbsp; 3.70% 4/1/60 | 660000 | 474139 |
| &nbsp;&nbsp; NXP BV/NXP <br> Funding LLC/NXP USA, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.25% 5/11/41 | 370000 | 272255 |
| &nbsp;&nbsp; 5.00% 1/15/33 | 140000 | 139333 |
|  |  | **21192833** |
| **Software–0.61%** | **Software–0.61%** | **Software–0.61%** |
| &nbsp;&nbsp; Fidelity National Information <br> Services, Inc. 4.80% 3/10/31<br>| 1235000 | 1225307 |
| Fiserv, Inc. |  |  |
| &nbsp;&nbsp; 3.20% 7/1/26 | 70000 | 69789 |
| &nbsp;&nbsp; 4.40% 7/1/49 | 65000 | 49147 |
| &nbsp;&nbsp; 5.15% 8/12/34 | 1475000 | 1432663 |
| Microsoft Corp. |  |  |
| &nbsp;&nbsp; 2.53% 6/1/50 | 2220000 | 1331123 |
| &nbsp;&nbsp; 2.92% 3/17/52 | 820000 | 527365 |
| &nbsp;&nbsp; 3.04% 3/17/62 | 40000 | 24303 |
| &nbsp;&nbsp; 3.45% 8/8/36 | 20000 | 18028 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp; 2.88% 3/25/31 | 2310000 | 2051729 |
| &nbsp;&nbsp; 2.95% 4/1/30 | 120000 | 109540 |
| &nbsp;&nbsp; 3.60% 4/1/40 | 450000 | 326240 |
| &nbsp;&nbsp; 3.60% 4/1/50 | 4830000 | 2916008 |
| &nbsp;&nbsp; 3.95% 3/25/51 | 605000 | 383362 |
| &nbsp;&nbsp; 4.00% 7/15/46 | 110000 | 74077 |
| &nbsp;&nbsp; 4.65% 5/6/30 | 540000 | 527765 |
| &nbsp;&nbsp; 4.80% 9/26/32 | 1595000 | 1518995 |
| &nbsp;&nbsp; 4.90% 2/6/33 | 310000 | 293784 |
| &nbsp;&nbsp; 5.70% 2/4/36 | 1505000 | 1447040 |
| &nbsp;&nbsp; 5.88% 9/26/45 | 1220000 | 1052544 |
| &nbsp;&nbsp; 6.55% 2/4/46 | 540000 | 503796 |
| &nbsp;&nbsp; 6.70% 2/4/56 | 2335000 | 2167122 |
| &nbsp;&nbsp; 6.85% 2/4/66 | 1205000 | 1107783 |
| &nbsp;&nbsp; Roper Technologies, Inc. <br> 4.90% 10/15/34<br>| 1694000 | 1635635 |
| Synopsys, Inc. 5.70% 4/1/55 | 1797000 | 1718081 |

---

*LVIP JPMorgan Core Bond Fund–31*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
| VMware LLC 1.40% 8/15/26 | 404000 | $399750 |
|  |  | **22910976** |
| **Telecommunications–0.79%** | **Telecommunications–0.79%** | **Telecommunications–0.79%** |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp; 1.65% 2/1/28 | 55000 | 52408 |
| &nbsp;&nbsp; 2.25% 2/1/32 | 1460000 | 1275492 |
| &nbsp;&nbsp; 2.30% 6/1/27 | 520000 | 508298 |
| &nbsp;&nbsp; 2.55% 12/1/33 | 1090000 | 922399 |
| &nbsp;&nbsp; 3.50% 9/15/53 | 1495000 | 980326 |
| &nbsp;&nbsp; 3.55% 9/15/55 | 226000 | 146982 |
| &nbsp;&nbsp; 3.65% 6/1/51 | 381000 | 261569 |
| &nbsp;&nbsp; 3.65% 9/15/59 | 160000 | 103677 |
| &nbsp;&nbsp; 3.80% 2/15/27 | 1020000 | 1017266 |
| &nbsp;&nbsp; 3.80% 12/1/57 | 200000 | 135054 |
| &nbsp;&nbsp; 5.13% 4/30/36 | 1845000 | 1822863 |
| &nbsp;&nbsp; 5.38% 8/15/35 | 266000 | 269454 |
| &nbsp;&nbsp; 6.05% 8/15/56 | 264000 | 259982 |
| &nbsp;&nbsp; 6.30% 1/15/38 | 390000 | 414319 |
| Corning, Inc. 3.90% 11/15/49 | 284000 | 213245 |
| Orange SA 5.00% 1/13/36 | 3630000 | 3565486 |
| &nbsp;&nbsp; Rogers Communications, Inc. <br> 5.30% 2/15/34<br>| 955000 | 950841 |
| &nbsp;&nbsp; Telefonica Emisiones SA <br> 5.21% 3/8/47<br>| 340000 | 295235 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 11/15/31 | 680000 | 597626 |
| &nbsp;&nbsp; 2.55% 2/15/31 | 420000 | 381659 |
| &nbsp;&nbsp; 3.00% 2/15/41 | 1358000 | 992869 |
| &nbsp;&nbsp; 3.30% 2/15/51 | 190000 | 124351 |
| &nbsp;&nbsp; 3.75% 4/15/27 | 1278000 | 1270089 |
| &nbsp;&nbsp; 3.88% 4/15/30 | 5690000 | 5541326 |
| &nbsp;&nbsp; 5.13% 5/15/32 | 234000 | 237360 |
| &nbsp;&nbsp; 5.75% 1/15/34 | 289000 | 301371 |
| &nbsp;&nbsp; 5.88% 11/15/55 | 721000 | 703087 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp; 2.36% 3/15/32 | 10000 | 8729 |
| &nbsp;&nbsp; 2.88% 11/20/50 | 647000 | 392367 |
| &nbsp;&nbsp; 3.40% 3/22/41 | 200000 | 153564 |
| &nbsp;&nbsp; 3.85% 11/1/42 | 680000 | 541933 |
| &nbsp;&nbsp; 4.00% 3/22/50 | 680000 | 513462 |
| &nbsp;&nbsp; 4.13% 8/15/46 | 480000 | 381813 |
| &nbsp;&nbsp; 4.40% 11/1/34 | 690000 | 656857 |
| &nbsp;&nbsp; 4.50% 8/10/33 | 2680000 | 2599422 |
| &nbsp;&nbsp; 5.25% 4/2/35 | 475000 | 475586 |
| &nbsp;&nbsp; 5.25% 3/16/37 | 430000 | 424841 |
| &nbsp;&nbsp; Vodafone Group PLC 5.63% <br> 2/10/53<br>| 35000 | 32684 |
|  |  | **29525892** |
| **Transportation–0.02%** | **Transportation–0.02%** | **Transportation–0.02%** |
| &nbsp;&nbsp; Burlington Northern Santa <br> Fe LLC<br>|  |  |
| &nbsp;&nbsp; 4.38% 9/1/42 | 25000 | 21711 |
| &nbsp;&nbsp; 4.70% 9/1/45 | 35000 | 30931 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Transportation (continued)** | **Transportation (continued)** | **Transportation (continued)** |
| &nbsp;&nbsp; Canadian Pacific Railway Co. <br> 4.70% 5/1/48<br>| 197000 | $170929 |
| CSX Corp. |  |  |
| &nbsp;&nbsp; 3.35% 9/15/49 | 10000 | 6915 |
| &nbsp;&nbsp; 4.75% 11/15/48 | 108000 | 93829 |
| Norfolk Southern Corp. |  |  |
| &nbsp;&nbsp; 3.95% 10/1/42 | 70000 | 56728 |
| &nbsp;&nbsp; 4.05% 8/15/52 | 40000 | 30270 |
| Union Pacific Corp. |  |  |
| &nbsp;&nbsp; 3.84% 3/20/60 | 270000 | 190994 |
| &nbsp;&nbsp; 4.10% 9/15/67 | 150000 | 108435 |
|  |  | **710742** |
| **Trucking & Leasing–0.02%** | **Trucking & Leasing–0.02%** | **Trucking & Leasing–0.02%** |
| &nbsp;&nbsp; Avolon Holdings Funding Ltd. <br> 4.90% 10/10/30<br>| 740000 | 734844 |
|  |  | **734844** |
| **Water–0.00%** | **Water–0.00%** | **Water–0.00%** |
| American Water Capital Corp. |  |  |
| &nbsp;&nbsp; 3.45% 5/1/50 | 225000 | 156601 |
| &nbsp;&nbsp; 4.00% 12/1/46 | 52000 | 40173 |
|  |  | **196774** |
| **Total Corporate Bonds** <br>**(Cost $920,087,521)** | **Total Corporate Bonds** <br>**(Cost $920,087,521)** | **917422808** |
| **MUNICIPAL BONDS–0.01%** | **MUNICIPAL BONDS–0.01%** | **MUNICIPAL BONDS–0.01%** |
| &nbsp;&nbsp; New York State Dormitory <br> Authority Series D 5.60% <br> 3/15/40<br>| 1363 | 1379 |
| &nbsp;&nbsp; Ohio State University Series A <br> 4.80% 6/1/11<br>| 98000 | 80347 |
| &nbsp;&nbsp; Port Authority of New York & <br> New Jersey 5.65% 11/1/40<br>| 130000 | 135893 |
| &nbsp;&nbsp; Texas Natural Gas <br> Securitization Finance Corp. <br> 5.17% 4/1/41<br>| 275000 | 278515 |
| **Total Municipal Bonds** <br>**(Cost $503,301)** | **Total Municipal Bonds** <br>**(Cost $503,301)** | **496134** |
| **NON-AGENCY ASSET-BACKED SECURITIES–8.93%** | **NON-AGENCY ASSET-BACKED SECURITIES–8.93%** | **NON-AGENCY ASSET-BACKED SECURITIES–8.93%** |
| &nbsp;&nbsp; American Credit Acceptance <br> Receivables Trust Series <br> 2023-4 Class C 6.99% <br> 9/12/30<br>| 1541721 | 1550351 |
| AMSR Trust | AMSR Trust | AMSR Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class D <br> 2.60% 6/17/38<br>| 5059000 | 4744402 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR4 Class E1 <br> 2.97% 12/17/38<br>| 2335274 | 2296431 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR4 Class E2 <br> 3.01% 12/17/38<br>| 3800000 | 3734754 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class E2 <br> 4.00% 10/17/39<br>| 1000000 | 976992 |

---

*LVIP JPMorgan Core Bond Fund–32*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| AMSR Trust (continued) | AMSR Trust (continued) | AMSR Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2023-SFR2 Class E2 <br> 3.95% 6/17/40<br>| 2000000 | $1896942 |
| &nbsp;&nbsp; Aqua Finance Issuer Trust <br> Series 2025-B Class B 5.04% <br> 5/17/51<br>| 3333185 | 3352180 |
| &nbsp;&nbsp; Aqua Finance Trust Series <br> 2021-A Class B 2.40% <br> 7/17/46<br>| 4064921 | 3791033 |
| Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A 5.36% <br> 6/20/30<br>| 2642000 | 2700040 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class A 5.12% <br> 8/20/31<br>| 2000000 | 2027140 |
| &nbsp;&nbsp; Bastion Funding I LLC Series <br> 2023-1A Class A2 7.12% <br> 4/25/38<br>| 1624530 | 1634529 |
| BG Beta I Ltd. 6.28% 7/16/54 | 2619000 | 2643498 |
| &nbsp;&nbsp; Blackbird Capital II Aircraft <br> Lease Ltd. Series 2021-1A <br> Class A 2.44% 7/15/46<br>| 571189 | 541514 |
| Bridge Trust | Bridge Trust | Bridge Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-SFR1 Class C <br> 4.30% 8/17/40<br>| 875000 | 853087 |
| &nbsp;&nbsp;&nbsp; Series 2024-SFR1 Class D <br> 4.30% 8/17/40<br>| 1526000 | 1474718 |
| Bridgecrest Lending Auto Securitization Trust | Bridgecrest Lending Auto Securitization Trust | Bridgecrest Lending Auto Securitization Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-1 Class C 5.65% <br> 4/16/29<br>| 2341000 | 2357157 |
| &nbsp;&nbsp;&nbsp; Series 2024-3 Class C 5.70% <br> 7/16/29<br>| 2255000 | 2276702 |
| &nbsp;&nbsp;&nbsp; Series 2025-3 Class D 5.27% <br> 5/15/31<br>| 4500000 | 4501292 |
| &nbsp;&nbsp; BXG Receivables Note Trust <br> Series 2022-A Class C 5.35% <br> 9/28/37<br>| 271336 | 270030 |
| &nbsp;&nbsp; CarMax Auto Owner Trust <br> Series 2023-4 Class A3 6.00% <br> 7/17/28<br>| 279655 | 282444 |
| &nbsp;&nbsp; CarMax Select Receivables <br> Trust Series 2025-A Class C <br> 5.46% 7/15/31<br>| 8100000 | 8258923 |
| &nbsp;&nbsp; Cars Net Lease Mortgage <br> Notes Series 2020-1A <br> Class A3 3.10% 12/15/50<br>| 155800 | 148933 |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust | Carvana Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2023-P3 Class A3 <br> 5.82% 8/10/28<br>| 94173 | 94609 |
| &nbsp;&nbsp;&nbsp; Series 2023-P4 Class A4 <br> 6.16% 9/10/29<br>| 631000 | 647738 |
| &nbsp;&nbsp; Cascade MH Asset Trust <br> Series 2021-MH1 Class A1 <br> 1.75% 2/25/46<br>| 540076 | 492657 |
| &nbsp;&nbsp; φCFIN Issuer LLC Series <br> 2022-RTL1 Class AA 4.75% <br> 2/16/26<br>| 103698 | 103237 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Cherry Securitization Trust <br> Series 2025-1A Class A 6.13% <br> 11/15/32<br>| 1300000 | $1312706 |
| &nbsp;&nbsp; Consumer Portfolio Services <br> Auto Trust Series 2025-B <br> Class C 5.12% 7/15/31<br>| 4290000 | 4319193 |
| Continental Finance Credit Card ABS Master Trust | Continental Finance Credit Card ABS Master Trust | Continental Finance Credit Card ABS Master Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-A Class A 6.19% <br> 10/15/30<br>| 133565 | 133709 |
| &nbsp;&nbsp;&nbsp; Series 2025-A Class A 5.40% <br> 12/17/35<br>| 7280000 | 7234006 |
| &nbsp;&nbsp; CoreVest American Finance <br> Ltd. Series 2020-3 Class B <br> 2.20% 8/15/53<br>| 810000 | 747627 |
| CoreVest American Finance Trust | CoreVest American Finance Trust | CoreVest American Finance Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-2 Class D 4.22% <br> 6/15/52<br>| 500000 | 479377 |
| &nbsp;&nbsp;&nbsp; Series 2019-3 Class B 3.16% <br> 10/15/52<br>| 700000 | 672818 |
| •Countrywide Asset-Backed Certificates Trust | •Countrywide Asset-Backed Certificates Trust | •Countrywide Asset-Backed Certificates Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-1 Class 3A 4.35% <br> (1 mo. USD Term SOFR + <br> 0.67%) 4/25/34<br>| 1056 | 1019 |
| &nbsp;&nbsp;&nbsp; Series 2004-1 Class M1 <br> 4.54% (1 mo. USD Term <br> SOFR + 0.86%) 3/25/34<br>| 3251 | 3384 |
| CPS Auto Receivables Trust | CPS Auto Receivables Trust | CPS Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-D Class C 7.69% <br> 1/16/29<br>| 363962 | 366098 |
| &nbsp;&nbsp;&nbsp; Series 2023-D Class C 7.17% <br> 1/15/30<br>| 3011991 | 3037693 |
| Credit Acceptance Auto Loan Trust | Credit Acceptance Auto Loan Trust | Credit Acceptance Auto Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class A 6.39% <br> 8/15/33<br>| 206642 | 207097 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class C 6.71% <br> 7/17/34<br>| 3910000 | 3982415 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class C 5.71% <br> 7/16/35<br>| 4535000 | 4581003 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class B 4.87% <br> 1/15/36<br>| 4235000 | 4242704 |
| &nbsp;&nbsp; •CWHEQ Revolving Home <br> Equity Loan Trust Series <br> 2006-I Class 2A 3.93% (1 mo. <br> USD Term SOFR + 0.25%) <br> 1/15/37<br>| 316029 | 305700 |
| &nbsp;&nbsp; Diamond Infrastructure <br> Funding LLC Series 2021-1A <br> Class A 1.76% 4/15/49<br>| 2280000 | 2228879 |
| &nbsp;&nbsp; Diversified ABS Phase <br> VIII LLC Series 2024-1A <br> Class A1 7.08% 5/30/44<br>| 1153085 | 1161236 |
| &nbsp;&nbsp; Domino's Pizza Master <br> Issuer LLC Series 2021-1A <br> Class A2I 2.66% 4/25/51<br>| 3709115 | 3509664 |
| &nbsp;&nbsp; DP Lion Holdco LLC Series <br> 2023-1A Class A 8.24% <br> 11/30/43<br>| 1449837 | 1493242 |

---

*LVIP JPMorgan Core Bond Fund–33*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Drive Auto Receivables Trust <br> Series 2025-1 Class D 5.41% <br> 9/15/32<br>| 5400000 | $5426302 |
| DT Auto Owner Trust | DT Auto Owner Trust | DT Auto Owner Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-3A Class D <br> 8.14% 7/17/28<br>| 631055 | 643491 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A Class C 5.79% <br> 2/15/29<br>| 370364 | 371229 |
| Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-6A Class D <br> 8.03% 4/6/29<br>| 1032000 | 1052633 |
| &nbsp;&nbsp;&nbsp; Series 2023-5A Class C 6.85% <br> 1/16/29<br>| 1716818 | 1733655 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A Class D <br> 5.92% 2/15/30<br>| 4241000 | 4302478 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class D <br> 5.89% 7/15/31<br>| 8100000 | 8210759 |
| &nbsp;&nbsp;&nbsp; Series 2025-4A Class D <br> 5.23% 1/15/32<br>| 6400000 | 6384090 |
| &nbsp;&nbsp;&nbsp; Series 2025-5A Class D <br> 5.16% 3/15/32<br>| 2699000 | 2678553 |
| &nbsp;&nbsp; FHF Issuer Trust Series <br> 2023-2A Class A2 6.79% <br> 10/15/29<br>| 606947 | 611947 |
| &nbsp;&nbsp; First Investors Auto Owner <br> Trust Series 2023-1A Class C <br> 6.81% 12/17/29<br>| 4000000 | 4097192 |
| FirstKey Homes Trust | FirstKey Homes Trust | FirstKey Homes Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class E1 <br> 2.39% 8/17/38<br>| 5142000 | 5088775 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class E2 <br> 2.49% 8/17/38<br>| 5500000 | 5441479 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class C <br> 4.50% 7/17/38<br>| 784000 | 781479 |
| •FMC GMSR Issuer Trust | •FMC GMSR Issuer Trust | •FMC GMSR Issuer Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-GT1 Class A <br> 4.45% 1/25/28<br>| 1500000 | 1482157 |
| &nbsp;&nbsp;&nbsp; Series 2021-GT1 Class A <br> 3.62% 7/25/26<br>| 4200000 | 4029919 |
| &nbsp;&nbsp;&nbsp; Series 2021-GT2 Class A <br> 3.85% 10/25/26<br>| 3050000 | 2933176 |
| &nbsp;&nbsp;&nbsp; Series 2024-SAT1 Class A <br> 6.50% 3/26/27<br>| 5675000 | 5677221 |
| &nbsp;&nbsp; Ford Credit Auto Owner Trust <br> Series 2024-B Class A3 5.10% <br> 4/15/29<br>| 1169742 | 1178827 |
| &nbsp;&nbsp; Foundation Finance Trust <br> Series 2023-2A Class D <br> 9.10% 6/15/49<br>| 2323967 | 2473147 |
| FW Energy Asset Issuer LLC | FW Energy Asset Issuer LLC | FW Energy Asset Issuer LLC |
| &nbsp;&nbsp; 7.15% 8/25/44 | 2948340 | 2999735 |
| &nbsp;&nbsp; 8.11% 8/25/44 | 934712 | 946227 |
| GLS Auto Receivables Issuer Trust | GLS Auto Receivables Issuer Trust | GLS Auto Receivables Issuer Trust |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class C 6.01% <br> 5/15/29<br>| 443269 | 445610 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A Class C 6.03% <br> 2/15/30<br>| 4545000 | 4615388 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| GLS Auto Receivables Issuer Trust (continued) | GLS Auto Receivables Issuer Trust (continued) | GLS Auto Receivables Issuer Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class D <br> 5.61% 11/15/30<br>| 5000000 | $5065866 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class C 5.11% <br> 1/15/31<br>| 5600000 | 5643018 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A Class D <br> 5.16% 6/16/31<br>| 2970000 | 2964656 |
| &nbsp;&nbsp; GLS Auto Select Receivables <br> Trust Series 2023-2A <br> Class A3 6.38% 2/15/29<br>| 4250000 | 4292771 |
| &nbsp;&nbsp; GM Financial Automobile <br> Leasing Trust Series 2024-1 <br> Class A3 5.09% 3/22/27<br>| 165273 | 165378 |
| &nbsp;&nbsp; GMF Floorplan Owner <br> Revolving Trust Series <br> 2024-1A Class A1 5.13% <br> 3/15/29<br>| 2514000 | 2535982 |
| Goodgreen Trust | Goodgreen Trust | Goodgreen Trust |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A 3.74% <br> 10/15/52<br>| 22542 | 20922 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class A 3.26% <br> 10/15/53<br>| 92960 | 84456 |
| &nbsp;&nbsp;&nbsp; Series 2019-2A Class A 2.76% <br> 4/15/55<br>| 173183 | 151313 |
| &nbsp;&nbsp; GoodLeap Home <br> Improvement Solutions <br> Trust Series 2025-3A Class A <br> 5.00% 10/20/49<br>| 5289588 | 5266056 |
| &nbsp;&nbsp; GoodLeap Sustainable Home <br> Solutions Trust Series <br> 2022-1GS Class A 2.70% <br> 1/20/49<br>| 1029811 | 885267 |
| &nbsp;&nbsp; Granite Park Equipment <br> Leasing LLC Series 2023-1A <br> Class A3 6.46% 9/20/32<br>| 141624 | 141659 |
| &nbsp;&nbsp; Hardee's Funding LLC Series <br> 2021-1A Class A2 2.87% <br> 6/20/51<br>| 2200275 | 2056832 |
| HERO Funding Trust | HERO Funding Trust | HERO Funding Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1 <br> 3.08% 9/20/42<br>| 13077 | 12117 |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A2 <br> 4.46% 9/20/47<br>| 45273 | 43067 |
| &nbsp;&nbsp;&nbsp; Series 2017-3A Class A2 <br> 3.95% 9/20/48<br>| 59214 | 55253 |
| &nbsp;&nbsp; Hertz Vehicle Financing <br> III LP Series 2021-2A <br> Class C 2.52% 12/27/27<br>| 1840000 | 1815531 |
| &nbsp;&nbsp; Hilton Grand Vacations Trust <br> Series 2025-2A Class B 4.73% <br> 5/25/44<br>| 2371889 | 2352359 |
| &nbsp;&nbsp; Home Partners of America <br> Trust Series 2020-2 Class E <br> 3.08% 1/17/41<br>| 795214 | 745243 |

---

*LVIP JPMorgan Core Bond Fund–34*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Huntington Bank Auto <br> Credit-Linked Notes Series <br> 2025-2 Class B1 4.84% <br> 9/20/33<br>| 6698902 | $6710300 |
| &nbsp;&nbsp; John Deere Owner Trust <br> Series 2023-B Class A4 5.11% <br> 5/15/30<br>| 1100000 | 1109054 |
| &nbsp;&nbsp; Jonah Energy ABS II LLC <br> Series 2022-1 Class A1 7.20% <br> 12/10/37<br>| 233214 | 235384 |
| Lending Funding Trust | Lending Funding Trust | Lending Funding Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-2A Class A 2.32% <br> 4/21/31<br>| 728128 | 718984 |
| &nbsp;&nbsp;&nbsp; Series 2020-2A Class C 4.30% <br> 4/21/31<br>| 1000000 | 982426 |
| &nbsp;&nbsp; Lendmark Funding Trust <br> Series 2021-1A Class B 2.47% <br> 11/20/31<br>| 4600000 | 4392957 |
| &nbsp;&nbsp; •Long Beach Mortgage Loan <br> Trust Series 2004-1 Class M1 <br> 4.54% (1 mo. USD Term <br> SOFR + 0.86%) 2/25/34<br>| 13273 | 13161 |
| &nbsp;&nbsp; Merchants Fleet Funding LLC <br> Series 2023-1A Class A 7.21% <br> 5/20/36<br>| 903129 | 905040 |
| Mercury Financial Credit Card Master Trust | Mercury Financial Credit Card Master Trust | Mercury Financial Credit Card Master Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-2A Class A 6.56% <br> 7/20/29<br>| 4075000 | 4081668 |
| &nbsp;&nbsp;&nbsp; Series 2026-1A Class A 5.34% <br> 2/20/32<br>| 7550000 | 7499523 |
| &nbsp;&nbsp; MNR ABS Issuer I LLC 8.95% <br> 12/15/38<br>| 1972890 | 2012935 |
| MVW LLC | MVW LLC | MVW LLC |
| &nbsp;&nbsp;&nbsp; Series 2019-2A Class B 2.44% <br> 10/20/38<br>| 76584 | 76472 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class C 6.54% <br> 10/20/40<br>| 515996 | 526176 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A Class C 7.06% <br> 11/20/40<br>| 705982 | 722846 |
| &nbsp;&nbsp; •Navient Student Loan Trust <br> Series 2016-3A Class A3 <br> 5.13% (30 day USD SOFR <br> Average + 1.46%) 6/25/65<br>| 829129 | 840943 |
| &nbsp;&nbsp; New Residential Mortgage <br> Loan Trust Series 2022-SFR1 <br> Class D 3.30% 2/17/39<br>| 1375000 | 1349801 |
| &nbsp;&nbsp; NMABS Issuer I LLC Series <br> 2025-1A Class A 5.14% <br> 11/22/55<br>| 6534550 | 6398758 |
| &nbsp;&nbsp; NP SPE X LP Series 2021-1A <br> Class A1 2.23% 3/19/51<br>| 1678475 | 1466426 |
| NRZ Excess Spread-Collateralized Notes | NRZ Excess Spread-Collateralized Notes | NRZ Excess Spread-Collateralized Notes |
| &nbsp;&nbsp;&nbsp; Series 2021-FHT1 Class A <br> 3.10% 7/25/26<br>| 434004 | 430555 |
| &nbsp;&nbsp;&nbsp; Series 2021-GNT1 Class A <br> 3.47% 11/25/26<br>| 411998 | 406408 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Octane Receivables Trust <br> Series 2022-2A Class D <br> 7.70% 2/20/30<br>| 1400000 | $1428180 |
| OneMain Direct Auto Receivables Trust | OneMain Direct Auto Receivables Trust | OneMain Direct Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-1A Class B 3.95% <br> 11/14/28<br>| 565516 | 565100 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class D <br> 7.07% 2/14/33<br>| 682000 | 700149 |
| &nbsp;&nbsp; Oportun Issuance Trust <br> Series 2021-C Class A 2.18% <br> 10/8/31<br>| 380608 | 375472 |
| &nbsp;&nbsp; PEAC Solutions <br> Receivables LLC Series <br> 2024-1A Class A3 5.64% <br> 11/20/30<br>| 2500000 | 2546277 |
| &nbsp;&nbsp; Porsche Innovative Lease <br> Owner Trust Series 2024-1A <br> Class A3 4.67% 11/22/27<br>| 1577274 | 1580153 |
| &nbsp;&nbsp; PowerPay Issuance Trust <br> Series 2025-1A Class A 5.23% <br> 11/18/41<br>| 4698271 | 4685394 |
| Progress Residential Trust | Progress Residential Trust | Progress Residential Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class A <br> 2.95% 4/17/27<br>| 521151 | 512505 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class E1 <br> 4.55% 4/17/27<br>| 2700000 | 2674223 |
| &nbsp;&nbsp;&nbsp; Series 2025-SFR3 Class B <br> 3.39% 7/17/42<br>| 3690000 | 3461916 |
| &nbsp;&nbsp; Renew Financial Series <br> 2017-1A Class A 3.67% <br> 9/20/52<br>| 23891 | 22277 |
| Santander Drive Auto Receivables Trust | Santander Drive Auto Receivables Trust | Santander Drive Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-4 Class C 5.00% <br> 11/15/29<br>| 2074281 | 2081229 |
| &nbsp;&nbsp;&nbsp; Series 2022-5 Class D 5.67% <br> 12/16/30<br>| 5500000 | 5535764 |
| &nbsp;&nbsp;&nbsp; Series 2022-6 Class D 5.69% <br> 2/18/31<br>| 5500000 | 5548874 |
| &nbsp;&nbsp;&nbsp; Series 2023-6 Class C 6.40% <br> 3/17/31<br>| 2200000 | 2260279 |
| &nbsp;&nbsp;&nbsp; Series 2024-2 Class D 6.28% <br> 8/15/31<br>| 2249000 | 2312609 |
| &nbsp;&nbsp;&nbsp; Series 2024-3 Class D 5.97% <br> 10/15/31<br>| 5055000 | 5175127 |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class D 5.43% <br> 3/17/31<br>| 672000 | 679202 |
| &nbsp;&nbsp;&nbsp; Series 2025-4 Class D 4.95% <br> 1/15/32<br>| 2215000 | 2199025 |
| SCF Equipment Leasing LLC | SCF Equipment Leasing LLC | SCF Equipment Leasing LLC |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class A3 <br> 6.17% 5/20/32<br>| 742333 | 745930 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class C 6.77% <br> 8/22/33<br>| 3815000 | 3939318 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class C 5.82% <br> 9/20/32<br>| 2558000 | 2638159 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class D <br> 5.88% 11/20/35<br>| 1032000 | 1054776 |

---

*LVIP JPMorgan Core Bond Fund–35*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Sierra Timeshare Receivables <br> Funding LLC Series 2025-1A <br> Class B 5.10% 1/21/42<br>| 2182206 | $2182328 |
| &nbsp;&nbsp; •SLC Student Loan Trust <br> Series 2008-1 Class A4A <br> 5.55% (90 day USD SOFR <br> Average + 1.86%) 12/15/32<br>| 607385 | 609241 |
| •SLM Private Credit Student Loan Trust | •SLM Private Credit Student Loan Trust | •SLM Private Credit Student Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2005-B Class A4 4.27% <br> (3 mo. USD Term SOFR + <br> 0.59%) 6/15/39<br>| 354731 | 347689 |
| &nbsp;&nbsp;&nbsp; Series 2006-A Class A5 4.23% <br> (3 mo. USD Term SOFR + <br> 0.55%) 6/15/39<br>| 364344 | 355167 |
| SMB Private Education Loan Trust | SMB Private Education Loan Trust | SMB Private Education Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-A Class A2A <br> 2.23% 9/15/37<br>| 242058 | 235060 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class APT1 <br> 1.39% 1/15/53<br>| 1170503 | 1073107 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class B 2.30% <br> 1/15/53<br>| 370602 | 361922 |
| &nbsp;&nbsp;&nbsp; Series 2022-C Class A1A <br> 4.48% 5/16/50<br>| 2155812 | 2134796 |
| &nbsp;&nbsp; •Starwood Ltd. Series <br> 2022-FL3 Class A 5.02% (30 <br> day USD SOFR Average + <br> 1.35%) 11/15/38<br>| 284375 | 284246 |
| &nbsp;&nbsp; Stream Innovations Issuer <br> Trust Series 2026-1A Class A <br> 4.78% 8/15/46<br>| 9500000 | 9424783 |
| &nbsp;&nbsp; Toyota Auto Receivables <br> Owner Trust Series 2024-B <br> Class A3 5.33% 1/16/29<br>| 2049493 | 2067508 |
| &nbsp;&nbsp; Tricon American Homes Trust <br> Series 2020-SFR2 Class E1 <br> 2.73% 11/17/39<br>| 2426000 | 2322755 |
| &nbsp;&nbsp; Tricon Residential Trust <br> Series 2022-SFR1 Class D <br> 4.75% 4/17/39<br>| 459000 | 455145 |
| &nbsp;&nbsp; Triumph Rail Holdings LLC <br> Series 2021-2 Class A 2.15% <br> 6/19/51<br>| 1257897 | 1218859 |
| U.S. Small Business Administration | U.S. Small Business Administration | U.S. Small Business Administration |
| &nbsp;&nbsp;&nbsp; Series 2019-20D Class 1 <br> 2.98% 4/1/39<br>| 150059 | 140128 |
| &nbsp;&nbsp;&nbsp; Series 2019-25G Class 1 <br> 2.69% 7/1/44<br>| 274264 | 245030 |
| &nbsp;&nbsp; UPX HIL Issuer Trust Series <br> 2025-1 Class A 5.16% <br> 1/25/47<br>| 6155810 | 6130256 |
| &nbsp;&nbsp; Verizon Master Trust Series <br> 2024-3 Class A1A 5.34% <br> 4/22/30<br>| 1473000 | 1492422 |
| &nbsp;&nbsp; VFI ABS LLC Series 2025-1A <br> Class B 4.97% 12/24/30<br>| 1715000 | 1716517 |
| &nbsp;&nbsp; VM Debt Trust Series 2019-1 <br> 7.46% 7/18/27<br>| 1000000 | 956314 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Volkswagen Auto Lease Trust <br> Series 2024-A Class A3 5.21% <br> 6/21/27<br>| 2565881 | $2573859 |
| &nbsp;&nbsp; φVOLT XCV LLC Series <br> 2021-NPL4 Class A1 6.24% <br> 3/27/51<br>| 19814 | 19814 |
| &nbsp;&nbsp; Wendy's Funding LLC Series <br> 2021-1A Class A2I 2.37% <br> 6/15/51<br>| 1722374 | 1592974 |
| &nbsp;&nbsp; Westlake Automobile <br> Receivables Trust Series <br> 2023-3A Class C 6.02% <br> 9/15/28<br>| 1000000 | 1005616 |
| **Total Non-Agency Asset-Backed Securities** <br>**(Cost $329,136,977)** | **Total Non-Agency Asset-Backed Securities** <br>**(Cost $329,136,977)** | **334121409** |
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.23%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.23%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.23%** |
| &nbsp;&nbsp; •Agate Bay Mortgage Trust <br> Series 2015-1 Class B1 3.61% <br> 1/25/45<br>| 29349 | 28842 |
| Anchor Mortgage Trust | Anchor Mortgage Trust | Anchor Mortgage Trust |
| • 8.23% 3/25/31 | 4000000 | 4011156 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-RTL1 Class A1 <br> 5.72% 5/25/40<br>| 3055000 | 3057971 |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-7 Class A3 2.34% <br> 10/25/66<br>| 493581 | 433184 |
| &nbsp;&nbsp;&nbsp; Series 2022-3 Class A1 4.00% <br> 1/25/67<br>| 1126973 | 1085678 |
| &nbsp;&nbsp; =φArchwest Mortgage Trust <br> Series 2026-RTL1 Class A1 <br> 5.44% 4/25/41<br>| 6085000 | 6084991 |
| &nbsp;&nbsp; ~^Banc of America Alternative <br> Loan Trust Series 2004-6 <br> Class 15 0.00% 7/25/34<br>| 1339 | 734 |
| Banc of America Funding Trust | Banc of America Funding Trust | Banc of America Funding Trust |
| ~^Series 2004-1 0.00% 3/25/34 | 4383 | 3360 |
| &nbsp;&nbsp;&nbsp; Series 2005-6 Class 2A7 <br> 5.50% 10/25/35<br>| 37722 | 34084 |
| &nbsp;&nbsp;&nbsp; ~^Series 2005-7 Class 30 0.00% <br> 11/25/35<br>| 4007 | 3702 |
| •Bear Stearns ARM Trust | •Bear Stearns ARM Trust | •Bear Stearns ARM Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-7 Class 3A 6.83% <br> 10/25/33<br>| 2646 | 2642 |
| &nbsp;&nbsp;&nbsp; Series 2006-1 Class A1 5.95% <br> (1 yr. CMT + 2.25%) <br> 2/25/36<br>| 18384 | 17644 |
| &nbsp;&nbsp; Brean Asset-Backed <br> Securities Trust Series <br> 2025-RM12 Class A1 4.50% <br> 7/25/65<br>| 4625024 | 4488921 |
| CHL Mortgage Pass-Through Trust | CHL Mortgage Pass-Through Trust | CHL Mortgage Pass-Through Trust |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-7 Class 2A1 <br> 5.23% 6/25/34<br>| 8157 | 7307 |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-HYB1 Class 2A <br> 4.94% 5/20/34<br>| 4186 | 3806 |

---

*LVIP JPMorgan Core Bond Fund–36*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| CHL Mortgage Pass-Through Trust (continued) | CHL Mortgage Pass-Through Trust (continued) | CHL Mortgage Pass-Through Trust (continued) |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-HYB3 Class 2A <br> 4.62% 6/20/34<br>| 5761 | $5391 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-16 Class A23 <br> 5.50% 9/25/35<br>| 21735 | 12797 |
| &nbsp;&nbsp;&nbsp; ♦•Series 2005-22 Class 2A1 <br> 4.78% 11/25/35<br>| 45122 | 37350 |
| &nbsp;&nbsp; •CIM Trust Series 2021-R6 <br> Class A1 1.43% 7/25/61<br>| 529512 | 487543 |
| Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. |
| &nbsp;&nbsp;&nbsp; •Series 2003-HYB1 Class A <br> 6.74% 9/25/33<br>| 1827 | 1798 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-UP2 Class 1 <br> 0.00% 12/25/18<br>| 42 | 42 |
| &nbsp;&nbsp; •Citigroup Mortgage Loan <br> Trust, Inc. Series 2005-1 <br> Class 2A1A 3.11% 2/25/35<br>| 25863 | 21710 |
| Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-2CB Class 1A9 <br> 5.75% 3/25/34<br>| 255091 | 256620 |
| &nbsp;&nbsp;&nbsp; \*•Series 2005-20CB Class 3A8 <br> 0.96% (4.64% minus 1 mo. <br> USD Term SOFR) 7/25/35<br>| 103565 | 4523 |
| &nbsp;&nbsp;&nbsp; \*•Series 2005-22T1 Class A2 <br> 1.28% (4.96% minus 1 mo. <br> USD Term SOFR) 6/25/35<br>| 242508 | 16919 |
| &nbsp;&nbsp;&nbsp; Series 2005-28CB Class 1A4 <br> 5.50% 8/25/35<br>| 129419 | 111671 |
| &nbsp;&nbsp;&nbsp; Series 2005-54CB Class 1A11 <br> 5.50% 11/25/35<br>| 47460 | 34795 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; •Series 2018-J1 Class A2 <br> 3.50% 2/25/48<br>| 2306763 | 2091364 |
| &nbsp;&nbsp;&nbsp; •Series 2020-RPL4 Class A1 <br> 2.00% 1/25/60<br>| 636263 | 575722 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A1 <br> 0.83% 3/25/56<br>| 541259 | 452909 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A3 <br> 1.17% 3/25/56<br>| 735956 | 621202 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A3 <br> 1.63% 4/25/66<br>| 1250296 | 1121445 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM7 Class A1 <br> 1.76% 10/25/66<br>| 415827 | 368695 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM8 Class A1 <br> 2.84% 10/25/66<br>| 2235521 | 2042544 |
| &nbsp;&nbsp;&nbsp; Series 2021-RPL2 Class A1 <br> 2.00% 1/25/60<br>| 400492 | 354259 |
| &nbsp;&nbsp;&nbsp; •Series 2021-RPL6 Class A1 <br> 2.00% 10/25/60<br>| 784450 | 713454 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 3.27% 11/25/66<br>| 2342319 | 2143333 |
| &nbsp;&nbsp; •Deephaven Residential <br> Mortgage Trust Series <br> 2022-1 Class A1 2.21% <br> 1/25/67<br>| 1493703 | 1374893 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-2 Class A1 <br> 0.93% 6/25/66<br>| 611418 | $515665 |
| &nbsp;&nbsp; First Horizon Alternative <br> Mortgage Securities Trust <br> Series 2005-FA8 Class 1A19 <br> 5.50% 11/25/35<br>| 45499 | 18435 |
| &nbsp;&nbsp; •Galton Funding Mortgage <br> Trust Series 2017-1 <br> Class A22 3.00% 7/25/56<br>| 82047 | 72903 |
| &nbsp;&nbsp; φGCAT Trust Series <br> 2020-NQM1 Class A3 3.55% <br> 1/25/60<br>| 929298 | 915863 |
| &nbsp;&nbsp; •GMACM Mortgage Loan Trust <br> Series 2005-AR3 Class 3A4 <br> 4.36% 6/19/35<br>| 21547 | 20297 |
| •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ7 Class A2 <br> 2.50% 1/25/52<br>| 814819 | 675536 |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ8 Class A2 <br> 2.50% 1/25/52<br>| 1119128 | 927827 |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ9 Class A2 <br> 2.50% 2/26/52<br>| 1261877 | 1046175 |
| GSR Mortgage Loan Trust | GSR Mortgage Loan Trust | GSR Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-13F Class 3A3 <br> 6.00% 11/25/34<br>| 6563 | 6362 |
| &nbsp;&nbsp;&nbsp; Series 2004-6F Class 1A2 <br> 5.00% 5/25/34<br>| 11177 | 10736 |
| &nbsp;&nbsp;&nbsp; Series 2004-6F Class 3A4 <br> 6.50% 5/25/34<br>| 32711 | 32970 |
| &nbsp;&nbsp; •Impac CMB Trust Series <br> 2007-A Class A 4.29% (1 mo. <br> USD Term SOFR + 0.61%) <br> 5/25/37<br>| 682414 | 650901 |
| &nbsp;&nbsp; •Impac Secured Assets Trust <br> Series 2006-1 Class 2A1 <br> 4.49% (1 mo. USD Term <br> SOFR + 0.81%) 5/25/36<br>| 3724 | 3591 |
| •JP Morgan Mortgage Trust | •JP Morgan Mortgage Trust | •JP Morgan Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2006-A2 Class 5A3 <br> 6.31% 11/25/33<br>| 3026 | 2929 |
| &nbsp;&nbsp;&nbsp; Series 2015-1 Class B2 5.01% <br> 12/25/44<br>| 66617 | 66086 |
| &nbsp;&nbsp;&nbsp; Series 2015-4 Class B1 3.51% <br> 6/25/45<br>| 89897 | 83818 |
| &nbsp;&nbsp;&nbsp; Series 2015-5 Class B2 5.22% <br> 5/25/45<br>| 2203 | 2163 |
| &nbsp;&nbsp;&nbsp; Series 2015-6 Class B3 3.51% <br> 10/25/45<br>| 81220 | 71534 |
| &nbsp;&nbsp;&nbsp; Series 2017-1 Class B3 3.45% <br> 1/25/47<br>| 286035 | 261358 |
| &nbsp;&nbsp;&nbsp; Series 2017-5 Class A2 4.70% <br> 10/26/48<br>| 2353456 | 2344338 |
| &nbsp;&nbsp;&nbsp; Series 2018-4 Class A1 3.50% <br> 10/25/48<br>| 274553 | 247961 |

---

*LVIP JPMorgan Core Bond Fund–37*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •JP Morgan Mortgage Trust (continued) | •JP Morgan Mortgage Trust (continued) | •JP Morgan Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2020-2 Class A3 3.50% <br> 7/25/50<br>| 31797 | $28526 |
| &nbsp;&nbsp;&nbsp; Series 2020-7 Class A3 3.00% <br> 1/25/51<br>| 145865 | 126168 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A3 2.50% <br> 6/25/51<br>| 252193 | 209084 |
| &nbsp;&nbsp;&nbsp; Series 2021-10 Class A3 <br> 2.50% 12/25/51<br>| 536240 | 444576 |
| &nbsp;&nbsp;&nbsp; Series 2021-11 Class A3 <br> 2.50% 1/25/52<br>| 907307 | 752214 |
| &nbsp;&nbsp;&nbsp; Series 2021-12 Class A3 <br> 2.50% 2/25/52<br>| 1173647 | 973027 |
| &nbsp;&nbsp;&nbsp; Series 2021-13 Class A3 <br> 2.50% 4/25/52<br>| 1183736 | 981391 |
| &nbsp;&nbsp; •MASTR Adjustable Rate <br> Mortgages Trust Series <br> 2004-13 Class 2A1 6.24% <br> 4/21/34<br>| 3798 | 3736 |
| MASTR Alternative Loan Trust | MASTR Alternative Loan Trust | MASTR Alternative Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-9 Class 8A1 <br> 6.00% 1/25/34<br>| 16497 | 15732 |
| &nbsp;&nbsp;&nbsp; Series 2004-4 Class 10A1 <br> 5.00% 5/25/24<br>| 6421 | 1918 |
| &nbsp;&nbsp;&nbsp; Series 2004-6 Class 7A1 <br> 6.00% 7/25/34<br>| 36933 | 36439 |
| &nbsp;&nbsp;&nbsp; ~^Series 2004-7 Class 30 0.00% <br> 8/25/34<br>| 2718 | 2023 |
| &nbsp;&nbsp;&nbsp; Series 2004-8 Class 6A1 <br> 5.50% 12/31/49<br>| 24 | 24 |
| MASTR Asset Securitization Trust | MASTR Asset Securitization Trust | MASTR Asset Securitization Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-11 Class 9A6 <br> 5.25% 12/25/33<br>| 26869 | 26352 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-12 Class 15 <br> 0.00% 12/25/18<br>| 76 | 0 |
| &nbsp;&nbsp;&nbsp; ~^Series 2004-6 Class 15 0.00% <br> 7/25/19<br>| 82 | 81 |
| &nbsp;&nbsp; ~^MASTR Resecuritization <br> Trust Series 2005-PO Class 3 <br> 0.00% 5/28/35<br>| 3761 | 2967 |
| &nbsp;&nbsp; •MFA Trust Series 2020-NQM1 <br> Class A3 3.30% 8/25/49<br>| 216416 | 210544 |
| •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-1 Class A2A <br> 2.50% 12/25/50<br>| 351563 | 293124 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A2 2.50% <br> 3/25/51<br>| 246515 | 204377 |
| &nbsp;&nbsp;&nbsp; Series 2021-4 Class A3 2.50% <br> 7/25/51<br>| 254898 | 211326 |
| &nbsp;&nbsp;&nbsp; Series 2021-5 Class A3 2.50% <br> 8/25/51<br>| 809589 | 671200 |
| &nbsp;&nbsp; •NACC Reperforming Loan <br> REMICS Trust Series <br> 2004-R2 Class A1 6.50% <br> 10/25/34<br>| 11354 | 9671 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-2A Class A3 <br> 3.75% 5/25/54<br>| 398217 | $381841 |
| &nbsp;&nbsp;&nbsp; Series 2015-1A Class A3 <br> 3.75% 5/28/52<br>| 218671 | 210585 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A1 <br> 3.75% 8/25/55<br>| 1317239 | 1278445 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A2 <br> 3.75% 8/25/55<br>| 749961 | 724826 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1B <br> 3.25% 9/25/56<br>| 427634 | 403348 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class B1 <br> 4.00% 9/25/56<br>| 1612503 | 1581292 |
| &nbsp;&nbsp;&nbsp; Series 2016-4A Class B2 <br> 4.62% 11/25/56<br>| 953747 | 936682 |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A1 <br> 4.00% 2/25/57<br>| 1024850 | 996682 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class B2 <br> 4.75% 3/25/57<br>| 868020 | 864735 |
| &nbsp;&nbsp;&nbsp; Series 2017-4A Class A1 <br> 4.00% 5/25/57<br>| 996839 | 964415 |
| &nbsp;&nbsp;&nbsp; Series 2017-6A Class A1 <br> 4.00% 8/27/57<br>| 2161317 | 2091179 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM2 Class A1 <br> 3.85% 3/27/62<br>| 2342347 | 2205975 |
| •OBX Trust | •OBX Trust | •OBX Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM2 Class A1 <br> 1.10% 5/25/61<br>| 437178 | 360655 |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM3 Class A1 <br> 1.05% 7/25/61<br>| 627581 | 524046 |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM4 Class A1 <br> 1.96% 10/25/61<br>| 1440259 | 1231404 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM1 Class A1 <br> 2.31% 11/25/61<br>| 2206990 | 1983184 |
| &nbsp;&nbsp; \*PHH Alternative Mortgage <br> Trust Series 2007-2 Class 2X <br> 6.00% 5/25/37<br>| 48112 | 9169 |
| &nbsp;&nbsp; •PRKCM Trust Series <br> 2021-AFC2 Class A1 2.07% <br> 11/25/56<br>| 623565 | 552264 |
| &nbsp;&nbsp; φPRPM LLC Series 2024-RCF3 <br> Class A1 4.00% 5/25/54<br>| 2541192 | 2509706 |
| •RCKT Mortgage Trust | •RCKT Mortgage Trust | •RCKT Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A1 2.50% <br> 3/25/51<br>| 255464 | 211795 |
| &nbsp;&nbsp;&nbsp; Series 2021-4 Class A1 2.50% <br> 9/25/51<br>| 1220641 | 1011987 |
| &nbsp;&nbsp;&nbsp; Series 2021-6 Class A1 2.50% <br> 12/25/51<br>| 541874 | 449247 |
| &nbsp;&nbsp; φRoc Mortgage Trust Series <br> 2025-RTL1 Class A1 5.63% <br> 2/25/40<br>| 3000000 | 3010316 |
| &nbsp;&nbsp; SACO I, Inc. Series 1997-2 <br> Class 1A5 7.00% 8/25/36<br>| 741 | 672 |

---

*LVIP JPMorgan Core Bond Fund–38*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Sequoia Mortgage Trust <br> Series 2020-4 Class A2 2.50% <br> 11/25/50<br>| 210838 | $175437 |
| &nbsp;&nbsp; •SG Residential Mortgage <br> Trust Series 2022-1 Class A1 <br> 3.17% 3/27/62<br>| 2267355 | 2152183 |
| &nbsp;&nbsp; φToorak Mortgage Trust Series <br> 2025-RRTL1 Class A1 5.52% <br> 2/25/40<br>| 4205000 | 4211068 |
| Towd Point Mortgage Trust | Towd Point Mortgage Trust | Towd Point Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2016-3 Class B1 4.07% <br> 4/25/56<br>| 850000 | 840638 |
| &nbsp;&nbsp;&nbsp; •Series 2017-6 Class M1 <br> 3.25% 10/25/57<br>| 1610000 | 1518166 |
| &nbsp;&nbsp;&nbsp; •Series 2018-1 Class A1 3.00% <br> 1/25/58<br>| 6154 | 6122 |
| &nbsp;&nbsp;&nbsp; •Series 2019-HY2 Class M2 <br> 5.69% (1 mo. USD Term <br> SOFR + 2.01%) 5/25/58<br>| 950000 | 962392 |
| &nbsp;&nbsp;&nbsp; •Series 2021-R1 Class A1 <br> 2.92% 11/30/60<br>| 1214840 | 1101658 |
| &nbsp;&nbsp;&nbsp; Series 2022-4 Class A1 3.75% <br> 9/25/62<br>| 1908709 | 1822890 |
| Vendee Mortgage Trust | Vendee Mortgage Trust | Vendee Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 1996-2 Class 1Z 6.75% <br> 6/15/26<br>| 1012 | 1011 |
| &nbsp;&nbsp;&nbsp; Series 1997-1 Class 2Z 7.50% <br> 2/15/27<br>| 6029 | 6046 |
| &nbsp;&nbsp;&nbsp; Series 1998-1 Class 2E 7.00% <br> 3/15/28<br>| 3624 | 3643 |
| ♦•WaMu Mortgage Pass-Through Certificates Trust | ♦•WaMu Mortgage Pass-Through Certificates Trust | ♦•WaMu Mortgage Pass-Through Certificates Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-AR8 Class A <br> 5.19% 8/25/33<br>| 1678 | 1590 |
| &nbsp;&nbsp;&nbsp; Series 2003-AR9 Class 1A6 <br> 5.30% 9/25/33<br>| 8955 | 8374 |
| &nbsp;&nbsp;&nbsp; Series 2004-AR3 Class A2 <br> 5.30% 6/25/34<br>| 2887 | 2643 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR13 <br> Class A1A1 4.37% (1 mo. <br> USD Term SOFR + 0.69%) <br> 10/25/45<br>| 498442 | 473259 |
| &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust | &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust | &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust |
| &nbsp;&nbsp;&nbsp; \*♦•Series 2005-2 Class 1A4 <br> 1.26% (4.94% minus 1 mo. <br> USD Term SOFR) 4/25/35<br>| 216806 | 9929 |
| &nbsp;&nbsp;&nbsp; \*♦•Series 2005-2 Class 2A3 <br> 1.21% (4.89% minus 1 mo. <br> USD Term SOFR) 4/25/35<br>| 63188 | 2649 |
| &nbsp;&nbsp;&nbsp; \*♦Series 2005-3 Class CX 5.50% <br> 5/25/35<br>| 67350 | 12008 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-4 Class CB7 <br> 5.50% 6/25/35<br>| 50448 | 46415 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-6 Class 2A4 <br> 5.50% 8/25/35<br>| 13072 | 11199 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Wells Fargo Mortgage-Backed <br> Securities Trust Series <br> 2020-1 Class A1 3.00% <br> 12/25/49<br>| 50226 | $43553 |
| **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $80,174,408)** | **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $80,174,408)** | **83204272** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.39%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.39%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.39%** |
| &nbsp;&nbsp; •Arbor Realty Commercial <br> Real Estate Notes Ltd. <br> Series 2022-FL1 Class A <br> 5.12% (30 day USD SOFR <br> Average + 1.45%) 1/15/37<br>| 538212 | 538212 |
| &nbsp;&nbsp; •AREIT Trust Series <br> 2022-CRE6 Class A 4.92% <br> (30 day USD SOFR Average <br> + 1.25%) 1/20/37<br>| 721835 | 721292 |
| &nbsp;&nbsp; •BAHA Trust Series 2024-MAR <br> Class A 5.57% 12/10/41<br>| 5541000 | 5644191 |
| &nbsp;&nbsp; •BAMLL Re-REMICS Trust <br> Series 2024-FRR3 Class B <br> 1.41% 1/27/50<br>| 6000000 | 5792778 |
| Bank | Bank | Bank |
| &nbsp;&nbsp;&nbsp; •Series 2017-BNK5 Class B <br> 3.90% 6/15/60<br>| 354000 | 345049 |
| &nbsp;&nbsp;&nbsp; Series 2017-BNK7 Class A5 <br> 3.44% 9/15/60<br>| 1509000 | 1485712 |
| &nbsp;&nbsp;&nbsp; •Series 2018-BN14 Class C <br> 4.62% 9/15/60<br>| 1640000 | 1480737 |
| &nbsp;&nbsp;&nbsp; Series 2019-BN20 Class A3 <br> 3.01% 9/15/62<br>| 534000 | 503629 |
| &nbsp;&nbsp;&nbsp; Series 2019-BN21 Class A5 <br> 2.85% 10/17/52<br>| 1088000 | 1023376 |
| &nbsp;&nbsp;&nbsp; Series 2020-BN25 Class A5 <br> 2.65% 1/15/63<br>| 3467000 | 3199983 |
| &nbsp;&nbsp;&nbsp; •Series 2022-BNK40 Class B <br> 3.39% 3/15/64<br>| 767000 | 680774 |
| &nbsp;&nbsp; BBCMS Mortgage Trust Series <br> 2020-C7 Class A5 2.04% <br> 4/15/53<br>| 1610000 | 1445171 |
| Benchmark Mortgage Trust | Benchmark Mortgage Trust | Benchmark Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-B17 Class A5 <br> 2.29% 3/15/53<br>| 2037000 | 1838515 |
| &nbsp;&nbsp;&nbsp; Series 2020-B19 Class A5 <br> 1.85% 9/15/53<br>| 2610000 | 2315721 |
| &nbsp;&nbsp;&nbsp; Series 2020-B20 Class A5 <br> 2.03% 10/15/53<br>| 1915000 | 1686814 |
| &nbsp;&nbsp;&nbsp; Series 2020-B22 Class A5 <br> 1.97% 1/15/54<br>| 2110000 | 1849736 |
| &nbsp;&nbsp;&nbsp; Series 2021-B24 Class A5 <br> 2.58% 3/15/54<br>| 575000 | 514061 |
| &nbsp;&nbsp;&nbsp; Series 2021-B25 Class A5 <br> 2.58% 4/15/54<br>| 1225000 | 1093268 |

---

*LVIP JPMorgan Core Bond Fund–39*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| Benchmark Mortgage Trust (continued) | Benchmark Mortgage Trust (continued) | Benchmark Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class B <br> 3.20% 1/15/55<br>| 780000 | $655656 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class C <br> 3.45% 1/15/55<br>| 953000 | 723314 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class B <br> 3.61% 3/15/55<br>| 386000 | 336596 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class C <br> 3.61% 3/15/55<br>| 386000 | 308026 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B34 Class A5 <br> 3.79% 4/15/55<br>| 410000 | 377537 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B35 Class A5 <br> 4.44% 5/15/55<br>| 1321000 | 1273216 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B36 Class A5 <br> 4.47% 7/15/55<br>| 691000 | 668386 |
| &nbsp;&nbsp; •BMO Mortgage Trust Series <br> 2022-C1 Class A5 3.37% <br> 2/15/55<br>| 308000 | 284577 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-OC11 Class A <br> 3.20% 12/9/41<br>| 870000 | 820403 |
| &nbsp;&nbsp;&nbsp; •Series 2022-LBA6 Class A <br> 4.67% (1 mo. USD Term <br> SOFR + 1.00%) 1/15/39<br>| 1680000 | 1678950 |
| Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending |
| &nbsp;&nbsp;&nbsp; Series 2019-CF1 Class A5 <br> 3.79% 5/15/52<br>| 1411000 | 1373301 |
| &nbsp;&nbsp;&nbsp; Series 2019-CF2 Class A5 <br> 2.87% 11/15/52<br>| 516000 | 485675 |
| &nbsp;&nbsp;&nbsp; Series 2019-CF3 Class A4 <br> 3.01% 1/15/53<br>| 1140000 | 1070339 |
| CD Mortgage Trust | CD Mortgage Trust | CD Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-CD1 Class A4 <br> 2.72% 8/10/49<br>| 1950000 | 1923298 |
| &nbsp;&nbsp;&nbsp; Series 2016-CD2 Class A3 <br> 3.25% 11/10/49<br>| 700602 | 697457 |
| &nbsp;&nbsp;&nbsp; Series 2019-CD8 Class A4 <br> 2.91% 8/15/57<br>| 1393000 | 1304224 |
| &nbsp;&nbsp; CFCRE Commercial Mortgage <br> Trust Series 2016-C7 <br> Class A3 3.84% 12/10/54<br>| 615000 | 611125 |
| Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-P6 Class A4 <br> 3.46% 12/10/49<br>| 266043 | 264784 |
| &nbsp;&nbsp;&nbsp; Series 2017-C4 Class A4 <br> 3.47% 10/12/50<br>| 1642000 | 1617169 |
| &nbsp;&nbsp;&nbsp; Series 2019-C7 Class A4 <br> 3.10% 12/15/72<br>| 1032000 | 974787 |
| &nbsp;&nbsp;&nbsp; Series 2020-555 Class A <br> 2.65% 12/10/41<br>| 581000 | 527383 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class A2 <br> 3.95% 9/15/37<br>| 885000 | 815266 |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class B <br> 4.18% 9/15/37<br>| 5620000 | 4836225 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| CSMC Trust (continued) | CSMC Trust (continued) | CSMC Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class D <br> 4.37% 9/15/37<br>| 100000 | $84065 |
| &nbsp;&nbsp; •CSTL Commercial Mortgage <br> Trust Series 2025-GATE2 <br> Class C 5.14% 11/10/42<br>| 1470000 | 1438674 |
| DB-JPM Mortgage Trust | DB-JPM Mortgage Trust | DB-JPM Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C1 Class A4 <br> 3.28% 5/10/49<br>| 165399 | 164943 |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class A5 <br> 1.93% 8/15/53<br>| 975000 | 869696 |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class B 2.57% <br> 8/15/53<br>| 282000 | 241999 |
| &nbsp;&nbsp; Grace Trust Series <br> 2020-GRCE Class A 2.35% <br> 12/10/40<br>| 807000 | 720024 |
| •GS Mortgage Securities Corp. Trust | •GS Mortgage Securities Corp. Trust | •GS Mortgage Securities Corp. Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-PEMB Class A <br> 3.55% 3/5/33<br>| 3810000 | 2889333 |
| &nbsp;&nbsp;&nbsp; Series 2021-ROSS Class A <br> 5.09% (1 mo. USD Term <br> SOFR + 1.41%) 5/15/26<br>| 2970000 | 2834867 |
| GS Mortgage Securities Trust | GS Mortgage Securities Trust | GS Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2017-GS6 Class A3 <br> 3.43% 5/10/50<br>| 1291000 | 1275598 |
| &nbsp;&nbsp;&nbsp; Series 2019-GC42 Class A4 <br> 3.00% 9/10/52<br>| 1733000 | 1632811 |
| &nbsp;&nbsp;&nbsp; Series 2020-GC47 Class A5 <br> 2.38% 5/12/53<br>| 1235000 | 1129739 |
| JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-LC11 Class B <br> 3.50% 4/15/46<br>| 23556 | 22823 |
| &nbsp;&nbsp;&nbsp; Series 2015-JP1 Class A5 <br> 3.91% 1/15/49<br>| 160163 | 158352 |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2 Class A4 <br> 2.82% 8/15/49<br>| 749953 | 747110 |
| &nbsp;&nbsp;&nbsp; •Series 2020-MKST Class D <br> 5.79% (1 mo. USD Term <br> SOFR + 2.11%) 12/15/36<br>| 5130000 | 25650 |
| JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C2 Class A4 <br> 3.14% 6/15/49<br>| 1320821 | 1301311 |
| &nbsp;&nbsp;&nbsp; Series 2016-C4 Class A3 <br> 3.14% 12/15/49<br>| 620000 | 613081 |
| &nbsp;&nbsp;&nbsp; Series 2017-C7 Class A5 <br> 3.41% 10/15/50<br>| 366000 | 359925 |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust |
| &nbsp;&nbsp;&nbsp; •Series 2013-C7 Class C 3.98% <br> 2/15/46<br>| 291527 | 282439 |
| &nbsp;&nbsp;&nbsp; Series 2016-C29 Class A4 <br> 3.33% 5/15/49<br>| 89865 | 89303 |
| &nbsp;&nbsp; Morgan Stanley Capital I <br> Trust Series 2019-L3 <br> Class A4 3.13% 11/15/52<br>| 555000 | 524945 |

---

*LVIP JPMorgan Core Bond Fund–40*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| MRCD Mortgage Trust | MRCD Mortgage Trust | MRCD Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-PARK Class A <br> 2.72% 12/15/36<br>| 740000 | $658555 |
| &nbsp;&nbsp;&nbsp; Series 2019-PARK Class D <br> 2.72% 12/15/36<br>| 987000 | 741971 |
| &nbsp;&nbsp; •MTN Commercial Mortgage <br> Trust Series 2022-LPFL <br> Class A 5.08% (1 mo. USD <br> Term SOFR + 1.40%) <br> 3/15/39<br>| 1030000 | 1029356 |
| Natixis Commercial Mortgage Securities Trust | Natixis Commercial Mortgage Securities Trust | Natixis Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-FAME Class A <br> 3.05% 8/15/36<br>| 5440000 | 5000166 |
| &nbsp;&nbsp;&nbsp; \*•Series 2019-FAME Class XA <br> 1.35% 8/15/36<br>| 32225000 | 686196 |
| &nbsp;&nbsp; ROCK Trust Series <br> 2024-CNTR Class A 5.39% <br> 11/13/41<br>| 1500000 | 1523272 |
| &nbsp;&nbsp; SBALR Commercial Mortgage <br> Trust Series 2020-RR1 <br> Class A3 2.83% 2/13/53<br>| 782228 | 673612 |
| &nbsp;&nbsp; SLG Office Trust Series <br> 2021-OVA Class A 2.59% <br> 7/15/41<br>| 2020000 | 1792918 |
| &nbsp;&nbsp; •SMRT Commercial Mortgage <br> Trust Series 2022-MINI <br> Class A 4.67% (1 mo. USD <br> Term SOFR + 1.00%) <br> 1/15/39<br>| 1740000 | 1738912 |
| &nbsp;&nbsp; VLS Commercial Mortgage <br> Trust Series 2020-LAB <br> Class A 2.13% 10/10/42<br>| 1530000 | 1300267 |
| Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-BNK1 Class A3 <br> 2.65% 8/15/49<br>| 684000 | 680175 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-BNK1 Class XA <br> 1.82% 8/15/49<br>| 7899527 | 25201 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-C36 Class XA <br> 1.13% 11/15/59<br>| 22091512 | 39182 |
| &nbsp;&nbsp;&nbsp; Series 2020-C58 Class A4 <br> 2.09% 7/15/53<br>| 284000 | 252615 |
| **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $89,840,232)** | **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $89,840,232)** | **89335799** |
| **ΔREGIONAL BONDS–0.07%** | **ΔREGIONAL BONDS–0.07%** | **ΔREGIONAL BONDS–0.07%** |
| **Canada—0.07%** | **Canada—0.07%** | **Canada—0.07%** |
| &nbsp;&nbsp; Province of British Columbia <br> Canada 2.25% 6/2/26<br>| 1100000 | 1096908 |
| &nbsp;&nbsp; Province of Manitoba Canada <br> 2.13% 6/22/26<br>| 660000 | 657355 |
| &nbsp;&nbsp; Province of Quebec Canada <br> 2.50% 4/20/26<br>| 730000 | 729376 |
|  |  | **2483639** |
| **Total Regional Bonds** <br>**(Cost $2,479,191)** | **Total Regional Bonds** <br>**(Cost $2,479,191)** | **2483639** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS–0.77%** | **ΔSOVEREIGN BONDS–0.77%** | **ΔSOVEREIGN BONDS–0.77%** |
| **India—0.03%** | **India—0.03%** | **India—0.03%** |
| &nbsp;&nbsp; Export-Import Bank of India <br> 3.38% 8/5/26<br>| 990000 | $986159 |
|  |  | **986159** |
| **Luxembourg—0.15%** | **Luxembourg—0.15%** | **Luxembourg—0.15%** |
| &nbsp;&nbsp; Eagle Funding Luxco SARL <br> 5.50% 8/17/30<br>| 5604000 | 5633421 |
|  |  | **5633421** |
| **Mexico—0.53%** | **Mexico—0.53%** | **Mexico—0.53%** |
| Mexico Government International Bonds | Mexico Government International Bonds | Mexico Government International Bonds |
| &nbsp;&nbsp; 2.66% 5/24/31 | 283000 | 249790 |
| &nbsp;&nbsp; 3.50% 2/12/34 | 5067000 | 4314551 |
| &nbsp;&nbsp; 4.40% 2/12/52 | 685000 | 485254 |
| &nbsp;&nbsp; 5.38% 3/22/33 | 7013000 | 6848194 |
| &nbsp;&nbsp; 5.63% 2/9/34 | 2006000 | 1961868 |
| &nbsp;&nbsp; 5.85% 7/2/32 | 2127000 | 2134657 |
| &nbsp;&nbsp; 6.00% 5/13/30 | 993000 | 1025273 |
| &nbsp;&nbsp; 6.63% 1/29/38 | 1338000 | 1363422 |
| &nbsp;&nbsp; 6.88% 5/13/37 | 1476000 | 1546110 |
|  |  | **19929119** |
| **Panama—0.04%** | **Panama—0.04%** | **Panama—0.04%** |
| &nbsp;&nbsp; Panama Government <br> International Bonds 5.23% <br> 2/23/34<br>| 1615000 | 1556860 |
|  |  | **1556860** |
| **Poland—0.02%** | **Poland—0.02%** | **Poland—0.02%** |
| &nbsp;&nbsp; Republic of Poland <br> Government International <br> Bonds 5.50% 3/18/54<br>| 921000 | 850794 |
|  |  | **850794** |
| **Total Sovereign Bonds** <br>**(Cost $29,001,394)** | **Total Sovereign Bonds** <br>**(Cost $29,001,394)** | **28956353** |
| **SUPRANATIONAL BANK–0.01%** | **SUPRANATIONAL BANK–0.01%** | **SUPRANATIONAL BANK–0.01%** |
| &nbsp;&nbsp; Africa Finance Corp. 5.55% <br> 10/8/29<br>| 512000 | 514899 |
| **Total Supranational Bank** <br>**(Cost $516,160)** | **Total Supranational Bank** <br>**(Cost $516,160)** | **514899** |
| **U.S. TREASURY OBLIGATIONS–34.00%** | **U.S. TREASURY OBLIGATIONS–34.00%** | **U.S. TREASURY OBLIGATIONS–34.00%** |
| U.S. Treasury Bonds | U.S. Treasury Bonds | U.S. Treasury Bonds |
| &nbsp;&nbsp; 1.13% 5/15/40 | 1220000 | 768505 |
| &nbsp;&nbsp; 1.38% 8/15/50 | 17137000 | 8379725 |
| &nbsp;&nbsp; 1.63% 11/15/50 | 13530000 | 7059383 |
| &nbsp;&nbsp; 1.88% 2/15/51 | 26123900 | 14505908 |
| &nbsp;&nbsp; 2.00% 8/15/51 | 3085000 | 1756401 |
| &nbsp;&nbsp; 2.25% 5/15/41 | 4785000 | 3486508 |
| &nbsp;&nbsp; 2.25% 8/15/46 | 14518700 | 9463811 |
| &nbsp;&nbsp; 2.25% 8/15/49 | 1095000 | 681081 |
| &nbsp;&nbsp; 2.38% 11/15/49 | 1365000 | 869601 |
| &nbsp;&nbsp; 2.38% 5/15/51 | 16350000 | 10228330 |
| &nbsp;&nbsp; 2.50% 2/15/45 | 2000000 | 1402578 |

---

*LVIP JPMorgan Core Bond Fund–41*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| U.S. Treasury Bonds (continued) | U.S. Treasury Bonds (continued) | U.S. Treasury Bonds (continued) |
| &nbsp;&nbsp; 2.75% 8/15/42 | 1800000 | $1376438 |
| &nbsp;&nbsp; 2.75% 11/15/42 | 8450000 | 6426951 |
| &nbsp;&nbsp; 2.88% 5/15/43 | 7470000 | 5737018 |
| &nbsp;&nbsp; 2.88% 5/15/49 | 1420000 | 1009531 |
| &nbsp;&nbsp; 2.88% 5/15/52 | 3635000 | 2520929 |
| &nbsp;&nbsp; 3.00% 11/15/44 | 663000 | 507661 |
| &nbsp;&nbsp; 3.00% 11/15/45 | 1430000 | 1080935 |
| &nbsp;&nbsp; 3.00% 2/15/47 | 28000 | 20862 |
| &nbsp;&nbsp; 3.00% 2/15/48 | 2310000 | 1703445 |
| &nbsp;&nbsp; 3.00% 8/15/48 | 530000 | 388970 |
| &nbsp;&nbsp; 3.13% 11/15/41 | 950000 | 777367 |
| &nbsp;&nbsp; 3.13% 2/15/43 | 720000 | 576478 |
| &nbsp;&nbsp; 3.13% 5/15/48 | 176200 | 132597 |
| &nbsp;&nbsp; 3.25% 5/15/42 | 110000 | 90638 |
| &nbsp;&nbsp; 3.38% 5/15/44 | 1000000 | 817305 |
| &nbsp;&nbsp; 3.50% 2/15/39 | 1037800 | 936290 |
| &nbsp;&nbsp; 3.63% 8/15/43 | 2902000 | 2478376 |
| &nbsp;&nbsp; 3.63% 2/15/44 | 645000 | 547897 |
| &nbsp;&nbsp; 3.63% 5/15/53 | 15170000 | 12163851 |
| &nbsp;&nbsp; 3.75% 11/15/43 | 514000 | 445373 |
| &nbsp;&nbsp; 3.88% 8/15/40 | 11875000 | 10884180 |
| &nbsp;&nbsp; 3.88% 2/15/43 | 500000 | 444277 |
| &nbsp;&nbsp; 3.88% 5/15/43 | 35110000 | 31117609 |
| &nbsp;&nbsp; 4.00% 11/15/42 | 3000000 | 2714648 |
| &nbsp;&nbsp; 4.00% 11/15/52 | 1860000 | 1598074 |
| &nbsp;&nbsp; 4.13% 8/15/44 | 18765000 | 17024839 |
| &nbsp;&nbsp; 4.25% 5/15/39 | 945000 | 917204 |
| &nbsp;&nbsp; 4.38% 8/15/43 | 6050000 | 5710397 |
| &nbsp;&nbsp; 4.50% 11/15/54 | 140000 | 130791 |
| &nbsp;&nbsp; 4.63% 11/15/44 | 14793000 | 14313961 |
| &nbsp;&nbsp; 4.63% 11/15/45 | 6007000 | 5793939 |
| &nbsp;&nbsp; 4.63% 5/15/54 | 13800000 | 13157977 |
| &nbsp;&nbsp; 5.00% 5/15/45 | 9198000 | 9317646 |
| &nbsp;&nbsp; U.S. Treasury Inflation <br> Indexed Notes 1.13% 1/15/33 <br>| 16944270 | 16318759 |
| U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp; 0.88% 11/15/30 | 107605000 | 93784483 |
| &nbsp;&nbsp; 1.25% 3/31/28 | 2475000 | 2353764 |
| &nbsp;&nbsp; 1.25% 8/15/31 | 250000 | 216982 |
| &nbsp;&nbsp; 1.38% 11/15/31 | 55772000 | 48364781 |
| &nbsp;&nbsp; 1.63% 5/15/31 | 310000 | 276469 |
| &nbsp;&nbsp; 1.88% 2/15/32 | 2950000 | 2615936 |
| &nbsp;&nbsp; 2.88% 8/15/28 | 148450000 | 145318633 |
| &nbsp;&nbsp; 2.88% 5/15/32 | 1630000 | 1524432 |
| &nbsp;&nbsp; 3.13% 8/31/29 | 1805000 | 1762484 |
| &nbsp;&nbsp; 3.38% 5/15/33 | 37340000 | 35570726 |
| &nbsp;&nbsp; 3.50% 1/31/28 | 60807000 | 60460210 |
| &nbsp;&nbsp; 3.50% 1/15/29 | 27616000 | 27380833 |
| &nbsp;&nbsp; 3.50% 2/28/31 | 1530000 | 1500356 |
| &nbsp;&nbsp; 3.63% 3/31/30 | 7150000 | 7075986 |
| &nbsp;&nbsp; 3.88% 11/30/27 | 3000000 | 3001758 |
| &nbsp;&nbsp; 3.88% 7/15/28 | 1288000 | 1289509 |
| &nbsp;&nbsp; 3.88% 4/30/30 | 6500000 | 6492891 |
| &nbsp;&nbsp; 3.88% 6/30/30 | 35590000 | 35535781 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| U.S. Treasury Notes (continued) | U.S. Treasury Notes (continued) | U.S. Treasury Notes (continued) |
| &nbsp;&nbsp; 3.88% 7/31/30 | 21000000 | $20964727 |
| &nbsp;&nbsp; 3.88% 8/15/34 | 18830000 | 18351159 |
| &nbsp;&nbsp; 4.00% 7/31/32 | 59000000 | 58702696 |
| &nbsp;&nbsp; 4.00% 2/15/34 | 43079400 | 42493789 |
| &nbsp;&nbsp; 4.13% 10/31/29 | 28840000 | 29076578 |
| &nbsp;&nbsp; 4.25% 1/15/28 | 47970000 | 48309163 |
| &nbsp;&nbsp; 4.25% 1/31/30 | 11026000 | 11165548 |
| &nbsp;&nbsp; 4.25% 11/15/34 | 15295000 | 15290818 |
| &nbsp;&nbsp; 4.38% 1/31/32 | 52655000 | 53551781 |
| &nbsp;&nbsp; 4.38% 5/15/34 | 21000000 | 21221485 |
| &nbsp;&nbsp; 4.50% 12/31/31 | 745000 | 762694 |
| &nbsp;&nbsp; 4.50% 11/15/33 | 120570000 | 123066175 |
| &nbsp;&nbsp; 4.63% 9/30/28 | 15198000 | 15488899 |
| &nbsp;&nbsp; 4.88% 10/31/30 | 24325000 | 25272345 |
| ^U.S. Treasury Strip Coupon | ^U.S. Treasury Strip Coupon | ^U.S. Treasury Strip Coupon |
| &nbsp;&nbsp; 0.00% 2/15/27 | 300000 | 290673 |
| &nbsp;&nbsp; 0.00% 5/15/27 | 725000 | 695380 |
| &nbsp;&nbsp; 0.00% 8/15/27 | 250000 | 237335 |
| &nbsp;&nbsp; 0.00% 8/15/29 | 3400000 | 2982527 |
| &nbsp;&nbsp; 0.00% 8/15/30 | 3465000 | 2916013 |
| &nbsp;&nbsp; 0.00% 11/15/30 | 3705000 | 3085747 |
| &nbsp;&nbsp; 0.00% 2/15/31 | 9830000 | 8096291 |
| &nbsp;&nbsp; 0.00% 5/15/31 | 6835000 | 5569991 |
| &nbsp;&nbsp; 0.00% 8/15/31 | 13355000 | 10758592 |
| &nbsp;&nbsp; 0.00% 11/15/31 | 7475000 | 5955199 |
| &nbsp;&nbsp; 0.00% 2/15/33 | 400000 | 300767 |
| &nbsp;&nbsp; 0.00% 5/15/33 | 1175000 | 873118 |
| &nbsp;&nbsp; 0.00% 8/15/33 | 100000 | 73409 |
| &nbsp;&nbsp; 0.00% 11/15/33 | 1025000 | 743430 |
| &nbsp;&nbsp; 0.00% 2/15/34 | 775000 | 554645 |
| &nbsp;&nbsp; 0.00% 11/15/34 | 50000 | 34480 |
| &nbsp;&nbsp; 0.00% 2/15/35 | 65000 | 44268 |
| &nbsp;&nbsp; 0.00% 5/15/35 | 250000 | 168131 |
| &nbsp;&nbsp; 0.00% 2/15/36 | 23050000 | 14902930 |
| &nbsp;&nbsp; 0.00% 8/15/36 | 3608000 | 2268401 |
| &nbsp;&nbsp; 0.00% 11/15/36 | 1369000 | 849328 |
| &nbsp;&nbsp; 0.00% 2/15/37 | 4011000 | 2452172 |
| &nbsp;&nbsp; 0.00% 5/15/37 | 5474000 | 3302998 |
| &nbsp;&nbsp; 0.00% 8/15/37 | 528000 | 313895 |
| &nbsp;&nbsp; 0.00% 11/15/40 | 850000 | 415518 |
| &nbsp;&nbsp; 0.00% 2/15/41 | 545134 | 262282 |
| &nbsp;&nbsp; 0.00% 8/15/41 | 3200000 | 1495832 |
| &nbsp;&nbsp; 0.00% 11/15/41 | 100000 | 46011 |
| &nbsp;&nbsp; 0.00% 11/15/43 | 21405000 | 8737213 |
| &nbsp;&nbsp; 0.00% 11/15/49 | 24295000 | 7249513 |
| **Total U.S. Treasury Obligations** <br>**(Cost $1,282,577,308)** | **Total U.S. Treasury Obligations** <br>**(Cost $1,282,577,308)** | **1271705004** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

*LVIP JPMorgan Core Bond Fund–42*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>| **Value**<br> **(U.S. $)**<br>|
| **MONEY MARKET FUND–0.25%** | **MONEY MARKET FUND–0.25%** | **MONEY MARKET FUND–0.25%** |
| &nbsp;&nbsp; State Street Institutional <br> U.S. Government Money <br> Market Fund - Premier Class <br> (seven-day effective yield <br> 3.60%)<br>| 9239356 | $9239356 |
| **Total Money Market Fund** <br>**(Cost $9,239,356)** | **Total Money Market Fund** <br>**(Cost $9,239,356)** | **9239356** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–99.24% (Cost $3,699,890,118)** | **$3712041426** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.76%** | **28305255** |
| **NET ASSETS APPLICABLE TO 377,206,055 SHARES OUTSTANDING–100.00%** | **$3740346681** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| |
|:---|
| °Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \*Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the <br> principal portion of the security. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; •Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2026. For securities based on a <br> published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps <br> and/or floors or include a multiplier. Certain variable rate securities are not based on a published reference rate and spread but are <br> determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments <br> on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ~Principal Only - represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these <br> securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these <br> securities increase, the yield on these securities increases. |
| ^Zero coupon security. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2026. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ♦Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the <br> counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| μFixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2026. Rate will reset at a future date. |
| =The value of this security was determined using significant unobservable inputs. |
| ΔSecurities have been classified by country of origin. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The following futures contracts were outstanding at March 31, 2026:<br>

**Futures Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts to Buy (Sell)** | **Contracts to Buy (Sell)** | **Notional** <br>**Amount**<br>| **Notional** <br>**Cost (Proceeds)**<br>| **Expiration** <br>**Date**<br>| **Value/** <br>**Unrealized** <br>**Appreciation**<sup>1</sup> <br>| **Value/** <br>**Unrealized** <br>**Depreciation**<sup>1</sup> <br>|
| **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** |
| 290 | CBOT 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; $32203594 | &nbsp;&nbsp; $32747353 | &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(543759)<br>|
| 575 | CBOT 2 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 119281054 | &nbsp;&nbsp; 120019818 | &nbsp;&nbsp; 6/30/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (738764)<br>|
| 441 | CBOT 5 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 47707242 | &nbsp;&nbsp; 48441741 | &nbsp;&nbsp; 6/30/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (734499)<br>|
| 168 | CBOT U.S. Long Bond Futures | &nbsp;&nbsp; 19131000 | &nbsp;&nbsp; 19758659 | &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (627659)<br>|
| 931 | Ultra 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 105683047 | &nbsp;&nbsp; 107045399 | &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (1362352)<br>|
| 103 | Ultra U.S. Treasury Bond Futures | &nbsp;&nbsp; 12005938 | &nbsp;&nbsp; 12408589 | &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (402651)<br>|
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(4409684)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The <br> notional amounts presented above represent the Fund's total exposure in such contracts, whereas only the net unrealized appreciation <br> (depreciation) is reflected in the Fund's net assets.<br>

*LVIP JPMorgan Core Bond Fund–43*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp; <sup>1</sup> Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through March 31, 2026.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Summary of Abbreviations:** |
| ARM–Adjustable Rate Mortgage |
| BAMLL–Bank of America Merrill Lynch Large Loan |
| BMO–Bank of Montreal  |
| CBOT–Chicago Board of Trade |
| CMT–Constant Maturity Treasury |
| COFI–Cost of Funds Index |
| DB-JPM–Deutsche Bank JPMorgan |
| FREMF–Freddie Mac Multifamily |
| GS–Goldman Sachs |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| JPM-DB–JPMorgan Deutsche Bank |
| LNG–Liquefied Natural Gas |
| REIT–Real Estate Investment Trust |
| REMIC–Real Estate Mortgage Investment Conduits |
| RFUCCT–Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| SOFR–Secured Overnight Financing Rate |
| STACR–Structured Agency Credit Risk |
| yr.–Year |

---

*LVIP JPMorgan Core Bond Fund–44*

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP JPMorgan Core Bond Fund

- **b. EDGAR series identifier (if any):** S000079874

- **c. LEI of Series:** 549300G0KAUIXSZUYB35

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3745090948.58

**Total Liabilities:** $3666687.36

**Net Assets:** $3741424261.22

**Delayed Delivery Securities:** $1908880.00

**Cash Not Reported:** $10276369.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3526.70000000 | **1-Year:** -69940.35000000 | **5-Year:** -224135.89000000 | **10-Year:** -291842.20000000 | **30-Year:** -129295.97000000

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

- **3-Month:** -205.68000000 | **1-Year:** -4710.83000000 | **5-Year:** -14430.68000000 | **10-Year:** -19106.21000000 | **30-Year:** -11863.08000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241300 | 0.22%                | 1.74%                | -2.00%               |
| Class ID C000241301 | 0.25%                | 1.75%                | -1.98%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $186374.44               | $-3139557.38                               |
| Month 2  | $79729.13                | $47903349.60                               |
| Month 3  | $923516.70               | $-84366699.27                              |

### 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        |    900000 | PA      | $851871.28    | 0.02%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                      | ABN AMRO Bank NV                                                                | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2200000 | PA      | $2230121.37   | 0.06%             | 2035-12-03      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    133000 | PA      | $100464.84    | 0.00%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    156000 | PA      | $104275.29    | 0.00%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    219000 | PA      | $221920.01    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                               | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23013.38     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     96000 | PA      | $97728.89     | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     42000 | PA      | $35204.23     | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16966.42     | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                          | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1608932.62   | 0.04%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1490000 | PA      | $1559420.37   | 0.04%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2340000 | PA      | $2418065.02   | 0.06%             | 2035-03-28      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                         | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    725000 | PA      | $738035.96    | 0.02%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                               | Corebridge Global Funding                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    745000 | PA      | $733577.62    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2023-SFR2 Trust                                                            | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1896941.60   | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5059000 | PA      | $4744402.04   | 0.13%             | 2038-06-17      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RAG7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    390000 | PA      | $414318.45    | 0.01%             | 2038-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1017265.59   | 0.03%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    520000 | PA      | $508297.58    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    381000 | PA      | $261569.34    | 0.01%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52407.99     | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1275492.09   | 0.03%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $980325.90    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    226000 | PA      | $146981.86    | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    160000 | PA      | $103676.73    | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $922398.72    | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $135054.15    | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    266000 | PA      | $269454.40    | 0.01%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    264000 | PA      | $259982.31    | 0.01%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RNH1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1822863.32   | 0.05%             | 2036-04-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                   | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    620000 | PA      | $609099.05    | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    370000 | PA      | $324998.67    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96708.87     | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98635.80     | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    530000 | PA      | $526175.97    | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $447639.41    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $965962.27    | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58256.14     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181782.01    | 0.00%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    455000 | PA      | $461804.39    | 0.01%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2266384.24   | 0.06%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YEH8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2655000 | PA      | $2596609.43   | 0.07%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                | Chubb INA Holdings LLC                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449565.73    | 0.01%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                 | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   1098000 | PA      | $1061600.94   | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2140000 | PA      | $2116427.56   | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1771000 | PA      | $1704737.10   | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4205000 | PA      | $3819089.32   | 0.10%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    440000 | PA      | $444790.86    | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    364000 | PA      | $368755.30    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    480000 | PA      | $463654.78    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    440000 | PA      | $427662.25    | 0.01%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AFRICA FINANCE CORP                                   | Africa Finance Corp                                                             | CUSIP: 00830YAF8<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |    512000 | PA      | $514898.96    | 0.01%             | 2029-10-08      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |     29349 | PA      | $28842.39     | 0.00%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                               | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    160160 | PA      | $153150.79    | 0.00%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                                | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    113960 | PA      | $108322.17    | 0.00%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1A PTT                                | Air Canada 2015-1 Class A Pass Through Trust                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     50188 | PA      | $49492.49     | 0.00%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                               | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    810000 | PA      | $829373.80    | 0.02%             | 2031-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                               | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    751000 | PA      | $757178.97    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                               | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    709000 | PA      | $707311.60    | 0.02%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                      | Alabama Power Co                                                                | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     62000 | PA      | $66464.54     | 0.00%             | 2038-05-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |     23000 | PA      | $22994.57     | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    240000 | PA      | $200792.51    | 0.01%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                 | Alibaba Group Holding Ltd                                                       | CUSIP: 01609WBP6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    771000 | PA      | $792084.30    | 0.02%             | 2035-05-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1230038.30   | 0.03%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1819129.85   | 0.05%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KBQ9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1109182.83   | 0.03%             | 2066-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1518058.67   | 0.04%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    610000 | PA      | $460439.63    | 0.01%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    480000 | PA      | $448579.79    | 0.01%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1017537.59   | 0.03%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    460000 | PA      | $367821.27    | 0.01%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $117032.46    | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   5570000 | PA      | $3251579.35   | 0.09%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    750000 | PA      | $672107.27    | 0.02%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208417.64    | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    390000 | PA      | $299030.23    | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                  | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    420000 | PA      | $419662.48    | 0.01%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                              | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAK4<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2061102.84   | 0.06%             | 2036-03-12      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                    | Ameren Illinois Co                                                              | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    185000 | PA      | $123633.17    | 0.00%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                                | American Airlines 2021-1 Class B Pass Through Trust                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3425000 | PA      | $3266232.76   | 0.09%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                                 | American Airlines 2015-1 Class A Pass Through Trust                             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    758537 | PA      | $748944.50    | 0.02%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                              | American Airlines 2016-3 Class AA Pass Through Trust                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72857 | PA      | $70597.71     | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                 | American Airlines 2014-1 Class A Pass Through Trust                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21957 | PA      | $21878.64     | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 A PASS T                              | American Airlines 2015-2 Class A Pass Through Trust                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2104863 | PA      | $2064448.20   | 0.06%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust          | American Credit Acceptance Receivables Trust 2023-4                             | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1541721 | PA      | $1550351.33   | 0.04%             | 2030-09-12      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                               | American Electric Power Co Inc                                                  | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $237909.55    | 0.01%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1307078.92   | 0.03%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1297891.57   | 0.03%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    770000 | PA      | $771406.77    | 0.02%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1614738.18   | 0.04%             | 2036-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                | American Tower Trust #1                                                         | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |    160000 | PA      | $158264.99    | 0.00%             | 2028-03-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     44000 | PA      | $43742.88     | 0.00%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    230000 | PA      | $165105.41    | 0.00%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    150000 | PA      | $134994.56    | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    130000 | PA      | $83460.30     | 0.00%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    275000 | PA      | $242705.77    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     85000 | PA      | $52451.89     | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   2990000 | PA      | $2938014.63   | 0.08%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                              | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $215033.97    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                              | American Water Capital Corp                                                     | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     52000 | PA      | $40173.52     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                              | American Water Capital Corp                                                     | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    225000 | PA      | $156600.63    | 0.00%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                           | Cencora Inc                                                                     | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1562941.20   | 0.04%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                           | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2200608.04   | 0.06%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    300000 | PA      | $251690.32    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    428000 | PA      | $332885.86    | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113146.65    | 0.00%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    390000 | PA      | $384398.31    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1234891.24   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2785474.45   | 0.07%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    622000 | PA      | $552014.26    | 0.01%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1887608.85   | 0.05%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                    | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    227000 | PA      | $162743.96    | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                 | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3057970.99   | 0.08%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ANCHOR MTG TR 2024 RTL1                               | ANCHOR MTG TR 2024 RTL1                                                         | CUSIP: 03332JAA9<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4011156.40   | 0.11%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    493581 | PA      | $433184.08    | 0.01%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   1126973 | PA      | $1085678.00   | 0.03%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $430454.14    | 0.01%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                      | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2465000 | PA      | $2537166.08   | 0.07%             | 2034-04-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                      | CUSIP: 034863BJ8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $264000.84    | 0.01%             | 2036-03-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1563586.34   | 0.04%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54633.29     | 0.00%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    490000 | PA      | $394712.33    | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1089000 | PA      | $660592.98    | 0.02%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1068000 | PA      | $1074258.04   | 0.03%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    439000 | PA      | $447918.00    | 0.01%             | 2031-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1725885.78   | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | PA      | $597387.50    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                  | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    209000 | PA      | $148382.28    | 0.00%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     82000 | PA      | $62659.14     | 0.00%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    140000 | PA      | $108254.88    | 0.00%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    965000 | PA      | $591006.53    | 0.02%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                    | Aqua Finance Issuer Trust 2025-B                                                | CUSIP: 03837GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3333185 | PA      | $3352180.21   | 0.09%             | 2051-05-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                    | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4064921 | PA      | $3791032.85   | 0.10%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd       | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    538212 | PA      | $538212.04    | 0.01%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Archwest Mortgage Trust                               | Archwest Mortgage Trust 2026-RTL1                                               | CUSIP: 03959CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6085000 | PA      | $6084990.87   | 0.16%             | 2041-04-25      | Variable      | 5.44%                 | No            |                  3 | On Loan: No      |
| AREIT CRE Trust                                       | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    721835 | PA      | $721291.99    | 0.02%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                      | Ascension Health                                                                | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $178569.79    | 0.00%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                       | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $55879.01     | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                 | Athene Global Funding                                                           | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    515000 | PA      | $509956.04    | 0.01%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                    | Athene Holding Ltd                                                              | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    550000 | PA      | $529835.38    | 0.01%             | 2055-05-19      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    147000 | PA      | $145927.56    | 0.00%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41353.84     | 0.00%             | 2044-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    155000 | PA      | $121252.67    | 0.00%             | 2049-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    417000 | PA      | $256439.79    | 0.01%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1067670.55   | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                     | Atmos Energy Corp                                                               | CUSIP: 049560BB0<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    943000 | PA      | $835698.66    | 0.02%             | 2054-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                          | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $156244.52    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1351072.10   | 0.04%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    607000 | PA      | $616504.95    | 0.02%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1125834.75   | 0.03%             | 2030-04-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1395692.44   | 0.04%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2642000 | PA      | $2700039.72   | 0.07%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2027139.80   | 0.05%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1525000 | PA      | $1524920.81   | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    245000 | PA      | $244986.00    | 0.01%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    395000 | PA      | $381613.97    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $511310.50    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1316000 | PA      | $1320331.64   | 0.04%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1750000 | PA      | $1756320.79   | 0.05%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    740000 | PA      | $734844.43    | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    474000 | PA      | $461665.06    | 0.01%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1270000 | PA      | $1244467.32   | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1065000 | PA      | $1045044.21   | 0.03%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2516000 | PA      | $2410240.57   | 0.06%             | 2033-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1445171.26   | 0.04%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                        | BAHA Trust 2024-MAR                                                             | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5541000 | PA      | $5644190.60   | 0.15%             | 2041-12-10      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Re-REMIC Trust 2024-FRR3                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5792778.00   | 0.15%             | 2050-01-27      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                 | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     51000 | PA      | $52950.95     | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176255.42    | 0.00%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $593415.53    | 0.02%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $227134.50    | 0.01%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    754000 | PA      | $612197.16    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    507000 | PA      | $500517.50    | 0.01%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1569099.75   | 0.04%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    975000 | PA      | $1065559.81   | 0.03%             | 2034-10-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1942000 | PA      | $1986350.33   | 0.05%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6165000 | PA      | $6452528.02   | 0.17%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $220382.82    | 0.01%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD                                         | BG BETA I LTD                                                                   | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   2619000 | PA      | $2643498.13   | 0.07%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $820402.61    | 0.02%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                            | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308000 | PA      | $284576.72    | 0.01%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2820000 | PA      | $2857990.87   | 0.08%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                               | BPCE SA                                                                         | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3385000 | PA      | $3460917.26   | 0.09%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                               | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05723KAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $173314.11    | 0.00%             | 2029-11-07      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                               | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05724BAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1801607.64   | 0.05%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    110000 | PA      | $69127.59     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    385000 | PA      | $361982.35    | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    850000 | PA      | $824200.60    | 0.02%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                              | Banco Bilbao Vizcaya Argentaria SA                                              | CUSIP: 05946KAU5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   2400000 | PA      | $2334510.17   | 0.06%             | 2036-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2004-1 Trust                                            | CUSIP: 05946XGF4<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4383 | PA      | $3359.92      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2005-6 Trust                                            | CUSIP: 05946XP23<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     37722 | PA      | $34083.85     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                   | Banc of America Funding 2005-7 Trust                                            | CUSIP: 05946XV83<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      4007 | PA      | $3701.83      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                | Banc of America Alternative Loan Trust 2004-6                                   | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1339 | PA      | $734.00       | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                              | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $265948.83    | 0.01%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197448.16    | 0.01%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $199118.92    | 0.01%             | 2028-03-24      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $409729.20    | 0.01%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $630605.44    | 0.02%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2562755.65   | 0.07%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1559807.54   | 0.04%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2018-BNK14                                                                 | CUSIP: 06035RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1480736.65   | 0.04%             | 2060-09-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1544403.44   | 0.04%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $877754.58    | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    720000 | PA      | $583745.53    | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $2854245.18   | 0.08%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1000513.67   | 0.03%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4243000 | PA      | $3040752.06   | 0.08%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1291433.42   | 0.03%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    235000 | PA      | $233036.67    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2179811.55   | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3177297.95   | 0.08%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1810632.64   | 0.05%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1943000 | PA      | $1996031.00   | 0.05%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    825000 | PA      | $851061.07    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    420000 | PA      | $439807.63    | 0.01%             | 2034-09-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2189000 | PA      | $2188949.83   | 0.06%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    813000 | PA      | $828489.23    | 0.02%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    710000 | PA      | $724044.26    | 0.02%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                 | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    206000 | PA      | $203349.00    | 0.01%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                 | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   3300000 | PA      | $3384252.10   | 0.09%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                      | Bank of Montreal                                                                | CUSIP: 06368ME67<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2490000 | PA      | $2451621.48   | 0.07%             | 2032-01-14      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    980000 | PA      | $1071160.71   | 0.03%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RCB1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    633000 | PA      | $641351.16    | 0.02%             | 2031-02-11      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                   | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    111000 | PA      | $112271.92    | 0.00%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                   | Bank of Nova Scotia/The                                                         | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2290000 | PA      | $2257483.92   | 0.06%             | 2034-02-02      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   3467000 | PA      | $3199983.45   | 0.09%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    534000 | PA      | $503629.18    | 0.01%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK21                                                                 | CUSIP: 06540BBD0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1088000 | PA      | $1023376.06   | 0.03%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    767000 | PA      | $680774.17    | 0.02%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $345048.97    | 0.01%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2017-BNK7                                                                  | CUSIP: 06541XAF7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1509000 | PA      | $1485711.60   | 0.04%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1715000 | PA      | $1762916.52   | 0.05%             | 2030-01-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1635000 | PA      | $1612383.44   | 0.04%             | 2031-01-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $241659.87    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1458820.96   | 0.04%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $178694.34    | 0.00%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    853000 | PA      | $894543.16    | 0.02%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $756040.13    | 0.02%             | 2027-09-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1262000 | PA      | $1268502.56   | 0.03%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    885000 | PA      | $894849.49    | 0.02%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1125000 | PA      | $1088759.03   | 0.03%             | 2037-02-24      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1071360.45   | 0.03%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bastion Funding LLC                                   | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1624530 | PA      | $1634528.67   | 0.04%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAXALTA INC                                           | Baxalta Inc                                                                     | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2792.41      | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                           | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1888649.14   | 0.05%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust           | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2646 | PA      | $2642.31      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust           | Bear Stearns ARM Trust 2006-1                                                   | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18384 | PA      | $17643.92     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                          | SACO I Inc                                                                      | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       741 | PA      | $671.54       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $377537.23    | 0.01%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2037000 | PA      | $1838514.52   | 0.05%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2315721.20   | 0.06%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1686813.96   | 0.05%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1849736.35   | 0.05%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $514061.39    | 0.01%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1093268.28   | 0.03%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $655656.07    | 0.02%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953000 | PA      | $723314.33    | 0.02%             | 2055-01-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $336595.59    | 0.01%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $308026.11    | 0.01%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B36 Mortgage Trust                                               | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691000 | PA      | $668386.33    | 0.02%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321000 | PA      | $1273215.60   | 0.03%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                              | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    923000 | PA      | $555717.68    | 0.01%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     62000 | PA      | $54324.65     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    910000 | PA      | $746826.04    | 0.02%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    210000 | PA      | $158502.13    | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAA1<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    290000 | PA      | $219363.69    | 0.01%             | 2051-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206646.40    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAD5<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    605000 | PA      | $645132.68    | 0.02%             | 2034-01-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199001.94    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                            | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1137564.13   | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                            | Blackbird Capital II Aircraft Lease Ltd                                         | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    571189 | PA      | $541514.13    | 0.01%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                              | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17362.80     | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                | Blackstone Reg Finance Co LLC                                                   | CUSIP: 092914AA8<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    872000 | PA      | $853620.06    | 0.02%             | 2034-12-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1360000 | PA      | $1354239.64   | 0.04%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $973273.53    | 0.03%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    320000 | PA      | $287666.53    | 0.01%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    635000 | PA      | $650250.76    | 0.02%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2945000 | PA      | $2989838.39   | 0.08%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4655000 | PA      | $4808718.11   | 0.13%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236272.86    | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    224000 | PA      | $219163.59    | 0.01%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    830000 | PA      | $800530.85    | 0.02%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    810000 | PA      | $798646.50    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $226996.10    | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    560000 | PA      | $537537.34    | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1249304.36   | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $719780.30    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1209170.29   | 0.03%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2139000 | PA      | $2354129.63   | 0.06%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                    | Boston Gas Co                                                                   | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18570.60     | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                | Boston Scientific Corp                                                          | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     49000 | PA      | $45898.24     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    370000 | PA      | $227203.98    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    345000 | PA      | $217513.86    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    135000 | PA      | $85427.07     | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    630000 | PA      | $569285.99    | 0.02%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                   | Brean Asset Backed Securities Trust 2025-RM12                                   | CUSIP: 10638KAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |   4625024 | PA      | $4488921.26   | 0.12%             | 2065-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2025-3                            | CUSIP: 107920AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4501292.40   | 0.12%             | 2031-05-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2024-1                            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2341000 | PA      | $2357157.11   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust         | Bridgecrest Lending Auto Securitization Trust 2024-3                            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2255000 | PA      | $2276702.12   | 0.06%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                          | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875000 | PA      | $853086.59    | 0.02%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                          | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526000 | PA      | $1474718.16   | 0.04%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    114000 | PA      | $101542.33    | 0.00%             | 2039-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    859000 | PA      | $689836.17    | 0.02%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    707000 | PA      | $597977.62    | 0.02%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    175000 | PA      | $122027.81    | 0.00%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    714000 | PA      | $514787.52    | 0.01%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    113000 | PA      | $108808.39    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                               | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     38899 | PA      | $37958.95     | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     52619 | PA      | $50850.75     | 0.00%             | 2031-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                               | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    105266 | PA      | $99558.42     | 0.00%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                              | Province of British Columbia Canada                                             | CUSIP: 11070TAK4<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   1100000 | PA      | $1096908.37   | 0.03%             | 2026-06-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    200000 | PA      | $191955.76    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    105000 | PA      | $93456.34     | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2778000 | PA      | $2360149.52   | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    400000 | PA      | $334263.55    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    650000 | PA      | $630450.05    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3281000 | PA      | $3348834.61   | 0.09%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    286000 | PA      | $288499.50    | 0.01%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    357000 | PA      | $359784.01    | 0.01%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    592000 | PA      | $568151.53    | 0.02%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    854000 | PA      | $832595.08    | 0.02%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      9000 | PA      | $7475.86      | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $54396.19     | 0.00%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                | Brookfield Finance Inc                                                          | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     54000 | PA      | $54243.60     | 0.00%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                 | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     80000 | PA      | $62430.24     | 0.00%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $364220.21    | 0.01%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1070772.51   | 0.03%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1228000 | PA      | $1188885.17   | 0.03%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373078.43    | 0.01%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1667822.83   | 0.04%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $21711.00     | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $30930.48     | 0.00%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1678949.66   | 0.04%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                            | BXG Receivables Note Trust 2022-A                                               | CUSIP: 12434KAC0<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    271336 | PA      | $270030.15    | 0.01%             | 2037-09-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1923297.87   | 0.05%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700602 | PA      | $697457.13    | 0.02%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1304223.97   | 0.03%             | 2057-08-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                     | CF Industries Inc                                                               | CUSIP: 12527GAL7<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    740000 | PA      | $737012.19    | 0.02%             | 2035-11-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516000 | PA      | $485674.83    | 0.01%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411000 | PA      | $1373301.04   | 0.04%             | 2052-05-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1070339.05   | 0.03%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                             | CFIN 2022-RTL1 Issuer LLC                                                       | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103698 | PA      | $103236.52    | 0.00%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $611125.44    | 0.02%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CGI INC                                               | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    370000 | PA      | $323397.21    | 0.01%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                       | Cigna Group/The                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    700000 | PA      | $607765.90    | 0.02%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                       | Cigna Group/The                                                                 | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1736000 | PA      | $1344913.19   | 0.04%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                       | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1472000 | PA      | $1473897.08   | 0.04%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                             | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529512 | PA      | $487542.79    | 0.01%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                       | CMS Energy Corp                                                                 | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46421.00     | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | CPS Auto Receivables Trust 2023-D                                               | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3011991 | PA      | $3037693.37   | 0.08%             | 2030-01-15      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | Consumer Portfolio Services Auto Trust 2025-B                                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4290000 | PA      | $4319192.59   | 0.12%             | 2031-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    636263 | PA      | $575722.26    | 0.02%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                        | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    108000 | PA      | $93829.38     | 0.00%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                        | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6915.37      | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2342319 | PA      | $2143333.38   | 0.06%             | 2066-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $815266.16    | 0.02%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5620000 | PA      | $4836225.25   | 0.13%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84064.95     | 0.00%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2018-J1 Trust                                                              | CUSIP: 12653TAB7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2306763 | PA      | $2091363.93   | 0.06%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    400492 | PA      | $354259.24    | 0.01%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    784450 | PA      | $713454.08    | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    541259 | PA      | $452909.39    | 0.01%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    735956 | PA      | $621202.09    | 0.02%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2235521 | PA      | $2042543.81   | 0.05%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1250296 | PA      | $1121445.39   | 0.03%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    415827 | PA      | $368694.72    | 0.01%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                        | CPS Auto Receivables Trust 2022-D                                               | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363962 | PA      | $366098.46    | 0.01%             | 2029-01-16      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                | CVS Pass-Through Trust                                                          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42047 | PA      | $44398.70     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                | CVS Pass-Through Trust                                                          | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50896 | PA      | $51865.27     | 0.00%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    840000 | PA      | $737312.74    | 0.02%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1266495.18   | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228025.41    | 0.01%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    740000 | PA      | $715047.93    | 0.02%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157152.82    | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    590000 | PA      | $511582.09    | 0.01%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $333770.61    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS PASS THRU TR 2009                                 | CVS Pass-Through Trust Series 2009                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41759 | PA      | $45242.34     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                              | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    114830 | PA      | $108361.75    | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Y91<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      1056 | PA      | $1019.33      | 0.00%             | 2034-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |      3251 | PA      | $3383.83      | 0.00%             | 2034-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2004-2CB                                                 | CUSIP: 12667FAQ8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    255091 | PA      | $256619.83    | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-22T1                                                | CUSIP: 12667GGP2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    242508 | PA      | $16918.78     | 0.00%             | 2035-06-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-20CB                                                | CUSIP: 12667GQN6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    103565 | PA      | $4523.08      | 0.00%             | 2035-07-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GWT6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    129419 | PA      | $111670.99    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-54CB                                                | CUSIP: 12668APD1<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     47460 | PA      | $34794.87     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                            | CUSIP: 12668FAB0<br>LEI: 254900WKCCG7QRE77W83 | Long             | ABS-O            | CORP              | US        |    316029 | PA      | $305700.25    | 0.01%             | 2037-01-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2005-22                                         | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45122 | PA      | $37349.78     | 0.00%             | 2035-11-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-HYB1                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4186 | PA      | $3805.67      | 0.00%             | 2034-05-20      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-7                                          | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8157 | PA      | $7306.52      | 0.00%             | 2034-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2004-HYB3                                       | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5761 | PA      | $5391.17      | 0.00%             | 2034-06-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2005-16                                         | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21735 | PA      | $12796.97     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                        | CSTL Commercial Mortgage Trust 2025-GATE2                                       | CUSIP: 12676JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1438674.01   | 0.04%             | 2042-11-10      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                    | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1168714.68   | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1064000 | PA      | $1158792.48   | 0.03%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    427000 | PA      | $438708.34    | 0.01%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2135000 | PA      | $2223599.30   | 0.06%             | 2035-06-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   6516000 | PA      | $6553071.93   | 0.18%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    188000 | PA      | $159169.48    | 0.00%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                              | Canadian Pacific Railway Co                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    197000 | PA      | $170928.73    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     74000 | PA      | $72777.20     | 0.00%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $206113.92    | 0.01%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1015656.89   | 0.03%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1759514.32   | 0.05%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                   | Cardinal Health Inc                                                             | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2866467.72   | 0.08%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                               | CarMax Auto Owner Trust 2023-4                                                  | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279655 | PA      | $282444.13    | 0.01%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                       | CarMax Select Receivables Trust 2025-A                                          | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8258922.81   | 0.22%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                   | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17152.73     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                                 | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155800 | PA      | $148933.16    | 0.00%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                        | Carvana Auto Receivables Trust 2023-P4                                          | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631000 | PA      | $647738.28    | 0.02%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                        | Carvana Auto Receivables Trust 2023-P3                                          | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94173 | PA      | $94608.83     | 0.00%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                | Cascade MH Asset Trust 2021-MH1                                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540076 | PA      | $492656.85    | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                | CenterPoint Energy Inc                                                          | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228872.92    | 0.01%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7784.27      | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $126349.39    | 0.00%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1308000 | PA      | $1172296.37   | 0.03%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1160000 | PA      | $890624.39    | 0.02%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $724569.77    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    651000 | PA      | $380191.80    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $325156.91    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $370715.17    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    715000 | PA      | $728119.08    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                   | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    710000 | PA      | $730963.98    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                           | Cherry Securitization Trust 2025-1                                              | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1312705.55   | 0.04%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                       | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498378.26    | 0.01%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                          | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $195761.19    | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                          | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $309854.26    | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL/DC                                | Children's Hospital/DC                                                          | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $115814.58    | 0.00%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                 | Chile Electricity Lux MPC Sarl                                                  | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    257140 | PA      | $265332.48    | 0.01%             | 2033-01-20      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                 | Chile Electricity Lux Mpc II Sarl                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    591391 | PA      | $593929.04    | 0.02%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266043 | PA      | $264784.31    | 0.01%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $62273.62     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    605000 | PA      | $598556.92    | 0.02%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73884.00     | 0.00%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73455.63     | 0.00%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1303417.42   | 0.03%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2942543.28   | 0.08%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    625000 | PA      | $559089.78    | 0.01%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $53545.08     | 0.00%             | 2042-11-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1172567.56   | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300564.95    | 0.01%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $1980990.79   | 0.05%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    395000 | PA      | $390510.44    | 0.01%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1050769.75   | 0.03%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     25863 | PA      | $21710.48     | 0.00%             | 2035-02-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                           | Citibank NA                                                                     | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1079411.18   | 0.03%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642000 | PA      | $1617168.86   | 0.04%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    221000 | PA      | $199858.50    | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1658226.50   | 0.04%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    503000 | PA      | $483093.94    | 0.01%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1604874.10   | 0.04%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032000 | PA      | $974787.36    | 0.03%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $527382.76    | 0.01%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                              | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $318307.16    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                              | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $64182.99     | 0.00%             | 2030-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                    | CNO Global Funding                                                              | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2382133.74   | 0.06%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                                | Coca-Cola Femsa SAB de CV                                                       | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    215000 | PA      | $179366.39    | 0.00%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                              | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    421000 | PA      | $423275.70    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $853468.87    | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1290313.86   | 0.03%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $557780.05    | 0.01%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    555000 | PA      | $540697.86    | 0.01%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    167000 | PA      | $161383.40    | 0.00%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    152000 | PA      | $110207.04    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $80981.25     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $262258.20    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    570000 | PA      | $547222.71    | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    930000 | PA      | $532006.90    | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1196000 | PA      | $691366.45    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    481000 | PA      | $266457.20    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    206000 | PA      | $109075.79    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                    | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4338000 | PA      | $4224096.96   | 0.11%             | 2037-01-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                   | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $133300.50    | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                   | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    140000 | PA      | $102650.49    | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                | Commonwealth Edison Co                                                          | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22354.70     | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAA9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1244483 | PA      | $1242750.06   | 0.03%             | 2044-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $774922.45    | 0.02%             | 2042-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    382205 | PA      | $386016.51    | 0.01%             | 2042-01-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754EAB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1584035.21   | 0.04%             | 2043-07-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    418138 | PA      | $419238.82    | 0.01%             | 2041-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAD4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    432000 | PA      | $431750.22    | 0.01%             | 2045-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754VAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    405416 | PA      | $405734.88    | 0.01%             | 2045-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755CAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    328827 | PA      | $328825.51    | 0.01%             | 2043-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755JAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    506000 | PA      | $503430.08    | 0.01%             | 2045-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1073000 | PA      | $1068099.07   | 0.03%             | 2045-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1434000 | PA      | $1456334.42   | 0.04%             | 2033-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBL9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    651000 | PA      | $653294.72    | 0.02%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    495000 | PA      | $472872.46    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     38000 | PA      | $38606.88     | 0.00%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     54000 | PA      | $43027.81     | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239810.24    | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    200000 | PA      | $153460.58    | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     65000 | PA      | $52961.75     | 0.00%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22468.52     | 0.00%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    420000 | PA      | $393011.22    | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88205.88     | 0.00%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    490000 | PA      | $489362.37    | 0.01%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                              | Constellation Brands Inc                                                        | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19848.53     | 0.00%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     66000 | PA      | $69124.25     | 0.00%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    330000 | PA      | $350217.70    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    698000 | PA      | $677119.06    | 0.02%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                 | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1509698.70   | 0.04%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                 | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20383.21     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                              | Corebridge Financial Inc                                                        | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183322.52    | 0.00%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                              | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126910.39    | 0.00%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                           | CoreVest American Finance 2019-2Trust                                           | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $479377.10    | 0.01%             | 2052-06-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                           | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $672818.37    | 0.02%             | 2052-10-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                         | CoreVest American Finance 2020-3 Trust                                          | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $747627.17    | 0.02%             | 2053-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                           | Corning Inc                                                                     | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    284000 | PA      | $213245.21    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                           | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    863000 | PA      | $909453.56    | 0.02%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                  | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    326000 | PA      | $295169.72    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                 | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    930000 | PA      | $902182.17    | 0.02%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                 | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    380000 | PA      | $328428.05    | 0.01%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                | Cox Communications Inc                                                          | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $66690.38     | 0.00%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                | Cox Communications Inc                                                          | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $97036.55     | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206642 | PA      | $207096.60    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2025-2                                        | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4235000 | PA      | $4242704.31   | 0.11%             | 2036-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   5900000 | PA      | $6077571.59   | 0.16%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    824000 | PA      | $833017.25    | 0.02%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    919000 | PA      | $930162.96    | 0.02%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    585000 | PA      | $573064.25    | 0.02%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAU1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2465000 | PA      | $2411407.52   | 0.06%             | 2037-01-12      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2025-1                                        | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4535000 | PA      | $4581002.59   | 0.12%             | 2035-07-16      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                     | Credit Acceptance Auto Loan Trust 2024-1                                        | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3910000 | PA      | $3982415.16   | 0.11%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $247120.80    | 0.01%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1280000 | PA      | $1252368.87   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1837000 | PA      | $1684668.70   | 0.05%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    539000 | PA      | $572980.81    | 0.02%             | 2034-09-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    475000 | PA      | $466325.47    | 0.01%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2010000 | PA      | $1943788.57   | 0.05%             | 2037-03-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1245000 | PA      | $1216046.38   | 0.03%             | 2037-08-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     24000 | PA      | $23892.68     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    665000 | PA      | $681131.78    | 0.02%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $869695.52    | 0.02%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $241998.72    | 0.01%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165399 | PA      | $164943.28    | 0.00%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   3080000 | PA      | $2758415.14   | 0.07%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                         | DTE Energy Co                                                                   | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    350000 | PA      | $353141.47    | 0.01%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                         | DTE Energy Co                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    614000 | PA      | $624344.47    | 0.02%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    226000 | PA      | $163553.47    | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                 | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    185000 | PA      | $176347.32    | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                   | DT Auto Owner Trust 2022-3                                                      | CUSIP: 23345RAG1<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    631055 | PA      | $643491.11    | 0.02%             | 2028-07-17      | Fixed         | 8.14%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                   | DT Auto Owner Trust 2023-2                                                      | CUSIP: 23346CAE8<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    370364 | PA      | $371229.15    | 0.01%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                    | DP Lion Holdco LLC                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   1449837 | PA      | $1493241.68   | 0.04%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    970000 | PA      | $997656.22    | 0.03%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1054000 | PA      | $1050886.92   | 0.03%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1425000 | PA      | $1434229.16   | 0.04%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1355000 | PA      | $1330340.25   | 0.04%             | 2031-09-12      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                  | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1493703 | PA      | $1374892.62   | 0.04%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBJ9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    287000 | PA      | $290817.13    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAE6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    292000 | PA      | $292405.69    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3229372.65   | 0.09%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                               | Delmarva Power & Light Co                                                       | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40656.39     | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2015-1AA                              | Delta Air Lines 2015-1 Class AA Pass Through Trust                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    216753 | PA      | $214109.63    | 0.01%             | 2027-07-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    730000 | PA      | $686289.54    | 0.02%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    786000 | PA      | $814331.65    | 0.02%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2159000 | PA      | $2266880.70   | 0.06%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    985000 | PA      | $1011778.92   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    520000 | PA      | $522449.35    | 0.01%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4127000 | PA      | $4169594.27   | 0.11%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1100000 | PA      | $1095856.55   | 0.03%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    720000 | PA      | $707928.34    | 0.02%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    350000 | PA      | $344554.91    | 0.01%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    478000 | PA      | $481224.22    | 0.01%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4145000 | PA      | $4192735.23   | 0.11%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    940000 | PA      | $908513.21    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    150000 | PA      | $131654.65    | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    640000 | PA      | $637957.79    | 0.02%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                    | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2228878.52   | 0.06%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1350870.72   | 0.04%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1066193.36   | 0.03%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                               | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    350000 | PA      | $393817.10    | 0.01%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Diversified ABS VIII LLC                              | Diversified ABS Phase VIII LLC                                                  | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1153085 | PA      | $1161235.97   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                          | DNB Bank ASA                                                                    | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    325000 | PA      | $315820.72    | 0.01%             | 2028-03-30      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                          | DNB Bank ASA                                                                    | CUSIP: 25601B2E4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    935000 | PA      | $921605.36    | 0.02%             | 2031-11-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                       | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3709115 | PA      | $3509664.02   | 0.09%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                 | DuPont de Nemours Inc                                                           | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    626000 | PA      | $616733.91    | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                 | DuPont de Nemours Inc                                                           | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    139000 | PA      | $128636.60    | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                          | Drive Auto Receivables Trust 2025-1                                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5426301.78   | 0.15%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                              | EIDP Inc                                                                        | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2150470.15   | 0.06%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99299.20     | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236416.63    | 0.01%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    880000 | PA      | $882501.99    | 0.02%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1436184.26   | 0.04%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1237977.93   | 0.03%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2444000 | PA      | $2480905.21   | 0.07%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                  | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     46000 | PA      | $34280.68     | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     54000 | PA      | $40180.38     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                               | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158014.63    | 0.00%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                               | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    210000 | PA      | $191125.96    | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                              | Electricite de France SA                                                        | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $1002972.07   | 0.03%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                     | EOG Resources Inc                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1074201.84   | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                     | EOG Resources Inc                                                               | CUSIP: 26875PBA8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    309000 | PA      | $313769.61    | 0.01%             | 2055-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                  | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    160000 | PA      | $181907.60    | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17780.60     | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    680000 | PA      | $727515.50    | 0.02%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                  | ERAC USA Finance LLC                                                            | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11930.57     | 0.00%             | 2042-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                              | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5604000 | PA      | $5633421.00   | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                    | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    655000 | PA      | $663844.50    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRAN                                      | Eastern Gas Transmission & Storage Inc                                          | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    137000 | PA      | $99774.77     | 0.00%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                            | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    780000 | PA      | $669169.65    | 0.02%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $235612.13    | 0.01%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    990000 | PA      | $1031536.16   | 0.03%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                              | Element Fleet Management Corp                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1825000 | PA      | $1841796.06   | 0.05%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                   | Emerson Electric Co                                                             | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $686430.58    | 0.02%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                   | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2330000 | PA      | $1922172.18   | 0.05%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    260000 | PA      | $269330.47    | 0.01%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    590000 | PA      | $594928.55    | 0.02%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1850000 | PA      | $1908255.08   | 0.05%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $343558.87    | 0.01%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    533000 | PA      | $544404.95    | 0.01%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                          | Enbridge Inc                                                                    | CUSIP: 29250NCR4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    880000 | PA      | $887582.48    | 0.02%             | 2036-03-27      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    565000 | PA      | $587235.49    | 0.02%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    472000 | PA      | $442583.11    | 0.01%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    585000 | PA      | $557007.69    | 0.01%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2054061.50   | 0.05%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                  | ENEL Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1740000 | PA      | $1687406.41   | 0.05%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    335000 | PA      | $321566.78    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3818297.20   | 0.10%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    340000 | PA      | $333447.25    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                          | Entergy Corp                                                                    | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20877.87     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35353.47     | 0.00%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     59000 | PA      | $58516.17     | 0.00%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37975.25     | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    130000 | PA      | $79700.54     | 0.00%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                           | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2309389.51   | 0.06%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                     | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    309000 | PA      | $216134.64    | 0.01%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                     | Entergy Texas Inc                                                               | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98960.24     | 0.00%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                  | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    906000 | PA      | $713090.64    | 0.02%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                               | Entergy Mississippi LLC                                                         | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    135000 | PA      | $99860.57     | 0.00%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    206000 | PA      | $243952.20    | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    981000 | PA      | $639400.22    | 0.02%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1462000 | PA      | $965921.47    | 0.03%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    384000 | PA      | $369381.03    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                              | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 29390XAH7<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |   2400000 | PA      | $2334270.46   | 0.06%             | 2033-03-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    145000 | PA      | $127476.73    | 0.00%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    200000 | PA      | $173421.68    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                    | Essex Portfolio LP                                                              | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    420000 | PA      | $425269.57    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                            | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85297.65     | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                          | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82192.16     | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI W STORM                               | Evergy Missouri West Storm Funding I LLC                                        | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1401881 | PA      | $1429950.07   | 0.04%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                     | Eversource Energy                                                               | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    310000 | PA      | $284059.74    | 0.01%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105299.96    | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $1144708.72   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2449934.03   | 0.07%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                     | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307130.15    | 0.01%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                     | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1165445.76   | 0.03%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2024-2                                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4241000 | PA      | $4302477.96   | 0.11%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-5                                      | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2699000 | PA      | $2678553.46   | 0.07%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-4                                      | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6384089.60   | 0.17%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1052633.29   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2023-5                                      | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1716818 | PA      | $1733655.47   | 0.05%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                   | Exeter Automobile Receivables Trust 2025-2                                      | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8210758.59   | 0.22%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                              | F&G Annuities & Life Inc                                                        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1566519.04   | 0.04%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                | Export-Import Bank of India                                                     | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    990000 | PA      | $986159.39    | 0.03%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    150000 | PA      | $147605.72    | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    300000 | PA      | $268409.24    | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   1004000 | PA      | $1012235.16   | 0.03%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    405000 | PA      | $321721.79    | 0.01%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $74834.77     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                               | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    570000 | PA      | $405998.96    | 0.01%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1482156.90   | 0.04%             | 2028-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4029918.48   | 0.11%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $2933175.85   | 0.08%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                 | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5675000 | PA      | $5677220.63   | 0.15%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                            | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   2948340 | PA      | $2999735.24   | 0.08%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                            | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AB7<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    934712 | PA      | $946227.45    | 0.03%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2016-K59 Mortgage Trust                                                   | CUSIP: 30295RAS0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $178618.23    | 0.00%             | 2049-11-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    593000 | PA      | $566007.33    | 0.02%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1731000 | PA      | $1567864.83   | 0.04%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2734851.94   | 0.07%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2845020.35   | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1841972.08   | 0.05%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-KBF3 Mortgage Trust                                                  | CUSIP: 30311TAC1<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    542445 | PA      | $530350.81    | 0.01%             | 2029-01-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-K102 Mortgage Trust                                                  | CUSIP: 30312WAE9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $711631.88    | 0.02%             | 2051-12-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                    | F&G Global Funding                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183649.11    | 0.00%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                              | FHF Issuer Trust 2023-2                                                         | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606947 | PA      | $611946.59    | 0.02%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11320 | PA      | $1675.94      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13109 | PA      | $1679.19      | 0.00%             | 2036-08-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.06        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12718 | PA      | $12910.83     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1718627 | PA      | $1716714.15   | 0.05%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483828 | PA      | $498343.17    | 0.01%             | 2047-11-01      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915766 | PA      | $934130.20    | 0.02%             | 2050-02-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $154.48       | 0.00%             | 2030-04-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65630 | PA      | $62073.05     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4312 | PA      | $4392.52      | 0.00%             | 2034-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10704 | PA      | $10910.34     | 0.00%             | 2035-03-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNN35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4743 | PA      | $4866.09      | 0.00%             | 2037-01-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16265 | PA      | $17098.34     | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79222 | PA      | $78502.43     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7290 | PA      | $7027.38      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1489 | PA      | $1541.27      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1135 | PA      | $1166.08      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7925 | PA      | $7998.07      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $136.48       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39901 | PA      | $38509.50     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31307XB76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21455 | PA      | $20614.24     | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471346 | PA      | $48386.49     | 0.00%             | 2044-08-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194468 | PA      | $19786.88     | 0.00%             | 2046-12-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329KVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45840 | PA      | $43555.64     | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306767 | PA      | $294976.06    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329NP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4313811 | PA      | $4031020.50   | 0.11%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154664 | PA      | $151821.25    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11518 | PA      | $11078.62     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9439 | PA      | $9076.87      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4050264 | PA      | $3634200.55   | 0.10%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505279 | PA      | $482404.71    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54218 | PA      | $52698.11     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57413 | PA      | $55741.98     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364948 | PA      | $350818.42    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190711 | PA      | $191137.05    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317198 | PA      | $311366.27    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ADXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8274 | PA      | $8307.77      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888907 | PA      | $780686.36    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889329 | PA      | $777002.60    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254976 | PA      | $222468.11    | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519739 | PA      | $452218.94    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    565008 | PA      | $490909.45    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    992782 | PA      | $866946.23    | 0.02%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2145048 | PA      | $1860300.33   | 0.05%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148622 | PA      | $129327.71    | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149599 | PA      | $130349.75    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9L28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155121 | PA      | $134391.74    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    827436 | PA      | $766633.77    | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1546288 | PA      | $1353907.40   | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1030119 | PA      | $893060.07    | 0.02%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1818919 | PA      | $1633583.60   | 0.04%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9RQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1556121 | PA      | $1352074.68   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248295 | PA      | $219408.60    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839648 | PA      | $721374.67    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997485 | PA      | $1711620.86   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    706064 | PA      | $664073.42    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4247482 | PA      | $3801672.94   | 0.10%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168747 | PA      | $139274.92    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453038 | PA      | $441826.52    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131886 | PA      | $117861.08    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231437 | PA      | $198769.41    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73761 | PA      | $63441.00     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    801833 | PA      | $778787.95    | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149999 | PA      | $133312.97    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320390 | PA      | $294964.70    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278928 | PA      | $251253.20    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4035987 | PA      | $3862832.69   | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1646839 | PA      | $1632192.01   | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540229 | PA      | $441376.51    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144616 | PA      | $128388.77    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243647 | PA      | $1145733.43   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DP2V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147696 | PA      | $141721.81    | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679782 | PA      | $677974.13    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580701 | PA      | $564356.07    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211868 | PA      | $215861.92    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1563534 | PA      | $1440990.83   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPK49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1799447 | PA      | $1711110.50   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPNF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456425 | PA      | $442298.14    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    520471 | PA      | $540874.87    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368462 | PA      | $373456.54    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289977 | PA      | $280942.81    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684571 | PA      | $702123.97    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368067 | PA      | $364736.61    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439576 | PA      | $426468.88    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1743263 | PA      | $1697376.85   | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453301 | PA      | $450045.30    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475451 | PA      | $461139.03    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447404 | PA      | $465220.42    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204217 | PA      | $207285.93    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1880781 | PA      | $1914263.30   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290470 | PA      | $292970.50    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247367 | PA      | $237100.75    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136125 | PA      | $132978.95    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499618 | PA      | $505446.29    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151169 | PA      | $153910.86    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226389 | PA      | $230201.15    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485101 | PA      | $493853.78    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304993 | PA      | $293635.49    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248749 | PA      | $258719.67    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134659 | PA      | $132978.25    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704275 | PA      | $714859.46    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQX50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396497 | PA      | $385450.41    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414283 | PA      | $411235.41    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DSP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741373 | PA      | $1771378.91   | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5266061 | PA      | $4660644.54   | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DUYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6786246 | PA      | $6611156.81   | 0.18%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1295077 | PA      | $1101094.94   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480934 | PA      | $472686.74    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474676 | PA      | $454619.77    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292703 | PA      | $262287.16    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259711 | PA      | $1083662.03   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7067016 | PA      | $6068054.18   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129574 | PA      | $116236.38    | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    929012 | PA      | $800164.12    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306320 | PA      | $262859.62    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5660366 | PA      | $4865896.44   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323650 | PA      | $1178648.30   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1333601 | PA      | $1270945.81   | 0.03%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215200 | PA      | $182919.69    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486169 | PA      | $395650.16    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282728 | PA      | $1039062.35   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419887 | PA      | $324365.60    | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1292192 | PA      | $1186050.57   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1644392 | PA      | $1593837.05   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873128 | PA      | $827530.59    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6525503 | PA      | $6324218.43   | 0.17%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3684780 | PA      | $3703348.61   | 0.10%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0CW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2781609 | PA      | $2561187.01   | 0.07%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2075294 | PA      | $2105337.61   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108526 | PA      | $106197.92    | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126130 | PA      | $118669.14    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55736 | PA      | $54138.15     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94949 | PA      | $91872.25     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39813 | PA      | $36355.13     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225443 | PA      | $222122.59    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132M8NU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11274 | PA      | $10779.47     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312627 | PA      | $282563.64    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    752902 | PA      | $682270.23    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206748 | PA      | $187351.54    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194342 | PA      | $175541.79    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNHQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21395 | PA      | $21095.12     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1154912.22   | 0.03%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGQC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $195443.46    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399454 | PA      | $401304.31    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132XGT63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $201625.87    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28990 | PA      | $26264.17     | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1293212 | PA      | $1212686.28   | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BE93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437250 | PA      | $430922.60    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336151 | PA      | $303756.31    | 0.01%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    529065 | PA      | $546647.33    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7919 | PA      | $8165.61      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1883 | PA      | $1960.31      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1155 | PA      | $1199.12      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2975 | PA      | $3098.01      | 0.00%             | 2032-02-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17888 | PA      | $18562.14     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339LQS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       592 | PA      | $573.94       | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2000 | PA      | $156.69       | 0.00%             | 2032-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2594 | PA      | $2819.77      | 0.00%             | 2032-02-15      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9895300 | PA      | $8406681.79   | 0.22%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                           | Freddie Mac REMICS                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5219 | PA      | $5451.05      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7733 | PA      | $8082.95      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A0K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197474 | PA      | $177459.99    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36917 | PA      | $33184.23     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7L56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643008 | PA      | $612626.93    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7M97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436747 | PA      | $404306.76    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196773 | PA      | $1008756.79   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349110 | PA      | $285574.79    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292153 | PA      | $251491.20    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187842 | PA      | $161497.77    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29618 | PA      | $25401.74     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134243 | PA      | $110424.09    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165167 | PA      | $134794.19    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218962 | PA      | $180278.13    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108859 | PA      | $89725.62     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    863984 | PA      | $712143.31    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68350 | PA      | $56358.79     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176566 | PA      | $144900.04    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60927 | PA      | $50115.83     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129712 | PA      | $106966.39    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201649 | PA      | $165822.08    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125713 | PA      | $102563.07    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249233 | PA      | $204394.61    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151947 | PA      | $124853.08    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195610 | PA      | $160408.30    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58393 | PA      | $50271.79     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119373 | PA      | $98106.43     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126254 | PA      | $109677.25    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414889 | PA      | $371574.43    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190935 | PA      | $164533.17    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208171 | PA      | $179385.57    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213759 | PA      | $183850.93    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149641 | PA      | $128704.02    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192167 | PA      | $165594.96    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1385244 | PA      | $1188621.33   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129093 | PA      | $111243.33    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290215 | PA      | $249092.29    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364973 | PA      | $326134.59    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1088091 | PA      | $933490.24    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AYBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138954 | PA      | $119194.26    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B0SH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1723758 | PA      | $1484193.78   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133050 | PA      | $114167.93    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205828 | PA      | $183533.50    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B33Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134623 | PA      | $119368.52    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668454 | PA      | $573840.87    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148061 | PA      | $127278.24    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318446 | PA      | $282397.09    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74142 | PA      | $63557.95     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134993 | PA      | $125318.96    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139218 | PA      | $136187.71    | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1184032 | PA      | $1121139.66   | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190776 | PA      | $192763.59    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BQRW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247894 | PA      | $241018.05    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310806 | PA      | $301716.94    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BREB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141571 | PA      | $140449.60    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342738 | PA      | $349376.29    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365780 | PA      | $361925.65    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154396 | PA      | $160265.43    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105128 | PA      | $109598.22    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128205 | PA      | $133098.77    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51847 | PA      | $53825.68     | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305932 | PA      | $308958.28    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310172 | PA      | $314207.51    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C3EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142768 | PA      | $141637.39    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223977 | PA      | $226094.78    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115010 | PA      | $104031.10    | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436551 | PA      | $378935.07    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D4R39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283482 | PA      | $1153675.81   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85270 | PA      | $69968.43     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295440 | PA      | $265855.32    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206179 | PA      | $197136.60    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898267 | PA      | $790170.62    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150853 | PA      | $129193.45    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699550 | PA      | $576832.60    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2290288 | PA      | $1968042.83   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1560837 | PA      | $1344019.66   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1423997 | PA      | $1221323.09   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5209613 | PA      | $4443028.19   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785337 | PA      | $644137.43    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550290 | PA      | $426557.72    | 0.01%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1045229 | PA      | $858180.47    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241609 | PA      | $207513.19    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472240 | PA      | $420712.75    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710841 | PA      | $577739.85    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616672 | PA      | $1387043.26   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297726 | PA      | $281437.18    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1697175 | PA      | $1616640.69   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1760277 | PA      | $1673875.96   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129307 | PA      | $119439.58    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199279 | PA      | $172246.32    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5727842 | PA      | $4879095.63   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    796586 | PA      | $700280.42    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000959 | PA      | $998746.66    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4526074 | PA      | $4518427.22   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566883 | PA      | $1480213.66   | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157219 | PA      | $152432.89    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    853410 | PA      | $872096.84    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449266 | PA      | $468370.17    | 0.01%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568920 | PA      | $566948.86    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838724 | PA      | $833705.40    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128309 | PA      | $135265.62    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166665 | PA      | $175601.94    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325112 | PA      | $341398.54    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48182 | PA      | $44825.39     | 0.00%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1159673 | PA      | $1023224.66   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1929057 | PA      | $1642514.97   | 0.04%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285570 | PA      | $240466.52    | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486901 | PA      | $423157.03    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2021934 | PA      | $1714534.57   | 0.05%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1511070 | PA      | $1278383.83   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2075243 | PA      | $1808528.03   | 0.05%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2109384 | PA      | $1777785.92   | 0.05%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    953981 | PA      | $830111.10    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447639 | PA      | $414401.34    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141965 | PA      | $123266.28    | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502237 | PA      | $435697.74    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373116 | PA      | $335313.71    | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356260 | PA      | $320123.05    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370730 | PA      | $321380.78    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436820 | PA      | $404715.31    | 0.01%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72254 | PA      | $66947.41     | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    908934 | PA      | $907076.12    | 0.02%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135158 | PA      | $136528.34    | 0.00%             | 2043-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYZJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1346371 | PA      | $1367914.52   | 0.04%             | 2043-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $20.59        | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       723 | PA      | $732.54       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       116 | PA      | $116.11       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4504 | PA      | $4583.69      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       284 | PA      | $12.69        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3983 | PA      | $4050.59      | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TDUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9208 | PA      | $9374.63      | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       463 | PA      | $470.49       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $478.65       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1177 | PA      | $1199.79      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3635 | PA      | $3695.27      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       249 | PA      | $267.58       | 0.00%             | 2029-03-15      | Floating      | 14.16%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2022 | PA      | $2082.35      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TM7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2421 | PA      | $2481.86      | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1674 | PA      | $1748.59      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TQBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37485 | PA      | $39098.28     | 0.00%             | 2030-10-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $861.97       | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4460 | PA      | $4749.11      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681551 | PA      | $634260.18    | 0.02%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133USHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232148 | PA      | $198858.50    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133WKN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313481 | PA      | $312094.48    | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $57.82        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359PE36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       276 | PA      | $276.67       | 0.00%             | 2027-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       224 | PA      | $225.97       | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18825 | PA      | $1960.65      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       356 | PA      | $359.00       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359ULQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       988 | PA      | $1005.45      | 0.00%             | 2028-08-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3455 | PA      | $3520.59      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 1999-W4                                                  | CUSIP: 31359VA94<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      9943 | PA      | $10021.39     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 1999-W1                                                  | CUSIP: 31359VHH9<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      3376 | PA      | $3107.94      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31359WMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6050 | PA      | $288.80       | 0.00%             | 2029-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 313637QD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884817 | PA      | $875290.20    | 0.02%             | 2028-08-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA PRIN STRIPS                                      | Fannie Mae Principal Strip                                                      | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    630000 | PA      | $579618.93    | 0.02%             | 2028-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136A5UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116267 | PA      | $112655.75    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604502 | PA      | $552261.22    | 0.01%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38883 | PA      | $37801.29     | 0.00%             | 2043-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18783 | PA      | $14861.84     | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37900 | PA      | $3924.53      | 0.00%             | 2043-06-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AFGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962466 | PA      | $836556.41    | 0.02%             | 2043-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54258 | PA      | $41148.87     | 0.00%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AJPD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379051 | PA      | $373739.59    | 0.01%             | 2044-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AJZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611221 | PA      | $20687.49     | 0.00%             | 2029-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167629 | PA      | $21455.80     | 0.00%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172420 | PA      | $171014.04    | 0.00%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723779 | PA      | $625503.99    | 0.02%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55945 | PA      | $52223.89     | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75765 | PA      | $72045.08     | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600793 | PA      | $36173.71     | 0.00%             | 2046-09-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                               | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660510 | PA      | $650621.39    | 0.02%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586198 | PA      | $580619.18    | 0.02%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203371 | PA      | $201208.11    | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220037 | PA      | $204119.12    | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134461 | PA      | $130597.35    | 0.00%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698955 | PA      | $87752.66     | 0.00%             | 2057-10-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183105 | PA      | $180825.38    | 0.00%             | 2027-06-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117900 | PA      | $9540.55      | 0.00%             | 2047-11-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105512 | PA      | $101811.76    | 0.00%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422403 | PA      | $416096.90    | 0.01%             | 2028-07-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55176 | PA      | $53883.97     | 0.00%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274373 | PA      | $265991.96    | 0.01%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $859563.09    | 0.02%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440647 | PA      | $430607.29    | 0.01%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13998 | PA      | $13895.19     | 0.00%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455836 | PA      | $420861.05    | 0.01%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145445 | PA      | $130903.58    | 0.00%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673060 | PA      | $400230.26    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BAYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7162815 | PA      | $5543479.08   | 0.15%             | 2050-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089263 | PA      | $973791.76    | 0.03%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1957946 | PA      | $1570970.44   | 0.04%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328348 | PA      | $54064.96     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422213 | PA      | $73892.70     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261752 | PA      | $254015.21    | 0.01%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4255134 | PA      | $159617.33    | 0.00%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1151391 | PA      | $923141.03    | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BD2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511624 | PA      | $388689.38    | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312670 | PA      | $205045.82    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840875 | PA      | $112366.45    | 0.00%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1121203 | PA      | $189810.33    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348111 | PA      | $316225.90    | 0.01%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2312193 | PA      | $335448.37    | 0.01%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2413508 | PA      | $373304.54    | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652597 | PA      | $112886.41    | 0.00%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845837 | PA      | $646364.88    | 0.02%             | 2051-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018066 | PA      | $848671.24    | 0.02%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7316307 | PA      | $6150962.80   | 0.16%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BKYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8275437 | PA      | $7584049.06   | 0.20%             | 2047-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $2946991.65   | 0.08%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1302540.60   | 0.03%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376891 | PA      | $1057945.67   | 0.03%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290000 | PA      | $1140487.71   | 0.03%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192893.86    | 0.01%             | 2032-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3835347 | PA      | $3702782.90   | 0.10%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1452947 | PA      | $202432.24    | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6519170.25   | 0.17%             | 2032-04-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9405000 | PA      | $9387276.28   | 0.25%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       900 | PA      | $808.18       | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4779 | PA      | $782.66       | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194 | PA      | $198.25       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1108 | PA      | $1111.19      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $36.59        | 0.00%             | 2029-03-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31374CQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631835 | PA      | $625301.46    | 0.02%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137A5UU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407000 | PA      | $399147.59    | 0.01%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266410 | PA      | $26927.45     | 0.00%             | 2041-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18664336 | PA      | $28181.28     | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137BWS62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1432472 | PA      | $1344640.30   | 0.04%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165792 | PA      | $145839.86    | 0.00%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $213214.34    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4115775 | PA      | $133937.21    | 0.00%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1086777 | PA      | $181986.51    | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479536 | PA      | $41122.96     | 0.00%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208000 | PA      | $205539.57    | 0.01%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $985958.60    | 0.03%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376667 | PA      | $329733.62    | 0.01%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247334 | PA      | $217580.83    | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2135488 | PA      | $16378.98     | 0.00%             | 2027-12-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229701 | PA      | $201824.83    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FGZU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588000 | PA      | $584740.36    | 0.02%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395000 | PA      | $392519.01    | 0.01%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1829661 | PA      | $75614.39     | 0.00%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2217625 | PA      | $52541.52     | 0.00%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $124873.15    | 0.00%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $34070.13     | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785087 | PA      | $5860.91      | 0.00%             | 2027-06-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864659 | PA      | $21286.18     | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5525428 | PA      | $8760.01      | 0.00%             | 2026-10-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $87844.79     | 0.00%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5146238 | PA      | $245608.82    | 0.01%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351292 | PA      | $307396.76    | 0.01%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281356 | PA      | $43006.26     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754247 | PA      | $124323.96    | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342504 | PA      | $56862.15     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1465615 | PA      | $68021.84     | 0.00%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645811 | PA      | $629975.29    | 0.02%             | 2050-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3578197 | PA      | $172520.27    | 0.00%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    708124 | PA      | $95410.01     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434922 | PA      | $386001.23    | 0.01%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3748065 | PA      | $123374.69    | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6389887 | PA      | $130908.34    | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3476094 | PA      | $30312.93     | 0.00%             | 2028-03-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2923688 | PA      | $47610.80     | 0.00%             | 2028-05-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7935050 | PA      | $346702.97    | 0.01%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1207213 | PA      | $167197.20    | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6749325 | PA      | $218319.75    | 0.01%             | 2031-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2456976 | PA      | $350507.07    | 0.01%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1180720 | PA      | $145238.37    | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11576284 | PA      | $191793.55    | 0.01%             | 2031-09-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919501 | PA      | $114058.56    | 0.00%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5181415 | PA      | $82252.38     | 0.00%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5267027 | PA      | $99535.22     | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1191533.98   | 0.03%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2037000 | PA      | $1825019.19   | 0.05%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5669105 | PA      | $102207.17    | 0.00%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1013714.13   | 0.03%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7454545 | PA      | $162080.43    | 0.00%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14563345 | PA      | $228034.30    | 0.01%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8342234 | PA      | $141815.47    | 0.00%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2005000 | PA      | $1925608.22   | 0.05%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1116847.92   | 0.03%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15154744 | PA      | $195217.35    | 0.01%             | 2032-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $964678.10    | 0.03%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    815000 | PA      | $824519.93    | 0.02%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6796063 | PA      | $125657.16    | 0.00%             | 2033-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $101361.63    | 0.00%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691000 | PA      | $694998.47    | 0.02%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4180000 | PA      | $4266768.44   | 0.11%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8560 | PA      | $8905.63      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31389DSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42591 | PA      | $40604.98     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368306 | PA      | $355618.04    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56624 | PA      | $53382.96     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EKZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54656 | PA      | $56505.19     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168237 | PA      | $158085.29    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204734 | PA      | $213721.17    | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316378 | PA      | $322773.76    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467325 | PA      | $475660.89    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182835 | PA      | $186440.88    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EQ7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161543 | PA      | $164522.93    | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26050 | PA      | $23473.85     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315213 | PA      | $285289.62    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325946 | PA      | $319911.21    | 0.01%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356992 | PA      | $367890.01    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106836 | PA      | $109948.00    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841999 | PA      | $835999.35    | 0.02%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421917 | PA      | $405597.61    | 0.01%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618397 | PA      | $590605.26    | 0.02%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $623577.83    | 0.02%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LDJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187410 | PA      | $1159571.90   | 0.03%             | 2028-07-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LDPQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763377 | PA      | $722854.04    | 0.02%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367526 | PA      | $359053.85    | 0.01%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166556 | PA      | $162844.80    | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LHPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911664 | PA      | $838139.00    | 0.02%             | 2037-03-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969890 | PA      | $955876.86    | 0.03%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035233 | PA      | $995929.58    | 0.03%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LL2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2663346 | PA      | $2564832.09   | 0.07%             | 2030-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LMF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478834 | PA      | $1423831.98   | 0.04%             | 2030-03-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477878 | PA      | $472701.29    | 0.01%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LPCN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1184266.73   | 0.03%             | 2030-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87360 | PA      | $84749.57     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73291 | PA      | $66838.02     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156914 | PA      | $143098.22    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4713541 | PA      | $4438152.18   | 0.12%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32296 | PA      | $29368.17     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79103 | PA      | $71549.86     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22935 | PA      | $20672.62     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180262 | PA      | $162814.62    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88334 | PA      | $85284.87     | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705673 | PA      | $638678.99    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604922 | PA      | $578736.54    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154826 | PA      | $141169.03    | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4694092 | PA      | $4522593.84   | 0.12%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $301.31       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       521 | PA      | $534.53       | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4525 | PA      | $4709.21      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9007 | PA      | $9402.10      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14014 | PA      | $14652.82     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6997 | PA      | $108.32       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       383 | PA      | $448.88       | 0.00%             | 2032-02-25      | Floating      | 12.91%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5275 | PA      | $5466.56      | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392CKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7305 | PA      | $6944.55      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2002-W7                                                  | CUSIP: 31392DD41<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     59141 | PA      | $59866.31     | 0.00%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392EXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12486 | PA      | $951.61       | 0.00%             | 2032-10-18      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1219 | PA      | $1300.33      | 0.00%             | 2032-12-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GVX0<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     74290 | PA      | $73366.47     | 0.00%             | 2042-12-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GWB7<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     11579 | PA      | $11447.54     | 0.00%             | 2042-12-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62137 | PA      | $63630.65     | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15761 | PA      | $16378.32     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6399 | PA      | $6659.81      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2242 | PA      | $187.00       | 0.00%             | 2032-03-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3364 | PA      | $277.28       | 0.00%             | 2032-03-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4734 | PA      | $4560.14      | 0.00%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4451 | PA      | $4608.67      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9995 | PA      | $10302.81     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35029 | PA      | $34718.86     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5925 | PA      | $6093.54      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7252 | PA      | $1021.24      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1131.16      | 0.00%             | 2033-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9636 | PA      | $8983.13      | 0.00%             | 2033-08-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1789 | PA      | $1852.55      | 0.00%             | 2033-09-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8500 | PA      | $8783.65      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208532 | PA      | $215510.35    | 0.01%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32697 | PA      | $33778.34     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60897 | PA      | $62314.38     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41126 | PA      | $41424.81     | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17648 | PA      | $18440.77     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $245.22       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128258 | PA      | $100529.05    | 0.00%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15299 | PA      | $1102.15      | 0.00%             | 2033-11-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $153.57       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $132.07       | 0.00%             | 2034-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393UZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23553 | PA      | $23981.42     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10872 | PA      | $11569.83     | 0.00%             | 2034-05-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae Trust 2004-W2                                                        | CUSIP: 31393XGQ4<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      3200 | PA      | $3306.67      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29742 | PA      | $29679.26     | 0.00%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1084 | PA      | $1090.73      | 0.00%             | 2034-07-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2999 | PA      | $3064.89      | 0.00%             | 2034-05-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      2979 | PA      | $3056.08      | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6029 | PA      | $6373.82      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394BFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146275 | PA      | $148848.23    | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394BZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148083 | PA      | $152655.65    | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394DQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15712 | PA      | $17216.27     | 0.00%             | 2035-06-25      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7632 | PA      | $7851.33      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7861 | PA      | $7729.44      | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10323 | PA      | $10761.97     | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5437 | PA      | $4603.95      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $8.85         | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31394TXA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52918 | PA      | $53662.34     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8067 | PA      | $7043.46      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2442 | PA      | $2654.95      | 0.00%             | 2036-06-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31395R2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72721 | PA      | $74598.99     | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43009 | PA      | $43873.63     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18717 | PA      | $22276.17     | 0.00%             | 2035-12-15      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396GS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65610 | PA      | $66974.86     | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5419 | PA      | $4649.61      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15638 | PA      | $1410.65      | 0.00%             | 2036-12-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7376 | PA      | $6379.29      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41293 | PA      | $2677.73      | 0.00%             | 2036-08-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19344 | PA      | $1522.00      | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26773 | PA      | $2290.22      | 0.00%             | 2037-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13921 | PA      | $1277.68      | 0.00%             | 2037-10-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14995 | PA      | $1045.06      | 0.00%             | 2038-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4442 | PA      | $320.33       | 0.00%             | 2038-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6658 | PA      | $516.75       | 0.00%             | 2037-01-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362434 | PA      | $30064.50     | 0.00%             | 2037-10-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4779 | PA      | $525.02       | 0.00%             | 2038-07-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6504 | PA      | $355.07       | 0.00%             | 2038-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5729 | PA      | $318.15       | 0.00%             | 2037-11-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17534 | PA      | $1464.55      | 0.00%             | 2037-11-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75010 | PA      | $77347.40     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $141.87       | 0.00%             | 2038-05-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59469 | PA      | $4925.99      | 0.00%             | 2038-06-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13591 | PA      | $1131.62      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163121 | PA      | $164485.36    | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555124 | PA      | $53552.10     | 0.00%             | 2040-09-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5027 | PA      | $446.64       | 0.00%             | 2040-04-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177645 | PA      | $180670.05    | 0.00%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398SND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222961 | PA      | $210790.65    | 0.01%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $345.80       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4267 | PA      | $4360.46      | 0.00%             | 2033-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116740 | PA      | $119033.83    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7737 | PA      | $7908.86      | 0.00%             | 2034-08-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5849 | PA      | $5957.80      | 0.00%             | 2034-10-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5546 | PA      | $5680.67      | 0.00%             | 2033-04-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15068 | PA      | $15896.18     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7573 | PA      | $7586.21      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3265 | PA      | $3326.44      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4088 | PA      | $4165.48      | 0.00%             | 2034-01-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3159 | PA      | $3219.74      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16743 | PA      | $17365.59     | 0.00%             | 2035-01-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11670 | PA      | $11945.76     | 0.00%             | 2035-05-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5685 | PA      | $5735.90      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42081 | PA      | $42787.54     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23744 | PA      | $21425.20     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592172 | PA      | $534856.28    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512234 | PA      | $462868.45    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162219 | PA      | $151844.66    | 0.00%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3081414 | PA      | $2914818.70   | 0.08%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620890 | PA      | $587323.03    | 0.02%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778942 | PA      | $752092.07    | 0.02%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940741 | PA      | $974868.38    | 0.03%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178368 | PA      | $1121187.59   | 0.03%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737852 | PA      | $712428.47    | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68380 | PA      | $65833.75     | 0.00%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570549 | PA      | $519098.68    | 0.01%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539247 | PA      | $465961.44    | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3743806 | PA      | $3078486.11   | 0.08%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653367 | PA      | $657490.68    | 0.02%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1757910 | PA      | $1445500.45   | 0.04%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865004 | PA      | $786079.33    | 0.02%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1508294 | PA      | $1358991.73   | 0.04%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227326 | PA      | $211849.73    | 0.01%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719123 | PA      | $670167.95    | 0.02%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653472 | PA      | $647770.84    | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823266 | PA      | $676956.83    | 0.02%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257725 | PA      | $244252.51    | 0.01%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087552 | PA      | $936996.24    | 0.03%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822657 | PA      | $741227.50    | 0.02%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725728 | PA      | $700485.50    | 0.02%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640459 | PA      | $627475.02    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153894 | PA      | $147419.34    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123368 | PA      | $119680.04    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97300 | PA      | $93408.34     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140H3XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599686 | PA      | $564934.06    | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216791 | PA      | $213981.89    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246619 | PA      | $211097.80    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158286 | PA      | $154411.38    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HNWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159284 | PA      | $156444.82    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146114 | PA      | $145060.41    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2231686 | PA      | $2180111.48   | 0.06%             | 2034-02-01      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $297931.88    | 0.01%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270665 | PA      | $263706.35    | 0.01%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HV4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667440 | PA      | $629749.13    | 0.02%             | 2029-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989980 | PA      | $938448.26    | 0.03%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HX6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240738 | PA      | $1141182.49   | 0.03%             | 2030-04-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1481161 | PA      | $1195844.27   | 0.03%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HYCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049066 | PA      | $956360.25    | 0.03%             | 2030-08-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131952 | PA      | $1006978.97   | 0.03%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1150583.46   | 0.03%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J2WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $972020.93    | 0.03%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J7RS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419736 | PA      | $433136.18    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J7XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757364 | PA      | $714022.12    | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3059588 | PA      | $2786289.30   | 0.07%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446402 | PA      | $461474.64    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493313 | PA      | $465431.59    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659945 | PA      | $622170.89    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1532417 | PA      | $1387003.13   | 0.04%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1242853 | PA      | $1118488.09   | 0.03%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226312 | PA      | $227608.50    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791719 | PA      | $684070.48    | 0.02%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8172562 | PA      | $6875001.14   | 0.18%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13678398 | PA      | $11539321.53  | 0.31%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81318 | PA      | $67735.57     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950097 | PA      | $894598.13    | 0.02%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1672663 | PA      | $1489474.94   | 0.04%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159331 | PA      | $131333.70    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638899 | PA      | $1426179.38   | 0.04%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213737 | PA      | $210137.58    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JMGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126824 | PA      | $128297.79    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JNRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73643 | PA      | $73011.38     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JPFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29202 | PA      | $27933.67     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JWMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30127 | PA      | $28987.54     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36199 | PA      | $34622.99     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1345503 | PA      | $1205548.38   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K1HB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449623 | PA      | $425366.61    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K7KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247225 | PA      | $236714.89    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KBZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582424 | PA      | $534189.55    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218287 | PA      | $1026890.02   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101919 | PA      | $83879.47     | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541716 | PA      | $465262.46    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364985 | PA      | $297179.97    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102074 | PA      | $84248.43     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KNVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463237 | PA      | $375972.48    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KQPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495503 | PA      | $403970.90    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181301 | PA      | $155694.37    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KVBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409775 | PA      | $336543.39    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115749 | PA      | $99412.33     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132062 | PA      | $113754.18    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480062 | PA      | $394999.88    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177076 | PA      | $144501.44    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300625 | PA      | $247204.21    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171853 | PA      | $141089.03    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447848 | PA      | $368521.50    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201669 | PA      | $164964.32    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0FH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145985 | PA      | $119415.38    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67502 | PA      | $60612.86     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102430 | PA      | $83823.60     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161506 | PA      | $133748.69    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285957 | PA      | $233272.38    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188452 | PA      | $155083.26    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578757 | PA      | $476063.84    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326904 | PA      | $267406.96    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596128 | PA      | $487632.80    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236408 | PA      | $194008.53    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136560 | PA      | $112371.19    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181231 | PA      | $148726.88    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130704 | PA      | $107196.76    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128841 | PA      | $106142.33    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960794 | PA      | $784207.78    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257033 | PA      | $211367.80    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56597 | PA      | $48770.19     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131604 | PA      | $107493.46    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120082 | PA      | $98950.77     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184224 | PA      | $151355.61    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50523 | PA      | $43454.41     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134794 | PA      | $110979.58    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121458 | PA      | $99692.50     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264936 | PA      | $227804.71    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1182370 | PA      | $1062192.39   | 0.03%             | 2029-12-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985000 | PA      | $1753502.71   | 0.05%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LEZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2814759 | PA      | $2423188.59   | 0.06%             | 2034-01-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296690 | PA      | $283132.98    | 0.01%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97962.06     | 0.00%             | 2032-07-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99268 | PA      | $99178.28     | 0.00%             | 2032-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $193997.96    | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78996 | PA      | $75712.56     | 0.00%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97208.71     | 0.00%             | 2032-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97173.69     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386000 | PA      | $1323385.38   | 0.04%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96170 | PA      | $93374.66     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96222 | PA      | $93078.14     | 0.00%             | 2032-06-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94224 | PA      | $90808.07     | 0.00%             | 2032-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $191826.56    | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94150 | PA      | $91695.52     | 0.00%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $193252.01    | 0.01%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94669 | PA      | $92684.77     | 0.00%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96636 | PA      | $95693.03     | 0.00%             | 2032-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98617.26     | 0.00%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $774169.66    | 0.02%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $293728.06    | 0.01%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188971 | PA      | $184496.25    | 0.00%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037147 | PA      | $1039414.57   | 0.03%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2955000 | PA      | $2973999.08   | 0.08%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010000 | PA      | $977135.84    | 0.03%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LH6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442256 | PA      | $1457672.37   | 0.04%             | 2030-06-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936000 | PA      | $900331.48    | 0.02%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105031 | PA      | $1068617.72   | 0.03%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97012.24     | 0.00%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1044099.71   | 0.03%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949862 | PA      | $919163.05    | 0.02%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473887 | PA      | $471020.45    | 0.01%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405000 | PA      | $1383038.50   | 0.04%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $1205736.34   | 0.03%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $989458.83    | 0.03%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070000 | PA      | $1084649.33   | 0.03%             | 2033-02-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $498566.18    | 0.01%             | 2033-02-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $499354.20    | 0.01%             | 2033-03-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $202111.02    | 0.01%             | 2033-01-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $203608.57    | 0.01%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95714 | PA      | $96914.92     | 0.00%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJUG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1608069.55   | 0.04%             | 2030-03-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1161912.65   | 0.03%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LJX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1999582.12   | 0.05%             | 2033-03-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LK3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1561866.32   | 0.04%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $704180.55    | 0.02%             | 2028-06-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $404776.09    | 0.01%             | 2030-06-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3210000 | PA      | $3185402.70   | 0.09%             | 2035-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LKUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1063350.03   | 0.03%             | 2031-11-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296863 | PA      | $1306534.35   | 0.03%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLP62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $507778.11    | 0.01%             | 2028-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1115851.78   | 0.03%             | 2028-09-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199265 | PA      | $204427.93    | 0.01%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250181 | PA      | $215174.16    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567575 | PA      | $489089.32    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81840 | PA      | $66346.14     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333950 | PA      | $287536.38    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332824 | PA      | $286254.83    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121459 | PA      | $104663.00    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133683 | PA      | $114978.25    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429791 | PA      | $369345.94    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844782 | PA      | $715728.57    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M2PG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303948 | PA      | $260959.43    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794278 | PA      | $707539.87    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384017 | PA      | $309524.60    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333648 | PA      | $286483.08    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1080555 | PA      | $915424.98    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773309 | PA      | $658479.46    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63217 | PA      | $55993.63     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146770 | PA      | $146581.97    | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122256 | PA      | $109069.77    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334185 | PA      | $286743.57    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MGQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141325 | PA      | $131537.84    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124214 | PA      | $110294.65    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75065 | PA      | $64105.33     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MKAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184431 | PA      | $176175.17    | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465754 | PA      | $433002.66    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67269 | PA      | $64154.51     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318060 | PA      | $316521.53    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428105 | PA      | $416269.31    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140N7GY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75509 | PA      | $74666.59     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NBEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101116 | PA      | $104975.33    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196565 | PA      | $199403.13    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213123 | PA      | $221161.74    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NEPD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621642 | PA      | $619488.94    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567473 | PA      | $1550953.91   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NSQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472207 | PA      | $492285.85    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NUUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3070904 | PA      | $3186620.71   | 0.09%             | 2033-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NX5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2975447 | PA      | $3014535.09   | 0.08%             | 2035-04-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861000 | PA      | $1841965.67   | 0.05%             | 2035-01-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12304028 | PA      | $12314149.31  | 0.33%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NXWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2868600 | PA      | $2919842.00   | 0.08%             | 2034-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NY6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5002753.65   | 0.13%             | 2032-08-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4692000 | PA      | $4690467.92   | 0.13%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4770000 | PA      | $4831049.23   | 0.13%             | 2035-05-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840704 | PA      | $1828764.05   | 0.05%             | 2035-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NYP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502000 | PA      | $2542382.00   | 0.07%             | 2035-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6285000 | PA      | $6221343.45   | 0.17%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6209000 | PA      | $6300277.95   | 0.17%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4058779.12   | 0.11%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q0VG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $2139926.44   | 0.06%             | 2035-10-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q7SL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3454 | PA      | $3051.04      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972796 | PA      | $907898.22    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276914 | PA      | $272090.64    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454834 | PA      | $447174.89    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392570 | PA      | $374266.44    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22448 | PA      | $22107.84     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200630 | PA      | $197002.92    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QAJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306128 | PA      | $300215.98    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QANG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169427 | PA      | $166724.31    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63979 | PA      | $64256.65     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QC6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350482 | PA      | $333652.71    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009790 | PA      | $865402.29    | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1907374 | PA      | $1639541.36   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53019 | PA      | $46704.66     | 0.00%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500006 | PA      | $407327.96    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448704 | PA      | $419247.82    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664136 | PA      | $541721.37    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185731 | PA      | $151266.13    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477700 | PA      | $410349.00    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488495 | PA      | $434448.98    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3354277 | PA      | $2896041.80   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280334 | PA      | $1040679.04   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QHG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1659397 | PA      | $1347926.38   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413561 | PA      | $374377.86    | 0.01%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520654 | PA      | $1234765.16   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510995 | PA      | $462136.28    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489170 | PA      | $442616.72    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65753 | PA      | $55859.22     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723084 | PA      | $652937.24    | 0.02%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549684 | PA      | $450682.13    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025645 | PA      | $838050.22    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2904485 | PA      | $2492116.38   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1977341 | PA      | $1698229.26   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778780 | PA      | $668635.62    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2442117 | PA      | $2162388.38   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752781 | PA      | $661852.86    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9354044 | PA      | $8239804.20   | 0.22%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199034 | PA      | $179414.34    | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354161 | PA      | $315415.00    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10153348 | PA      | $8630614.68   | 0.23%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188009 | PA      | $158962.21    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2664275 | PA      | $2326470.38   | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800829 | PA      | $686854.42    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192857 | PA      | $177126.34    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803459 | PA      | $713946.66    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1651803 | PA      | $1570724.03   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093817 | PA      | $1004087.82   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1691529 | PA      | $1611262.07   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67695 | PA      | $62141.87     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355316 | PA      | $336761.01    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124783 | PA      | $118175.49    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215817 | PA      | $209226.37    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133093 | PA      | $132296.95    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780680 | PA      | $798852.83    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127888 | PA      | $128748.25    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036667 | PA      | $962001.79    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472574 | PA      | $419022.16    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195205 | PA      | $195016.22    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154868 | PA      | $142605.37    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3683152 | PA      | $3489474.46   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680846 | PA      | $693926.33    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249521 | PA      | $262450.49    | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095381 | PA      | $1145149.30   | 0.03%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588955 | PA      | $570910.13    | 0.02%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRVY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457268 | PA      | $442643.80    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950925 | PA      | $1980243.54   | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3156643 | PA      | $3178569.55   | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627590 | PA      | $634542.90    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1471052 | PA      | $1524279.93   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2185240 | PA      | $2181548.12   | 0.06%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010515 | PA      | $1030086.18   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1828616 | PA      | $1838026.63   | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140W2MY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5536244 | PA      | $4747076.42   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278600 | PA      | $265879.99    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92221 | PA      | $88130.92     | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657072 | PA      | $660160.32    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137022 | PA      | $133503.98    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4P75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238137 | PA      | $238679.86    | 0.01%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792523 | PA      | $762775.96    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150915 | PA      | $137654.27    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122043 | PA      | $119305.93    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5FW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226180 | PA      | $203846.10    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226473 | PA      | $221519.50    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204251 | PA      | $190627.31    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317403 | PA      | $1295639.88   | 0.03%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176007 | PA      | $158529.46    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858976 | PA      | $828456.97    | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832570 | PA      | $801046.14    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605032 | PA      | $563863.98    | 0.02%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273694 | PA      | $276599.67    | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2069964 | PA      | $1938410.09   | 0.05%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919621 | PA      | $748964.22    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429854 | PA      | $367789.22    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8DY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694509 | PA      | $652169.01    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283002 | PA      | $1053992.75   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491660 | PA      | $490431.33    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685778 | PA      | $588994.06    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9HW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414476 | PA      | $334574.48    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393511 | PA      | $324477.34    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144477 | PA      | $124123.84    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343334 | PA      | $326410.57    | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62475 | PA      | $60583.33     | 0.00%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177501 | PA      | $152495.63    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183652 | PA      | $968227.29    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68822 | PA      | $66309.96     | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514835 | PA      | $531135.95    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91440 | PA      | $85275.61     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73031 | PA      | $70230.86     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286591 | PA      | $241703.20    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136828 | PA      | $112814.33    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703447 | PA      | $575422.47    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133263 | PA      | $110195.24    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772196 | PA      | $633854.68    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299429 | PA      | $257704.63    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723320 | PA      | $591674.34    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132812 | PA      | $114609.72    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579405 | PA      | $516153.68    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215884 | PA      | $208349.44    | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1983536 | PA      | $1698615.64   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434578 | PA      | $374495.72    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135276 | PA      | $116352.04    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119011 | PA      | $103384.77    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410636 | PA      | $391491.52    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92332 | PA      | $88619.46     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126641 | PA      | $108547.12    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90642 | PA      | $77962.23     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401840 | PA      | $347041.25    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105135 | PA      | $99580.19     | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122887 | PA      | $106751.21    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82981 | PA      | $71199.88     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115208 | PA      | $103544.16    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007266 | PA      | $902779.44    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810416 | PA      | $696024.35    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969437 | PA      | $860271.35    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2304633 | PA      | $2122441.59   | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826408 | PA      | $743040.51    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1136370 | PA      | $977371.95    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2316925 | PA      | $1966575.67   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643665 | PA      | $550490.30    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143091 | PA      | $122977.02    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345028 | PA      | $301438.01    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247595 | PA      | $222452.43    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550389 | PA      | $481860.46    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983593 | PA      | $843880.53    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66732 | PA      | $57480.52     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800042 | PA      | $714154.79    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218161 | PA      | $184554.65    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257751 | PA      | $230575.71    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124809 | PA      | $107164.89    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDN77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254381 | PA      | $241205.03    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141118 | PA      | $115431.39    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512321 | PA      | $414492.93    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758633 | PA      | $678744.84    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220089 | PA      | $180028.41    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356484 | PA      | $309634.30    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216127 | PA      | $1046259.99   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119907 | PA      | $103662.36    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417991 | PA      | $358534.27    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617885 | PA      | $1489518.30   | 0.04%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330796 | PA      | $294988.15    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225617 | PA      | $202444.48    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113513 | PA      | $102093.12    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273227 | PA      | $266828.52    | 0.01%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282322 | PA      | $242888.50    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771385 | PA      | $684061.74    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60183 | PA      | $54389.87     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132127 | PA      | $114780.62    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132772 | PA      | $119032.74    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435351 | PA      | $1179579.62   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987049 | PA      | $848500.43    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66770 | PA      | $57599.19     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143375 | PA      | $132724.43    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416593 | PA      | $371257.99    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113079 | PA      | $953387.60    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136998 | PA      | $117661.91    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049936 | PA      | $899852.51    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360310 | PA      | $310236.01    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352521 | PA      | $302544.16    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306651 | PA      | $262761.36    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71556 | PA      | $58085.60     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72281 | PA      | $64323.07     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70279 | PA      | $57783.58     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651885 | PA      | $586437.09    | 0.02%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFY47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781378 | PA      | $739613.60    | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1074703 | PA      | $1033266.21   | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636185 | PA      | $563303.78    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70629 | PA      | $61915.38     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600825 | PA      | $528965.67    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443245 | PA      | $364172.91    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2768299 | PA      | $2481431.64   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465092 | PA      | $428311.09    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137284 | PA      | $118112.20    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289698 | PA      | $244535.16    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1509034 | PA      | $1405011.53   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2043607 | PA      | $1812779.25   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720862 | PA      | $659969.79    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132254 | PA      | $123481.14    | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694905 | PA      | $624442.78    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2163263 | PA      | $2009629.38   | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081075 | PA      | $950922.69    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131033 | PA      | $119645.00    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335880 | PA      | $1339461.81   | 0.04%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150467 | PA      | $139020.85    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409942 | PA      | $381568.58    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597118 | PA      | $579655.52    | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201668 | PA      | $183920.62    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139033 | PA      | $119173.11    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1730938 | PA      | $1611060.41   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596298 | PA      | $551600.29    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219568 | PA      | $186564.71    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XH3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1086072 | PA      | $931879.97    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5146784 | PA      | $4336397.16   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XHBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    898203 | PA      | $797883.91    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XHWC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889762 | PA      | $843717.06    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897108 | PA      | $828929.15    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635039 | PA      | $1336265.61   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592324 | PA      | $576514.36    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74565 | PA      | $64893.81     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357907 | PA      | $1256395.28   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513864 | PA      | $1340444.07   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260407 | PA      | $266799.01    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1085099 | PA      | $1066497.93   | 0.03%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143995 | PA      | $138805.35    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232282 | PA      | $209208.47    | 0.01%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212579 | PA      | $209724.46    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279525 | PA      | $270844.71    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406648 | PA      | $394995.26    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569682 | PA      | $552696.11    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361002 | PA      | $357841.88    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387823 | PA      | $377615.32    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380085 | PA      | $375697.11    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490047 | PA      | $513560.43    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386288 | PA      | $366784.75    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238314 | PA      | $237488.02    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138322 | PA      | $141737.59    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562284 | PA      | $570733.60    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200835 | PA      | $988040.58    | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1292383 | PA      | $1057442.04   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156976 | PA      | $145079.42    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445514 | PA      | $443970.38    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476121 | PA      | $390216.49    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1641305 | PA      | $1409659.32   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386689 | PA      | $385349.77    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837441 | PA      | $714526.72    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700222 | PA      | $720412.22    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053952 | PA      | $1065112.54   | 0.03%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78614 | PA      | $67812.12     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81132 | PA      | $66076.33     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264691 | PA      | $251108.45    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687674 | PA      | $687187.40    | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359314 | PA      | $364713.94    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065395 | PA      | $1116536.51   | 0.03%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66289 | PA      | $67988.87     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3797426 | PA      | $3561645.80   | 0.10%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLWE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264729 | PA      | $245217.52    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971055 | PA      | $1001728.39   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432876 | PA      | $1215215.23   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XMYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2074083 | PA      | $1844637.02   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2308166 | PA      | $2146319.28   | 0.06%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7400987 | PA      | $6252075.42   | 0.17%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPV71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640199 | PA      | $617959.38    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816211 | PA      | $836842.83    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598302 | PA      | $507343.43    | 0.01%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109401 | PA      | $104351.48    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31413GEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1678 | PA      | $1716.52      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31414B7L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1106 | PA      | $1136.69      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       356 | PA      | $366.29       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416BNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153273 | PA      | $156040.84    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60659 | PA      | $59134.65     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82173 | PA      | $79717.82     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43962 | PA      | $42648.50     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148228 | PA      | $139650.71    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295152 | PA      | $281072.33    | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650810 | PA      | $618390.35    | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185945 | PA      | $180656.84    | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116406 | PA      | $113060.07    | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156215 | PA      | $148365.80    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95803 | PA      | $94515.35     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404473 | PA      | $385003.54    | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222938 | PA      | $208926.71    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065723 | PA      | $1011619.45   | 0.03%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199891 | PA      | $186213.84    | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113706 | PA      | $106557.31    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722710 | PA      | $685385.46    | 0.02%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1473 | PA      | $1322.68      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333411 | PA      | $1237054.21   | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3747910 | PA      | $3039343.99   | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795837 | PA      | $693565.03    | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266180 | PA      | $231803.89    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077627 | PA      | $913286.71    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544319 | PA      | $473371.19    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77295 | PA      | $67563.94     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2024072 | PA      | $1650159.98   | 0.04%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224040 | PA      | $203754.65    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282577 | PA      | $275581.08    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92207 | PA      | $78385.79     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66166 | PA      | $61467.41     | 0.00%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1285430 | PA      | $1046904.19   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375166 | PA      | $340071.30    | 0.01%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500231 | PA      | $387679.79    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130684 | PA      | $106379.71    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820674 | PA      | $1410452.84   | 0.04%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151816 | PA      | $123423.61    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1031003 | PA      | $909531.39    | 0.02%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472686 | PA      | $413596.99    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2582517 | PA      | $2098328.01   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996562 | PA      | $809145.70    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197223 | PA      | $172360.45    | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209047 | PA      | $181688.96    | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704232 | PA      | $610850.37    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214387 | PA      | $185801.62    | 0.00%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347565 | PA      | $312277.94    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786646 | PA      | $706337.15    | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53580 | PA      | $49181.52     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149742 | PA      | $129802.15    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747294 | PA      | $688038.59    | 0.02%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144547 | PA      | $133064.34    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1881338 | PA      | $1836136.99   | 0.05%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992427 | PA      | $940599.21    | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887083 | PA      | $859629.73    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1559443 | PA      | $1509572.25   | 0.04%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766336 | PA      | $772347.95    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649615 | PA      | $1632628.68   | 0.04%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784220 | PA      | $776144.86    | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1193872 | PA      | $1219990.53   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977021 | PA      | $996717.55    | 0.03%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123545 | PA      | $1145304.68   | 0.03%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148265 | PA      | $156032.65    | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506813 | PA      | $246391.19    | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3142FFGX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $8168431.24   | 0.22%             | 2034-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                                | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1567139.86   | 0.04%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                    | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611418 | PA      | $515665.17    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                               | Fidelity National Information Services Inc                                      | CUSIP: 31620MCE4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1225306.78   | 0.03%             | 2031-03-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                   | Fifth Third Bancorp                                                             | CUSIP: 316773DP2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1704715.01   | 0.05%             | 2037-01-29      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities         | First Horizon Alternative Mortgage Securities Trust 2005-FA8                    | CUSIP: 32051GYZ2<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |     45499 | PA      | $18435.22     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                      | First Investors Auto Owner Trust 2023-1                                         | CUSIP: 320986AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4097192.00   | 0.11%             | 2029-12-17      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5142000 | PA      | $5088775.16   | 0.14%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5441479.45   | 0.15%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                        | FirstKey Homes 2022-SFR3 Trust                                                  | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784000 | PA      | $781479.28    | 0.02%             | 2038-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69788.78     | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     65000 | PA      | $49147.30     | 0.00%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                            | Fiserv Inc                                                                      | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1432663.37   | 0.04%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1596889.19   | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51077.57     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196582.42    | 0.01%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    880000 | PA      | $876647.78    | 0.02%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                          | Ford Credit Auto Owner Trust 2024-B                                             | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1169742 | PA      | $1178827.16   | 0.03%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                   | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $50173.75     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                            | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $84404.78     | 0.00%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAD8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   2323967 | PA      | $2473147.10   | 0.07%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    683000 | PA      | $703574.38    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672630 | PA      | $583331.38    | 0.02%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8696809 | PA      | $7855910.78   | 0.21%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-2                   | CUSIP: 35563PG37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3962915 | PA      | $3689047.41   | 0.10%             | 2062-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2394996 | PA      | $2143530.04   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1                   | CUSIP: 35563PK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1102468 | PA      | $926032.13    | 0.02%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292308 | PA      | $246141.80    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5137131 | PA      | $4463217.25   | 0.12%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2025-1                               | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7298890 | PA      | $6252376.25   | 0.17%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2025-2                               | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5039329 | PA      | $4294347.44   | 0.11%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2025-1                       | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7319814 | PA      | $6711187.71   | 0.18%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    286251 | PA      | $287003.41    | 0.01%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   1852158 | PA      | $1853860.79   | 0.05%             | 2041-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   1001000 | PA      | $1008464.16   | 0.03%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    394725 | PA      | $394936.21    | 0.01%             | 2042-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |   2640000 | PA      | $2677148.50   | 0.07%             | 2042-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $714639.73    | 0.02%             | 2042-05-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $420320.57    | 0.01%             | 2045-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $254684.46    | 0.01%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2018-K733 Mortgage Trust                                                  | CUSIP: 35708YAU0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1963054.40   | 0.05%             | 2051-02-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929298 | PA      | $915862.57    | 0.02%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13602 | PA      | $12438.05     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113496 | PA      | $103833.05    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21763 | PA      | $19873.67     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7634 | PA      | $7186.18      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19436 | PA      | $18663.72     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432774 | PA      | $405577.34    | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291311 | PA      | $274212.22    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135349 | PA      | $127508.37    | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152677 | PA      | $143050.12    | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35981 | PA      | $32635.16     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32051 | PA      | $29035.24     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118997 | PA      | $111447.78    | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200704 | PA      | $187969.85    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123168 | PA      | $115164.35    | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272244 | PA      | $246800.37    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365445 | PA      | $349886.39    | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36732 | PA      | $34564.54     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141159 | PA      | $127959.22    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48698 | PA      | $43984.48     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101713 | PA      | $97153.70     | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7037 | PA      | $6935.28      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349164 | PA      | $332696.11    | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1210238 | PA      | $1191210.62   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    924932 | PA      | $884300.31    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152112 | PA      | $150069.55    | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185651 | PA      | $167795.38    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541204 | PA      | $1446410.35   | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564416 | PA      | $539315.58    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292070 | PA      | $278975.03    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118693 | PA      | $113350.39    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79490 | PA      | $75897.01     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1244347 | PA      | $1187873.08   | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87773 | PA      | $83758.12     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275014 | PA      | $270951.66    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129542 | PA      | $123872.86    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14540 | PA      | $14279.77     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99285 | PA      | $100230.02    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332174 | PA      | $326833.03    | 0.01%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64578 | PA      | $64954.14     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557324 | PA      | $482567.33    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126451 | PA      | $127654.92    | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3214921 | PA      | $3010404.39   | 0.08%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103582 | PA      | $98771.26     | 0.00%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123413 | PA      | $124537.25    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89348 | PA      | $83664.02     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239063 | PA      | $235298.83    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471611 | PA      | $476805.15    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    876023 | PA      | $820244.64    | 0.02%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199964 | PA      | $201745.16    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426449 | PA      | $419601.74    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293874 | PA      | $296189.66    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481633 | PA      | $474199.55    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340106 | PA      | $342926.42    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669819 | PA      | $637203.32    | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432264 | PA      | $424926.50    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206235 | PA      | $196065.17    | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886261 | PA      | $871490.36    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171445 | PA      | $162937.56    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200757 | PA      | $202833.55    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200619 | PA      | $202529.26    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247393 | PA      | $213208.07    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056984 | PA      | $873672.47    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4041568 | PA      | $3480296.59   | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5555201 | PA      | $4967788.99   | 0.13%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174903 | PA      | $176564.37    | 0.00%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297321 | PA      | $282575.30    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653423 | PA      | $642537.62    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92726 | PA      | $91124.51     | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1004773 | PA      | $986378.16    | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480667 | PA      | $473103.97    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125142 | PA      | $122890.57    | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022454 | PA      | $966893.71    | 0.03%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    935557 | PA      | $911483.51    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366752 | PA      | $346784.84    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52317 | PA      | $46739.95     | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459109 | PA      | $410374.84    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7019377 | PA      | $6042615.62   | 0.16%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3775726 | PA      | $3373617.03   | 0.09%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735386 | PA      | $1493985.11   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441166 | PA      | $394333.99    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274105 | PA      | $235975.03    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131396 | PA      | $117389.08    | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46547 | PA      | $46683.48     | 0.00%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1711199 | PA      | $1529184.78   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611476 | PA      | $546291.98    | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3003009 | PA      | $2682884.04   | 0.07%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1371858 | PA      | $1392006.24   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68770 | PA      | $59465.71     | 0.00%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765005 | PA      | $1668204.90   | 0.04%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280259 | PA      | $241649.24    | 0.01%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038803 | PA      | $1011590.81   | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522077 | PA      | $519868.62    | 0.01%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787858 | PA      | $783962.94    | 0.02%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514724 | PA      | $460588.05    | 0.01%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103356 | PA      | $1100608.27   | 0.03%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173351 | PA      | $1191912.55   | 0.03%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    773128 | PA      | $691896.55    | 0.02%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146575 | PA      | $145797.71    | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359184 | PA      | $321426.62    | 0.01%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1732050 | PA      | $1727209.11   | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654374 | PA      | $564769.36    | 0.02%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75938 | PA      | $70488.23     | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74428 | PA      | $73985.85     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159837 | PA      | $151077.51    | 0.00%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639285 | PA      | $637166.02    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143005 | PA      | $128763.68    | 0.00%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179YFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13345963 | PA      | $11501962.14  | 0.31%             | 2053-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3895527 | PA      | $3359755.77   | 0.09%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149849 | PA      | $138734.22    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139450 | PA      | $129107.13    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617F25R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    891188 | PA      | $870382.62    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950682 | PA      | $1004609.84   | 0.03%             | 2072-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617HX4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1313766 | PA      | $1227585.75   | 0.03%             | 2048-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98958 | PA      | $90825.46     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63760 | PA      | $60319.88     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439949 | PA      | $416213.99    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375744 | PA      | $373073.04    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LCEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107085 | PA      | $107091.33    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617LWTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173639 | PA      | $169567.76    | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52137 | PA      | $48360.43     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52235 | PA      | $49418.01     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25081 | PA      | $23693.34     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56196 | PA      | $53165.28     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389005 | PA      | $365364.83    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654533 | PA      | $614186.80    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177757 | PA      | $163668.11    | 0.00%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458272 | PA      | $390705.29    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MN3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128386 | PA      | $114609.19    | 0.00%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489281 | PA      | $431929.01    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320106 | PA      | $273201.39    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MSZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    890081 | PA      | $795088.82    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MW7E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    755783 | PA      | $691358.88    | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Q2CM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289629 | PA      | $254968.74    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82726 | PA      | $73079.19     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234522 | PA      | $201321.37    | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1220220 | PA      | $1276282.67   | 0.03%             | 2071-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591109 | PA      | $518292.90    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857300 | PA      | $803730.50    | 0.02%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290298 | PA      | $259316.12    | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1215159 | PA      | $1269167.76   | 0.03%             | 2072-02-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1034502 | PA      | $1082366.34   | 0.03%             | 2072-03-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1260202 | PA      | $1317411.49   | 0.04%             | 2072-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1174269 | PA      | $1228193.19   | 0.03%             | 2072-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285216 | PA      | $268474.67    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572638 | PA      | $524309.45    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117728 | PA      | $103637.96    | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478933 | PA      | $427818.17    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100133 | PA      | $89445.57     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41582 | PA      | $40858.04     | 0.00%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                  | GMACM Mortgage Loan Trust 2005-AR3                                              | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21547 | PA      | $20296.60     | 0.00%             | 2035-06-19      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| General Motors                                        | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2514000 | PA      | $2535981.66   | 0.07%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708213 | PA      | $718400.84    | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    988411 | PA      | $1002629.47   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BDHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702551 | PA      | $722033.72    | 0.02%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590263 | PA      | $586913.47    | 0.02%             | 2063-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517195 | PA      | $527778.74    | 0.01%             | 2063-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618F6U79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878860 | PA      | $902700.36    | 0.02%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618JHTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128956 | PA      | $1158976.15   | 0.03%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3618JJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1073881 | PA      | $1068243.28   | 0.03%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2013-PEMB                                     | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   3810000 | PA      | $2889332.93   | 0.08%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CS61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26 | PA      | $25.58        | 0.00%             | 2026-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       154 | PA      | $154.80       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202CTT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        50 | PA      | $49.73        | 0.00%             | 2027-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36206JBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66 | PA      | $66.38        | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36206JCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       112 | PA      | $112.61       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36208HR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       207 | PA      | $209.48       | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36209CR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        95 | PA      | $95.43        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       270 | PA      | $271.13       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       313 | PA      | $318.84       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1681 | PA      | $1757.70      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11177 | PA      | $10736.05     | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32711 | PA      | $32970.10     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147756 | PA      | $135237.34    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91068 | PA      | $85723.24     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59240 | PA      | $54370.20     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278190 | PA      | $260793.96    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567467 | PA      | $502035.38    | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1023824 | PA      | $959949.28    | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484670 | PA      | $396203.07    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435703 | PA      | $359416.17    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107124 | PA      | $87772.38     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690510 | PA      | $567903.97    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426706 | PA      | $347225.80    | 0.01%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917735 | PA      | $894189.64    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370769 | PA      | $369950.70    | 0.01%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833820 | PA      | $808764.34    | 0.02%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581272 | PA      | $503161.66    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338641 | PA      | $291538.02    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522686 | PA      | $449980.28    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221725 | PA      | $200036.49    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1229622 | PA      | $1058579.40   | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385188 | PA      | $331608.37    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405423 | PA      | $349027.23    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200288 | PA      | $172426.91    | 0.00%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275705 | PA      | $237353.91    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203297 | PA      | $1032935.91   | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341884 | PA      | $294326.40    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1687553 | PA      | $1495939.60   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350253 | PA      | $309740.27    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330102 | PA      | $298064.02    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412730 | PA      | $366131.79    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533939 | PA      | $471288.71    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533309 | PA      | $475074.11    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745808 | PA      | $663437.33    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1734870 | PA      | $1541135.13   | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218352 | PA      | $197698.37    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AC5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033432 | PA      | $1048297.91   | 0.03%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379828 | PA      | $358411.54    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ACCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655262 | PA      | $681211.15    | 0.02%             | 2042-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    656798 | PA      | $655768.85    | 0.02%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411907 | PA      | $415820.79    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375600 | PA      | $375011.20    | 0.01%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674901 | PA      | $602037.66    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918233 | PA      | $931441.56    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1339863 | PA      | $1382712.61   | 0.04%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8691 | PA      | $9346.13      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2004-13F                                                | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6563 | PA      | $6362.11      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $1275598.24   | 0.03%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAL1<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   1733000 | PA      | $1632811.28   | 0.04%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBA0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1129738.73   | 0.03%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    814819 | PA      | $675535.67    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ8                                    | CUSIP: 36262WAB2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1119128 | PA      | $927826.73    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ9                                    | CUSIP: 36263CAB5<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1261877 | PA      | $1046174.85   | 0.03%             | 2052-02-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    590000 | PA      | $584230.65    | 0.02%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    640000 | PA      | $601373.84    | 0.02%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2021-ROSS                                     | CUSIP: 36264YAA8<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2834867.08   | 0.08%             | 2026-05-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAB3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    279000 | PA      | $280719.13    | 0.01%             | 2031-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    273000 | PA      | $278580.34    | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2023-3                                        | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443269 | PA      | $445609.53    | 0.01%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                     | GLS Auto Select Receivables Trust 2023-2                                        | CUSIP: 36269EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4292771.15   | 0.11%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                 | GM Financial Automobile Leasing Trust 2024-1                                    | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165273 | PA      | $165378.44    | 0.00%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-1                                        | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5065865.50   | 0.14%             | 2030-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36290UE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22066 | PA      | $22786.44     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295R2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430727 | PA      | $455267.84    | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295RMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227459 | PA      | $241037.06    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295VE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356579 | PA      | $375226.76    | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36295VFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379333 | PA      | $400950.97    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36296LQK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2990 | PA      | $3103.94      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    212228 | PA      | $171592.02    | 0.00%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                    | Galton Funding Mortgage Trust 2017-1                                            | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82047 | PA      | $72903.16     | 0.00%             | 2056-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                 | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44897.48     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                 | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    263000 | PA      | $269109.36    | 0.01%             | 2032-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                   | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2386000 | PA      | $1726970.53   | 0.05%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398239.78    | 0.01%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $682006.74    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1043941.81   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272CE6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1112402.85   | 0.03%             | 2036-04-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    236000 | PA      | $222585.32    | 0.01%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     48000 | PA      | $43873.92     | 0.00%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     92000 | PA      | $80614.00     | 0.00%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     91000 | PA      | $91623.86     | 0.00%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3902736.74   | 0.10%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                             | CUSIP: 37940XBB7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1717711.04   | 0.05%             | 2033-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2024-2                                        | CUSIP: 37964VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4545000 | PA      | $4615387.51   | 0.12%             | 2030-02-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-2                                        | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $5643017.52   | 0.15%             | 2031-01-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                            | GLS Auto Receivables Issuer Trust 2025-3                                        | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970000 | PA      | $2964655.78   | 0.08%             | 2031-06-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2096000 | PA      | $2192719.19   | 0.06%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2884731.02   | 0.08%             | 2035-04-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1349554.90   | 0.04%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    887000 | PA      | $870593.79    | 0.02%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    738000 | PA      | $709980.80    | 0.02%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3049457.64   | 0.08%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    850000 | PA      | $829880.78    | 0.02%             | 2056-01-28      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1421577.41   | 0.04%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    680000 | PA      | $658522.76    | 0.02%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1326286.22   | 0.04%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    810000 | PA      | $701567.07    | 0.02%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44390.86     | 0.00%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1769956.33   | 0.05%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $192549.45    | 0.01%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $372089.23    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $185370.00    | 0.00%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | PA      | $83863.50     | 0.00%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    580000 | PA      | $408528.97    | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $192338.63    | 0.01%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $994314.07    | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    301000 | PA      | $296149.74    | 0.01%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1511000 | PA      | $1364657.96   | 0.04%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    270000 | PA      | $267848.06    | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1427401.37   | 0.04%             | 2037-01-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $349181.27    | 0.01%             | 2038-10-31      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |     22542 | PA      | $20921.96     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    173183 | PA      | $151312.63    | 0.00%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                       | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |     92960 | PA      | $84455.90     | 0.00%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust             | GoodLeap Home Improvement Solutions Trust 2025-3                                | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5289588 | PA      | $5266055.60   | 0.14%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust      | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029811 | PA      | $885266.78    | 0.02%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                  | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |     43000 | PA      | $42311.00     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 383739LD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52461 | PA      | $53617.28     | 0.00%             | 2031-03-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15321 | PA      | $554.21       | 0.00%             | 2039-07-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18871 | PA      | $2034.62      | 0.00%             | 2038-01-16      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4200 | PA      | $4499.81      | 0.00%             | 2034-04-16      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335196 | PA      | $357000.95    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23833 | PA      | $1266.98      | 0.00%             | 2039-04-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5996 | PA      | $74.47        | 0.00%             | 2039-03-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12705 | PA      | $2647.16      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17283 | PA      | $3840.81      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60831 | PA      | $60877.91     | 0.00%             | 2063-02-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32509 | PA      | $32494.80     | 0.00%             | 2061-08-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2491 | PA      | $2371.20      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33306 | PA      | $33240.22     | 0.00%             | 2062-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72241 | PA      | $6578.03      | 0.00%             | 2037-08-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22690 | PA      | $2065.33      | 0.00%             | 2037-07-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18820 | PA      | $1700.28      | 0.00%             | 2037-11-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11289 | PA      | $914.88       | 0.00%             | 2038-06-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47870 | PA      | $47938.83     | 0.00%             | 2064-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25930 | PA      | $26123.64     | 0.00%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321729 | PA      | $12441.40     | 0.00%             | 2067-11-20      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6508 | PA      | $515.46       | 0.00%             | 2039-02-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21671 | PA      | $1663.94      | 0.00%             | 2039-02-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11892 | PA      | $10002.44     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54444 | PA      | $3551.15      | 0.00%             | 2038-02-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376JJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236000 | PA      | $238998.43    | 0.01%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67379 | PA      | $67479.45     | 0.00%             | 2067-06-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23687 | PA      | $23648.03     | 0.00%             | 2067-05-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92402 | PA      | $92335.25     | 0.00%             | 2065-07-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130648 | PA      | $130913.57    | 0.00%             | 2065-11-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25440 | PA      | $25608.14     | 0.00%             | 2066-12-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16215 | PA      | $17490.24     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31532 | PA      | $2472.00      | 0.00%             | 2041-05-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2812021 | PA      | $7010.65      | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1580721 | PA      | $14894.66     | 0.00%             | 2053-12-16      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259959 | PA      | $240339.33    | 0.01%             | 2047-11-16      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185137 | PA      | $28258.71     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3305 | PA      | $3172.53      | 0.00%             | 2048-06-16      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378TPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124584 | PA      | $112247.22    | 0.00%             | 2042-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197900 | PA      | $184793.85    | 0.00%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93913 | PA      | $95996.66     | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829277 | PA      | $19976.37     | 0.00%             | 2057-04-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851133 | PA      | $16271.54     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379UN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2196682 | PA      | $86844.73     | 0.00%             | 2056-09-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654843 | PA      | $70119.90     | 0.00%             | 2046-02-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975196 | PA      | $188767.16    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371489 | PA      | $45098.83     | 0.00%             | 2046-10-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380AP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265195 | PA      | $224333.04    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563572 | PA      | $15879.44     | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38658 | PA      | $35935.00     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75123 | PA      | $75018.73     | 0.00%             | 2068-07-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23027 | PA      | $23072.59     | 0.00%             | 2069-08-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436032 | PA      | $78779.73     | 0.00%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1324094 | PA      | $1004445.30   | 0.03%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94673 | PA      | $94529.68     | 0.00%             | 2070-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305664 | PA      | $304824.49    | 0.01%             | 2070-07-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77350 | PA      | $77117.85     | 0.00%             | 2070-07-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1627875 | PA      | $87973.43     | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1927792 | PA      | $109863.32    | 0.00%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2019264 | PA      | $135679.58    | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157013 | PA      | $116078.72    | 0.00%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2036575 | PA      | $114746.54    | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3422500 | PA      | $210594.27    | 0.01%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3862456 | PA      | $262419.89    | 0.01%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4879735 | PA      | $226835.94    | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2506092 | PA      | $99264.04     | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4516354 | PA      | $237132.54    | 0.01%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4221809 | PA      | $3291939.46   | 0.09%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $636115.41    | 0.02%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1066876 | PA      | $56490.88     | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027833 | PA      | $61479.83     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $428646.78    | 0.01%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382DF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467727 | PA      | $462275.06    | 0.01%             | 2048-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570918 | PA      | $110954.14    | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217949 | PA      | $42918.90     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733158 | PA      | $107864.37    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213032 | PA      | $30831.43     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296859 | PA      | $44779.78     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299661 | PA      | $44747.18     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193870 | PA      | $28412.62     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1060868 | PA      | $157157.14    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314093 | PA      | $47880.62     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4344391 | PA      | $636153.05    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2162552 | PA      | $257122.92    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1208815 | PA      | $211644.49    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382Q2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96119 | PA      | $76160.77     | 0.00%             | 2050-07-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397509 | PA      | $72950.92     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55336 | PA      | $46641.40     | 0.00%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837026 | PA      | $742943.37    | 0.02%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705992 | PA      | $596040.32    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1365438.60   | 0.04%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $252443.70    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24241590 | PA      | $22870616.98  | 0.61%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8532837 | PA      | $7895582.64   | 0.21%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                      | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807000 | PA      | $720024.36    | 0.02%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                       | WW Grainger Inc                                                                 | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     77000 | PA      | $68342.28     | 0.00%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                    | Granite Park Equipment Leasing 2023-1 LLC                                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141624 | PA      | $141658.97    | 0.00%             | 2032-09-20      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                              | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    284000 | PA      | $283591.06    | 0.01%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                 | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    372000 | PA      | $364908.44    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                              | Greensaif Pipelines Bidco Sarl                                                  | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    338000 | PA      | $349116.58    | 0.01%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                               | Guardian Life Insurance Co of America/The                                       | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16948.43     | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $224506.03    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117802.78    | 0.00%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    521000 | PA      | $484163.09    | 0.01%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2350710.31   | 0.06%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1668476.28   | 0.04%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1284163.25   | 0.03%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1324529.62   | 0.04%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2877000 | PA      | $2903926.45   | 0.08%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    550000 | PA      | $529021.16    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    132000 | PA      | $127566.51    | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1740000 | PA      | $1703599.44   | 0.05%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $270597.82    | 0.01%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $189318.52    | 0.01%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1985000 | PA      | $1776097.45   | 0.05%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $210800.73    | 0.01%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2090000 | PA      | $2127935.03   | 0.06%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    845000 | PA      | $854548.94    | 0.02%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2038310.95   | 0.05%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1095000 | PA      | $1079792.41   | 0.03%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1418323.78   | 0.04%             | 2036-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FL8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1990000 | PA      | $1963628.50   | 0.05%             | 2032-03-10      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                               | CUSIP: 404280FM6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2788988.89   | 0.07%             | 2037-03-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                              | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    390000 | PA      | $277986.59    | 0.01%             | 2041-09-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                              | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    230000 | PA      | $143319.49    | 0.00%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                          | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200275 | PA      | $2056832.47   | 0.05%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    440000 | PA      | $431606.49    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                      | Hartford Insurance Group Inc/The                                                | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58785.61     | 0.00%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                      | Welltower OP LLC                                                                | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    125000 | PA      | $136802.79    | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |     90000 | PA      | $84644.16     | 0.00%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                     | Healthpeak OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    330000 | PA      | $310806.36    | 0.01%             | 2028-12-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     13077 | PA      | $12116.79     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |     59214 | PA      | $55253.22     | 0.00%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                    | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     45273 | PA      | $43067.46     | 0.00%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1815530.94   | 0.05%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                          | Hilton Grand Vacations Trust 2025-2                                             | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2371889 | PA      | $2352358.48   | 0.06%             | 2044-05-25      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     90000 | PA      | $69585.76     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    320000 | PA      | $314966.13    | 0.01%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    235000 | PA      | $167737.19    | 0.00%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    226000 | PA      | $228180.01    | 0.01%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    592000 | PA      | $596285.90    | 0.02%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                        | Home Partners of America 2020-2 Trust                                           | CUSIP: 437301AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795214 | PA      | $745242.90    | 0.02%             | 2041-01-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPACE INC                               | Honeywell Aerospace Inc                                                         | CUSIP: 43849RAG0<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $2931959.87   | 0.08%             | 2036-03-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                 | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    712000 | PA      | $738642.28    | 0.02%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                 | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    780000 | PA      | $791821.26    | 0.02%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                          | Huntington Bank Auto Credit-Linked Notes Series 2025-2                          | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6698902 | PA      | $6710300.36   | 0.18%             | 2033-09-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197400.77    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    130000 | PA      | $125808.66    | 0.00%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    215000 | PA      | $204756.65    | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44727.91     | 0.00%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1283455.28   | 0.03%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| IDENTITY DIGITAL CAP LLC                              | IDENTITY DIGITAL CAP LLC                                                        | CUSIP: 45175XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5415120.00   | 0.14%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                            | Impac Secured Assets Trust 2006-1                                               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3724 | PA      | $3591.19      | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                       | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682414 | PA      | $650900.61    | 0.02%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                          | ING Groep NV                                                                    | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $199402.02    | 0.01%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                          | ING Groep NV                                                                    | CUSIP: 456837BU6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1740000 | PA      | $1729582.22   | 0.05%             | 2032-03-23      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                          | ING Groep NV                                                                    | CUSIP: 456837BV4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1190000 | PA      | $1186526.46   | 0.03%             | 2037-03-23      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    590000 | PA      | $412275.24    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1010877.44   | 0.03%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $27620.82     | 0.00%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92076.53     | 0.00%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                              | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAH7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    230000 | PA      | $184822.83    | 0.00%             | 2048-09-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                              | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1977768.19   | 0.05%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                     | ITC Holdings Corp                                                               | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1291071.04   | 0.03%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                     | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93575.14     | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                     | ITC Holdings Corp                                                               | CUSIP: 465685AV7<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    800000 | PA      | $802366.18    | 0.02%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160163 | PA      | $158351.64    | 0.00%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320821 | PA      | $1301311.23   | 0.03%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749953 | PA      | $747109.82    | 0.02%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    320000 | PA      | $323941.76    | 0.01%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAB0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2353456 | PA      | $2344337.54   | 0.06%             | 2048-10-26      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     31797 | PA      | $28525.86     | 0.00%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    145865 | PA      | $126167.73    | 0.00%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    252193 | PA      | $209083.83    | 0.01%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1173647 | PA      | $973027.07    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1183736 | PA      | $981391.16    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      3026 | PA      | $2928.83      | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23555 | PA      | $22823.10     | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     66617 | PA      | $66085.86     | 0.00%             | 2044-12-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     89897 | PA      | $83817.91     | 0.00%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      2203 | PA      | $2163.37      | 0.00%             | 2045-05-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     81220 | PA      | $71533.75     | 0.00%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $613080.68    | 0.02%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    286035 | PA      | $261358.32    | 0.01%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366000 | PA      | $359925.13    | 0.01%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2018-4                                                 | CUSIP: 46649CAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    274553 | PA      | $247960.50    | 0.01%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5130000 | PA      | $25650.00     | 0.00%             | 2036-12-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    536240 | PA      | $444576.26    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    907307 | PA      | $752214.02    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    500000 | PA      | $519031.94    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1225000 | PA      | $1220766.89   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2629000 | PA      | $2630209.34   | 0.07%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    551000 | PA      | $540145.72    | 0.01%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 472140AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2295000 | PA      | $2251996.08   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS NV/USA FOODS/FOOD CO                              | JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings                | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    381000 | PA      | $419042.47    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                               | Jersey Central Power & Light Co                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31621.30     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                               | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    430000 | PA      | $429815.01    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                                | John Deere Owner Trust 2023-B                                                   | CUSIP: 477920AD4<br>LEI: 549300MS3JZB0OWONQ39 | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1109054.21   | 0.03%             | 2030-05-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Jonah Energy LLC                                      | Jonah Energy Abs I LLC                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    233214 | PA      | $235383.84    | 0.01%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    520000 | PA      | $556338.54    | 0.01%             | 2034-09-21      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    670000 | PA      | $674358.58    | 0.02%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                          | KBC Group NV                                                                    | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   4800000 | PA      | $4724933.18   | 0.13%             | 2031-09-23      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $102165.98    | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                        | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    520000 | PA      | $522307.16    | 0.01%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                          | Evergy Metro Inc                                                                | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39749.57     | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   2050000 | PA      | $1903863.60   | 0.05%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    800000 | PA      | $808021.66    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                            | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    930000 | PA      | $937484.05    | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                               | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53746.38     | 0.00%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                               | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1479451.98   | 0.04%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                               | KeyCorp                                                                         | CUSIP: 49326EER0<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    895000 | PA      | $876523.26    | 0.02%             | 2037-01-28      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    440000 | PA      | $415571.74    | 0.01%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    550000 | PA      | $524604.10    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63174.89     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    153000 | PA      | $119621.83    | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1457075.15   | 0.04%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176325.35    | 0.00%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1717344.34   | 0.05%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17575.83     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    500000 | PA      | $456351.02    | 0.01%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    460000 | PA      | $454186.94    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    350000 | PA      | $325037.44    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSEG FINANCE PLC                                      | LSEG Finance PLC                                                                | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $452371.12    | 0.01%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    297000 | PA      | $304720.08    | 0.01%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1105082.60   | 0.03%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    728128 | PA      | $718984.37    | 0.02%             | 2031-04-21      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $982426.00    | 0.03%             | 2031-04-21      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENI USA INC                                           | Eni USA Inc                                                                     | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $52207.64     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1219183.73   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155495.32    | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    862000 | PA      | $878679.88    | 0.02%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAL9<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1173000 | PA      | $1192035.73   | 0.03%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4392956.76   | 0.12%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                        | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $184345.10    | 0.00%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                        | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $209656.20    | 0.01%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $244142.84    | 0.01%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1180000 | PA      | $1188704.80   | 0.03%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    420000 | PA      | $433715.66    | 0.01%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2720000 | PA      | $2625331.65   | 0.07%             | 2036-11-04      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                  | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    640000 | PA      | $621635.15    | 0.02%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                  | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1247301.41   | 0.03%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2004-1                                           | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13273 | PA      | $13161.13     | 0.00%             | 2034-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                  | M&T Bank Corp                                                                   | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2591879.94   | 0.07%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2003-11                                        | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26869 | PA      | $26352.39     | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2003-12                                        | CUSIP: 55265K4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76 | PA      | $0.00         | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2020-NQM1 Trust                                                             | CUSIP: 552754AC7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    216416 | PA      | $210543.58    | 0.01%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISSUER I LLC                                  | MNR ABS ISSUER I LLC                                                            | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   1972890 | PA      | $2012935.26   | 0.05%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    550000 | PA      | $447040.89    | 0.01%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    470000 | PA      | $424799.86    | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                   | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $658555.38    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                   | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987000 | PA      | $741970.54    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76584 | PA      | $76471.76     | 0.00%             | 2038-10-20      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705982 | PA      | $722845.97    | 0.02%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD                                     | Ma'aden Sukuk Ltd                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | CORP              | KY        |    297000 | PA      | $298465.07    | 0.01%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                              | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    385000 | PA      | $383030.81    | 0.01%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                              | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    528000 | PA      | $529903.22    | 0.01%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                                | Province of Manitoba Canada                                                     | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |    660000 | PA      | $657354.90    | 0.02%             | 2026-06-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MAPLE PARENT HLDS CO                                  | Maple Parent Holdings Corp                                                      | CUSIP: 56530KAB2<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    785000 | PA      | $781681.49    | 0.02%             | 2031-03-26      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MAPLE PARENT HLDS CO                                  | Maple Parent Holdings Corp                                                      | CUSIP: 56530KAC0<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    607000 | PA      | $603107.95    | 0.02%             | 2036-03-26      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    840000 | PA      | $848840.20    | 0.02%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    740000 | PA      | $747045.36    | 0.02%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2804000 | PA      | $2768995.28   | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1094031.32   | 0.03%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                              | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748CE0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $998827.39    | 0.03%             | 2044-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    360000 | PA      | $330383.66    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AP9<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |    380000 | PA      | $392342.08    | 0.01%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AS3<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |   4602000 | PA      | $4676137.53   | 0.12%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                            | Masco Corp                                                                      | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     80000 | PA      | $86230.85     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                            | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     56000 | PA      | $49772.53     | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                                | Massachusetts Electric Co                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     56000 | PA      | $42818.30     | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                 | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3798 | PA      | $3735.97      | 0.00%             | 2034-04-21      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2003-9                                             | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16497 | PA      | $15731.88     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-4                                             | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6421 | PA      | $1917.85      | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-6                                             | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36933 | PA      | $36439.37     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-7                                             | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2718 | PA      | $2023.09      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                         | MASTR Alternative Loan Trust 2004-8                                             | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24 | PA      | $23.95        | 0.00%             | 2049-12-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                          | Mastr Resecuritization Trust 2005-PO                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3761 | PA      | $2966.80      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                      | MASTR Asset Securitization Trust 2004-6                                         | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82 | PA      | $81.44        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & CO                                        | McCormick & Co Inc/MD                                                           | CUSIP: 579780AQ0<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    342000 | PA      | $315091.10    | 0.01%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $944568.53    | 0.03%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    500000 | PA      | $394076.01    | 0.01%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALTH SERVICES                              | Memorial Health Services                                                        | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    245000 | PA      | $172258.12    | 0.00%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                           | Merchants Fleet Funding LLC                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    903129 | PA      | $905040.05    | 0.02%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    220000 | PA      | $172256.44    | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    170000 | PA      | $103399.84    | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    245000 | PA      | $139848.14    | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust            | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4075000 | PA      | $4081668.33   | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust            | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BBK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7550000 | PA      | $7499522.97   | 0.20%             | 2032-02-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                           | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1245666.36   | 0.03%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                           | MetLife Inc                                                                     | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23028.90     | 0.00%             | 2042-08-13      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18028.15     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1331123.06   | 0.04%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    820000 | PA      | $527365.26    | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     40000 | PA      | $24303.04     | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                 | Micron Technology Inc                                                           | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1993992.95   | 0.05%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                | Mid-America Apartments LP                                                       | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    230000 | PA      | $227518.62    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                | Mid-America Apartments LP                                                       | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    150000 | PA      | $130753.96    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    820000 | PA      | $805141.03    | 0.02%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                           | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    220000 | PA      | $220879.16    | 0.01%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEALTH                                     | MyMichigan Health                                                               | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $55893.99     | 0.00%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC FIN AMER                                | Mitsubishi HC Finance America LLC                                               | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215785.36    | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $218002.89    | 0.01%             | 2027-07-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    590000 | PA      | $587764.73    | 0.02%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $202846.13    | 0.01%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2380000 | PA      | $2362817.78   | 0.06%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DT8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2130000 | PA      | $2092571.06   | 0.06%             | 2037-01-14      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $207427.91    | 0.01%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    255000 | PA      | $253797.47    | 0.01%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $414565.13    | 0.01%             | 2031-05-27      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1965000 | PA      | $1961752.90   | 0.05%             | 2031-07-08      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4255000 | PA      | $4273833.35   | 0.11%             | 2036-07-08      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                                  | Monongahela Power Co                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $146998.39    | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                      | CUSIP: 61690KAK8<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    291527 | PA      | $282439.34    | 0.01%             | 2046-02-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $524944.70    | 0.01%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $208059.11    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1615630.56   | 0.04%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3384937.26   | 0.09%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $242462.75    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     85000 | PA      | $70284.97     | 0.00%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     39000 | PA      | $38388.72     | 0.00%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1088766.79   | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121759.11    | 0.00%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    669000 | PA      | $698232.60    | 0.02%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101406.47    | 0.00%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1319536.91   | 0.04%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    870000 | PA      | $880063.61    | 0.02%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1184092.50   | 0.03%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    132000 | PA      | $133965.88    | 0.00%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    477000 | PA      | $488573.14    | 0.01%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $2656989.01   | 0.07%             | 2032-03-12      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YGC3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3705000 | PA      | $3687808.61   | 0.10%             | 2047-03-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1993170.98   | 0.05%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1367085.10   | 0.04%             | 2031-10-22      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1135878.29   | 0.03%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $2032917.98   | 0.05%             | 2037-01-30      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     89865 | PA      | $89302.93     | 0.00%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1 | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351563 | PA      | $293123.56    | 0.01%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246515 | PA      | $204376.57    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $199783.17    | 0.01%             | 2042-04-22      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254898 | PA      | $211326.20    | 0.01%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809589 | PA      | $671200.14    | 0.02%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                               | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    393000 | PA      | $391782.71    | 0.01%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $1029356.15   | 0.03%             | 2039-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                                | Mutual of Omaha Cos Global Funding                                              | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251169.82    | 0.01%             | 2026-07-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515996 | PA      | $526176.36    | 0.01%             | 2040-10-20      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                                  | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    127000 | PA      | $126758.04    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NMABS Issuer I, LLC.                                  | NMABS Issuer I LLC                                                              | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6534550 | PA      | $6398758.14   | 0.17%             | 2055-11-22      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                       | NGPL PipeCo LLC                                                                 | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $932777.69    | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108642.05    | 0.00%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    210000 | PA      | $202285.69    | 0.01%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3405000 | PA      | $3371891.48   | 0.09%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                           | NP SPE X LP                                                                     | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1678474 | PA      | $1466425.75   | 0.04%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | NACC Reperforming Loan REMIC Trust 2004-R2                                      | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11354 | PA      | $9671.21      | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    370000 | PA      | $272254.54    | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    140000 | PA      | $139332.66    | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434004 | PA      | $430555.47    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                            | Nasdaq Inc                                                                      | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    109000 | PA      | $112126.30    | 0.00%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     58000 | PA      | $57710.82     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $149442.46    | 0.00%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $154359.73    | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                          | NNN REIT Inc                                                                    | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    640000 | PA      | $649729.61    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $521373.16    | 0.01%             | 2029-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2165000 | PA      | $2116264.38   | 0.06%             | 2030-07-18      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                               | Nationwide Building Society                                                     | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1535000 | PA      | $1539337.50   | 0.04%             | 2036-07-14      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5440000 | PA      | $5000165.66   | 0.13%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32225000 | PA      | $686195.93    | 0.02%             | 2036-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $452717.57    | 0.01%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7450000 | PA      | $7701317.70   | 0.21%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1008886.54   | 0.03%             | 2030-08-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                   | NatWest Markets PLC                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    345000 | PA      | $354187.76    | 0.01%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    829129 | PA      | $840943.45    | 0.02%             | 2065-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                       | Nevada Power Co                                                                 | CUSIP: 641423CC0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98177.43     | 0.00%             | 2029-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                       | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160223.54    | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                                  | New England Power Co                                                            | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33522.76     | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2014-2                                      | CUSIP: 64828YAR2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    398217 | PA      | $381841.03    | 0.01%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    218671 | PA      | $210585.34    | 0.01%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1317239 | PA      | $1278445.48   | 0.03%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAB0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    749961 | PA      | $724825.62    | 0.02%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    427634 | PA      | $403348.30    | 0.01%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAM9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1612503 | PA      | $1581292.38   | 0.04%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1024850 | PA      | $996681.88    | 0.03%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    868020 | PA      | $864734.72    | 0.02%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAW8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    953747 | PA      | $936682.38    | 0.03%             | 2056-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    996839 | PA      | $964414.72    | 0.03%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2161317 | PA      | $2091179.15   | 0.06%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1349800.51   | 0.04%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2342347 | PA      | $2205975.16   | 0.06%             | 2062-03-27      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                               | New York Life Insurance Co                                                      | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    105000 | PA      | $79359.31     | 0.00%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                              | New York Life Global Funding                                                    | CUSIP: 64952WCH4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64663.01     | 0.00%             | 2026-07-14      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                              | New York Life Global Funding                                                    | CUSIP: 64953BBF4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    845000 | PA      | $849989.07    | 0.02%             | 2026-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                               | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49629.18     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                    | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      1363 | PA      | $1379.25      | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411998 | PA      | $406408.36    | 0.01%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26764.80     | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $153409.12    | 0.00%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2836000 | PA      | $2665906.42   | 0.07%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                  | Niagara Mohawk Power Corp                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    820000 | PA      | $805248.42    | 0.02%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                  | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $224865.02    | 0.01%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                          | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    190000 | PA      | $165125.63    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                          | NiSource Inc                                                                    | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1121757.62   | 0.03%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $182977.32    | 0.00%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                             | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $825170.42    | 0.02%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                           | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56727.76     | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30269.79     | 0.00%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    179000 | PA      | $161619.34    | 0.00%             | 2043-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136461.37    | 0.00%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3144030.24   | 0.08%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    729000 | PA      | $671707.89    | 0.02%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MEMORIAL                                 | Northwestern Memorial Healthcare Obligated Group                                | CUSIP: 668103AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    882000 | PA      | $535281.74    | 0.01%             | 2051-07-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                           | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133565 | PA      | $133709.30    | 0.00%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                           | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7280000 | PA      | $7234006.42   | 0.19%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2022-SFR3 Trust                                                            | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $976991.90    | 0.03%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335274 | PA      | $2296430.92   | 0.06%             | 2038-12-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                            | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3734754.38   | 0.10%             | 2038-12-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                 | Novartis Capital Corp                                                           | CUSIP: 66989HBL1<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    540000 | PA      | $543852.45    | 0.01%             | 2056-03-18      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                           | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1157881.09   | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                           | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    660000 | PA      | $474139.11    | 0.01%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                                    | nVent Finance Sarl                                                              | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     75000 | PA      | $74824.71     | 0.00%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                            | Nuveen LLC                                                                      | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $158750.19    | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    437178 | PA      | $360654.58    | 0.01%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                               | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48493.02     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    627581 | PA      | $524046.47    | 0.01%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   2206990 | PA      | $1983183.61   | 0.05%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   1440259 | PA      | $1231404.39   | 0.03%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                              | Octane Receivables Trust 2022-2                                                 | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1428180.46   | 0.04%             | 2030-02-20      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                   | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    345000 | PA      | $343180.35    | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ohio State University/The                             | OHIO ST UNIV                                                                    | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |     98000 | PA      | $80346.50     | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    215000 | PA      | $139953.79    | 0.00%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                           | ONE Gas Inc                                                                     | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181742.98    | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                 | OneMain Direct Auto Receivables Trust 2019-1                                    | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565516 | PA      | $565100.32    | 0.02%             | 2028-11-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $321854.58    | 0.01%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520378.69    | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1080082.00   | 0.03%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1375097.51   | 0.04%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138512.79    | 0.00%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    256000 | PA      | $249010.08    | 0.01%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    419000 | PA      | $382264.75    | 0.01%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                 | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682000 | PA      | $700148.97    | 0.02%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                     | ONEOK Partners LP                                                               | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16155.58     | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ONESKY CLASS A LOAN TRU                               | OneSky Class A Loan Trust 2021-1                                                | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    477274 | PA      | $457172.08    | 0.01%             | 2029-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-C                                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380608 | PA      | $375471.94    | 0.01%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    110000 | PA      | $74077.22     | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $109540.43    | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    450000 | PA      | $326240.05    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4830000 | PA      | $2916007.64   | 0.08%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    605000 | PA      | $383361.62    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2051729.48   | 0.05%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    540000 | PA      | $527764.80    | 0.01%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    310000 | PA      | $293783.60    | 0.01%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1518994.92   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1052543.81   | 0.03%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1447039.89   | 0.04%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    540000 | PA      | $503796.26    | 0.01%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2335000 | PA      | $2167121.74   | 0.06%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1107783.01   | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                                             | Orange SA                                                                       | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   3630000 | PA      | $3565486.37   | 0.10%             | 2036-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                  | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    100000 | PA      | $61813.43     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $154211.31    | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $103664.34    | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $189391.62    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                        | PHH Alternative Mortgage Trust Series 2007-2                                    | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48112 | PA      | $9168.58      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    361000 | PA      | $360923.91    | 0.01%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    671000 | PA      | $741300.67    | 0.02%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    459000 | PA      | $472176.81    | 0.01%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1026574.12   | 0.03%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    430000 | PA      | $438989.15    | 0.01%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2483000 | PA      | $2493838.74   | 0.07%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    225000 | PA      | $208544.71    | 0.01%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                           | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623565 | PA      | $552264.33    | 0.01%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                | Pertamina Persero PT                                                            | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   1360000 | PA      | $1306297.24   | 0.03%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     33000 | PA      | $24707.41     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $42959.36     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $168337.80    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135683.07    | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    360000 | PA      | $322633.83    | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    720000 | PA      | $538460.85    | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $119014.50    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15563.79     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    488000 | PA      | $517920.30    | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2961352.51   | 0.08%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $3086575.00   | 0.08%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2706869.69   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2249212.95   | 0.06%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                        | PEAC Solutions Receivables 2024-1 LLC                                           | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2546277.00   | 0.07%             | 2030-11-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE C                              | Pacific Life Insurance Co                                                       | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    134000 | PA      | $104624.41    | 0.00%             | 2067-10-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                              | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    155000 | PA      | $118189.63    | 0.00%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                              | Packaging Corp of America                                                       | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1215195.36   | 0.03%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                    | Panama Government International Bond                                            | CUSIP: 698299CB8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1615000 | PA      | $1556860.00   | 0.04%             | 2034-02-23      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                  | Parker-Hannifin Corp                                                            | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25947.80     | 0.00%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                              | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18576.09     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNIV                                       | Pepperdine University                                                           | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    110000 | PA      | $69465.57     | 0.00%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    990000 | PA      | $981868.14    | 0.03%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    490000 | PA      | $493820.53    | 0.01%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   2820000 | PA      | $2687228.20   | 0.07%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                     | Suncor Energy Inc                                                               | CUSIP: 71644EAJ1<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |     79000 | PA      | $86319.90     | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                               | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    485000 | PA      | $440538.43    | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                            | Pfizer Inc                                                                      | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    760000 | PA      | $466127.72    | 0.01%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $242203.11    | 0.01%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1541096.60   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                 | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1831974.65   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    810000 | PA      | $737162.43    | 0.02%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                            | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    130000 | PA      | $115237.13    | 0.00%             | 2031-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                               | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194410.89    | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST III                                 | Pine Street Trust III                                                           | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998509.14    | 0.03%             | 2054-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    920000 | PA      | $827444.91    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   5390000 | PA      | $4857417.12   | 0.13%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds     | Republic of Poland Government International Bonds                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    921000 | PA      | $850793.80    | 0.02%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                  | Porsche Innovative Lease Owner Trust 2024-1                                     | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1577274 | PA      | $1580153.12   | 0.04%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey               | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    130000 | PA      | $135893.25    | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC POWER                                | Potomac Electric Power Co                                                       | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |     75000 | PA      | $82810.22     | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                               | PowerPay Issuance Trust 2025-1                                                  | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4698271 | PA      | $4685393.85   | 0.13%             | 2041-11-18      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                               | Principal Financial Group Inc                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    825000 | PA      | $817431.00    | 0.02%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                               | Principal Financial Group Inc                                                   | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29272.36     | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAA3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    521151 | PA      | $512505.39    | 0.01%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2674222.56   | 0.07%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2025-SFR3 Trust                                            | CUSIP: 74334BAC1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3461915.57   | 0.09%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                     | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    150000 | PA      | $79567.62     | 0.00%             | 2050-10-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                     | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     95000 | PA      | $90080.79     | 0.00%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                             | Prosus NV                                                                       | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $568236.67    | 0.02%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                             | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2720000 | PA      | $1819475.97   | 0.05%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                 | PRPM 2024-RCF3 LLC                                                              | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2541192 | PA      | $2509706.18   | 0.07%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                              | Prudential Financial Inc                                                        | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     61000 | PA      | $45957.76     | 0.00%             | 2047-12-07      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                              | Prudential Financial Inc                                                        | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    773000 | PA      | $553403.06    | 0.01%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA                               | Prudential Funding Asia PLC                                                     | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1141710.37   | 0.03%             | 2030-04-14      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    175000 | PA      | $189442.29    | 0.01%             | 2037-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    280000 | PA      | $283355.15    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                               | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    310000 | PA      | $308362.87    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & GAS                                    | Public Service Electric and Gas Co                                              | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27581.27     | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                              | CUSIP: 74456QCG9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1143313.15   | 0.03%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                              | Public Service Enterprise Group Inc                                             | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    870000 | PA      | $883130.70    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                      | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    650000 | PA      | $654729.26    | 0.02%             | 2035-03-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    360000 | PA      | $333917.96    | 0.01%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    270000 | PA      | $235172.13    | 0.01%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                   | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1804863.61   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                    | Province of Quebec Canada                                                       | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    730000 | PA      | $729376.16    | 0.02%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                 | Quest Diagnostics Inc                                                           | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16973.78     | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255464 | PA      | $211795.38    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-4                                                      | CUSIP: 74938VAA1<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |   1220641 | PA      | $1011987.36   | 0.03%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |    541874 | PA      | $449247.36    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                            | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1523272.20   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $594559.27    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $468256.86    | 0.01%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                              | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1955000 | PA      | $1973833.88   | 0.05%             | 2031-05-27      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $999508.94    | 0.03%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    570000 | PA      | $521122.16    | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $74519.64     | 0.00%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    221000 | PA      | $225387.13    | 0.01%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                              | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $407726.04    | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                       | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     23891 | PA      | $22277.29     | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                 | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145271.88    | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                    | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    970000 | PA      | $587476.45    | 0.02%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                                  | Roc Mortgage Trust 2025-RTL1                                                    | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3010315.80   | 0.08%             | 2040-02-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    955000 | PA      | $950840.75    | 0.03%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                | Roper Technologies Inc                                                          | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1635634.65   | 0.04%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    283000 | PA      | $282987.98    | 0.01%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1660000 | PA      | $1671601.08   | 0.04%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $217368.64    | 0.01%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                  | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1930000 | PA      | $1852425.73   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2024-1 LLC                                                | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2558000 | PA      | $2638158.51   | 0.07%             | 2032-09-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage 2020-RR1 Trust              | SBALR Commercial Mortgage 2020-RR1 Trust                                        | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782228 | PA      | $673612.17    | 0.02%             | 2053-02-13      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                          | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   9239356 | NS      | $9239355.51   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742333 | PA      | $745930.37    | 0.02%             | 2032-05-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3815000 | PA      | $3939317.50   | 0.11%             | 2033-08-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    233033 | PA      | $224575.74    | 0.01%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $102789.03    | 0.00%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                              | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1365815.50   | 0.04%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                   | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2267355 | PA      | $2152183.10   | 0.06%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2025-1 LLC                                                | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1054775.52   | 0.03%             | 2035-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Credit Student Loan Trust 2005-B                                    | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    354731 | PA      | $347688.96    | 0.01%             | 2039-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    364344 | PA      | $355166.62    | 0.01%             | 2039-06-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                | SLC Student Loan Trust 2008-1                                                   | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |    607385 | PA      | $609241.15    | 0.02%             | 2032-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2022-C                                         | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   2155812 | PA      | $2134796.30   | 0.06%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                      | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1792917.46   | 0.05%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    242058 | PA      | $235060.08    | 0.01%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMRT                                                  | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740000 | PA      | $1738912.15   | 0.05%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                    | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    284375 | PA      | $284246.09    | 0.01%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                              | Safehold GL Holdings LLC                                                        | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |    400000 | PA      | $358226.45    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII              | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        42 | PA      | $41.51        | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII              | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      1827 | PA      | $1798.24      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                       | San Diego Gas & Electric Co                                                     | CUSIP: 797440BF0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71001.59     | 0.00%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                       | San Diego Gas & Electric Co                                                     | CUSIP: 797440CJ1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    640000 | PA      | $641713.32    | 0.02%             | 2056-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $218647.81    | 0.01%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    470000 | PA      | $484949.43    | 0.01%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2415000 | PA      | $2420252.36   | 0.06%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                              | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3015000 | PA      | $3100883.33   | 0.08%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                | Santander Holdings USA Inc                                                      | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1508531.90   | 0.04%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-4                                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074281 | PA      | $2081229.47   | 0.06%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2024-2                                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2312608.92   | 0.06%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2023-6                                   | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2260278.90   | 0.06%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-5                                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5535763.75   | 0.15%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5055000 | PA      | $5175127.02   | 0.14%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672000 | PA      | $679202.36    | 0.02%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5548874.10   | 0.15%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2025-4                                   | CUSIP: 802923AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2215000 | PA      | $2199024.98   | 0.06%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210838 | PA      | $175437.00    | 0.00%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                               | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    610000 | PA      | $609170.43    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                  | Shell Finance US Inc                                                            | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $140704.71    | 0.00%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                  | Shell Finance US Inc                                                            | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1286003.36   | 0.03%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                    | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    320000 | PA      | $322502.33    | 0.01%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                    | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    404000 | PA      | $411654.13    | 0.01%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                               | Sierra Pacific Power Co                                                         | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $285845.20    | 0.01%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                     | Sierra Timeshare 2025-1 Receivables Funding LLC                                 | CUSIP: 82653CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2182206 | PA      | $2182328.34   | 0.06%             | 2042-01-21      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                               | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    221265 | PA      | $223611.95    | 0.01%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                              | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    335000 | PA      | $336346.24    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                              | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    385000 | PA      | $387480.53    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1630000 | PA      | $1670368.25   | 0.04%             | 2029-03-05      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1660000 | PA      | $1649946.14   | 0.04%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                              | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1448333 | PA      | $1446241.44   | 0.04%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs     | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    150059 | PA      | $140127.57    | 0.00%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs     | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    274264 | PA      | $245030.07    | 0.01%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170503 | PA      | $1073107.15   | 0.03%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370602 | PA      | $361921.50    | 0.01%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                  | Smurfit Westrock Financing DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |   1505000 | PA      | $1517081.42   | 0.04%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    215000 | PA      | $213865.21    | 0.01%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $448464.03    | 0.01%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3970000 | PA      | $3583521.97   | 0.10%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1208000 | PA      | $1215503.62   | 0.03%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4045000 | PA      | $4202447.50   | 0.11%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3283000 | PA      | $3351501.44   | 0.09%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $978390.54    | 0.03%             | 2036-10-03      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                      | Societe Generale SA                                                             | CUSIP: 83368RCN0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4050000 | PA      | $3918080.48   | 0.10%             | 2037-04-10      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                        | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1441457.86   | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79648.43     | 0.00%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78074.47     | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78731.78     | 0.00%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    115000 | PA      | $105574.46    | 0.00%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    290000 | PA      | $274238.38    | 0.01%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1392264.38   | 0.04%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    735000 | PA      | $700559.58    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                 | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    195000 | PA      | $182509.21    | 0.00%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                 | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210469.88    | 0.01%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1636231.09   | 0.04%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     21000 | PA      | $15996.07     | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    220000 | PA      | $228634.81    | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                               | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    945000 | PA      | $932682.77    | 0.02%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                     | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47027.47     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                    | Southwest Gas Corp                                                              | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     44000 | PA      | $33068.47     | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                               | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1547000 | PA      | $1536314.24   | 0.04%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    693000 | PA      | $701196.49    | 0.02%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                | Standard Chartered PLC                                                          | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    478000 | PA      | $481998.80    | 0.01%             | 2030-10-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                | Standard Chartered PLC                                                          | CUSIP: 85325C2L5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $658845.53    | 0.02%             | 2037-01-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                        | Starbucks Corp                                                                  | CUSIP: 855244BF5<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438293.93    | 0.01%             | 2033-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                        | Starbucks Corp                                                                  | CUSIP: 855244BH1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    850000 | PA      | $859403.23    | 0.02%             | 2031-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198907.63    | 0.01%             | 2034-01-26      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477CL5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    682000 | PA      | $686666.87    | 0.02%             | 2027-03-18      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    370000 | PA      | $375821.05    | 0.01%             | 2030-04-24      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | State Street Corp                                                               | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $899045.15    | 0.02%             | 2036-10-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                       | Stream Innovations 2026-1 Issuer Trust                                          | CUSIP: 86325MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9424782.80   | 0.25%             | 2046-08-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     25000 | PA      | $24864.57     | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    345000 | PA      | $328161.48    | 0.01%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    370000 | PA      | $383402.99    | 0.01%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    310000 | PA      | $318710.79    | 0.01%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $408390.61    | 0.01%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1494280.02   | 0.04%             | 2033-07-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                              | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MEG1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2370000 | PA      | $2293453.17   | 0.06%             | 2047-01-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                     | Suncor Energy Inc                                                               | CUSIP: 867229AD8<br>LEI: 894500XO86FKXQGPYV71 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $62861.16     | 0.00%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59384.59     | 0.00%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44801.05     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    670000 | PA      | $595363.21    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                         | Sutter Health                                                                   | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390499.11    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1797000 | PA      | $1718080.67   | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                   | Synchrony Financial                                                             | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $1096312.37   | 0.03%             | 2030-08-02      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1270088.91   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5690000 | PA      | $5541325.65   | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1358000 | PA      | $992868.75    | 0.03%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $124351.12    | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    680000 | PA      | $597626.24    | 0.02%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    420000 | PA      | $381659.31    | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    289000 | PA      | $301371.19    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    234000 | PA      | $237360.35    | 0.01%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    721000 | PA      | $703086.90    | 0.02%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    273000 | PA      | $205299.61    | 0.01%             | 2040-07-09      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1044000 | PA      | $686082.12    | 0.02%             | 2050-07-09      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    386000 | PA      | $378990.73    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                     | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81498.59     | 0.00%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1023000 | PA      | $1022401.80   | 0.03%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1437673.62   | 0.04%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                            | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2171000 | PA      | $2189342.54   | 0.06%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                              | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40198.45     | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                              | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    340000 | PA      | $295235.12    | 0.01%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1214000 | PA      | $1137523.12   | 0.03%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    140000 | PA      | $155200.84    | 0.00%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     93000 | PA      | $81901.96     | 0.00%             | 2060-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                 | Tennessee Valley Authority                                                      | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    101000 | PA      | $83079.04     | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                                | Texas Health Resources                                                          | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    140000 | PA      | $78354.76     | 0.00%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp         | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    275000 | PA      | $278515.08    | 0.01%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                           | Textron Inc                                                                     | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1831201.34   | 0.05%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                              | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    330000 | PA      | $291635.07    | 0.01%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                              | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556DJ8<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2134733.86   | 0.06%             | 2036-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                              | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $101904.96    | 0.00%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252048.97    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1773606.05   | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    521000 | PA      | $516973.13    | 0.01%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    505000 | PA      | $457649.19    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86185.16     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                                 | Toledo Edison Co/The                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $53703.62     | 0.00%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                 | Toorak Mortgage Trust 2025-RRTL1                                                | CUSIP: 89053JAB3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |   4205000 | PA      | $4211067.82   | 0.11%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1180000 | PA      | $1160142.28   | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $243049.52    | 0.01%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1280000 | PA      | $1314713.23   | 0.04%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    145000 | PA      | $102538.48    | 0.00%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $171903.42    | 0.00%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $260710.59    | 0.01%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2016-3                                                | CUSIP: 89172YAE0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $840638.36    | 0.02%             | 2056-04-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAC4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1518166.08   | 0.04%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      6154 | PA      | $6121.87      | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $962392.18    | 0.03%             | 2058-05-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1214840 | PA      | $1101658.20   | 0.03%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1908709 | PA      | $1822889.93   | 0.05%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                   | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2049493 | PA      | $2067508.29   | 0.06%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                    | Trane Technologies Financing Ltd                                                | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    150000 | PA      | $153822.66    | 0.00%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                 | Tricon American Homes 2020-SFR2 Trust                                           | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2426000 | PA      | $2322754.53   | 0.06%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2022-SFR1 Trust                                              | CUSIP: 89616QAD3<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    459000 | PA      | $455145.13    | 0.01%             | 2039-04-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                      | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257897 | PA      | $1218858.52   | 0.03%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2005038.20   | 0.05%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1147860.37   | 0.03%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    800000 | PA      | $825234.60    | 0.02%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1455697.93   | 0.04%             | 2031-05-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2329496.40   | 0.06%             | 2036-10-23      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                       | Tyson Foods Inc                                                                 | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    880000 | PA      | $910986.28    | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    440000 | PA      | $389123.35    | 0.01%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1320000 | PA      | $1323659.29   | 0.04%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    642000 | PA      | $651140.96    | 0.02%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2730000 | PA      | $2685203.05   | 0.07%             | 2033-11-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     28000 | PA      | $27801.21     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    150000 | PA      | $142997.75    | 0.00%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     25000 | PA      | $22884.96     | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                               | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    160000 | PA      | $135376.87    | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                         | UBS AG/London                                                                   | CUSIP: 902674A26<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $166935.38    | 0.00%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                 | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    592000 | PA      | $594152.36    | 0.02%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                 | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    615000 | PA      | $602090.10    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                         | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $199076.16    | 0.01%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                     | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236291.10    | 0.01%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                     | Union Electric Co                                                               | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1605081.60   | 0.04%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $108434.90    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    270000 | PA      | $190994.24    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                              | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    171174 | PA      | $167431.26    | 0.00%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                               | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    251465 | PA      | $241593.90    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                               | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    192708 | PA      | $184533.63    | 0.00%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                              | United Airlines 2016-2 Class AA Pass Through Trust                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60221 | PA      | $58089.89     | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                              | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    162363 | PA      | $149232.63    | 0.00%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                               | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32168 | PA      | $32138.81     | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                              | United Airlines 2024-1 Class AA Pass Through Trust                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2616251 | PA      | $2665826.15   | 0.07%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    283000 | PA      | $249789.95    | 0.01%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5067000 | PA      | $4314550.50   | 0.12%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    685000 | PA      | $485254.00    | 0.01%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    993000 | PA      | $1025272.50   | 0.03%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1476000 | PA      | $1546110.00   | 0.04%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2127000 | PA      | $2134657.20   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1338000 | PA      | $1363422.00   | 0.04%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7013000 | PA      | $6848194.50   | 0.18%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                            | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2006000 | PA      | $1961868.00   | 0.05%             | 2034-02-09      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127732.30    | 0.00%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1407000 | PA      | $1413436.10   | 0.04%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    840000 | PA      | $864006.95    | 0.02%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    330000 | PA      | $344431.02    | 0.01%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    325000 | PA      | $329327.44    | 0.01%             | 2027-10-26      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    217000 | PA      | $222230.07    | 0.01%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2568000 | PA      | $2652382.71   | 0.07%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    634000 | PA      | $643235.96    | 0.02%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1996-2                                                    | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1012 | PA      | $1011.23      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1997-1                                                    | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6029 | PA      | $6045.71      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                 | Vendee Mortgage Trust 1998-1                                                    | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3624 | PA      | $3643.00      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1037800 | PA      | $936290.19    | 0.03%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    945000 | PA      | $917203.71    | 0.02%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11875000 | PA      | $10884179.69  | 0.29%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $777367.19    | 0.02%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1376437.50   | 0.04%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8450000 | PA      | $6426951.19   | 0.17%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $576478.12    | 0.02%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7470000 | PA      | $5737018.34   | 0.15%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2902000 | PA      | $2478376.02   | 0.07%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    514000 | PA      | $445372.97    | 0.01%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    645000 | PA      | $547897.26    | 0.01%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $817304.69    | 0.02%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    663000 | PA      | $507661.17    | 0.01%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1402578.12   | 0.04%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1430000 | PA      | $1080934.77   | 0.03%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14518700 | PA      | $9463810.46   | 0.25%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $20862.19     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2310000 | PA      | $1703444.54   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    176200 | PA      | $132597.38    | 0.00%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $388970.31    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $1009531.25   | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1095000 | PA      | $681081.45    | 0.02%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1365000 | PA      | $869600.97    | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17137000 | PA      | $8379725.32   | 0.22%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $768504.69    | 0.02%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13530000 | PA      | $7059383.17   | 0.19%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26123900 | PA      | $14505907.82  | 0.39%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16350000 | PA      | $10228330.12  | 0.27%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4785000 | PA      | $3486508.00   | 0.09%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $1756401.37   | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3635000 | PA      | $2520929.28   | 0.07%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $90638.28     | 0.00%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1860000 | PA      | $1598074.22   | 0.04%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2714648.43   | 0.07%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $444277.35    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15170000 | PA      | $12163851.21  | 0.33%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35110000 | PA      | $31117608.90  | 0.83%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6050000 | PA      | $5710396.50   | 0.15%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13800000 | PA      | $13157976.53  | 0.35%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18765000 | PA      | $17024839.36  | 0.46%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $130790.63    | 0.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14793000 | PA      | $14313961.09  | 0.38%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9198000 | PA      | $9317645.84   | 0.25%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6007000 | PA      | $5793939.22   | 0.15%             | 2045-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148450000 | PA      | $145318632.81 | 3.88%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107605000 | PA      | $93784482.81  | 2.51%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2475000 | PA      | $2353763.66   | 0.06%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $276469.14    | 0.01%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $216982.42    | 0.01%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55772000 | PA      | $48364781.25  | 1.29%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2950000 | PA      | $2615935.54   | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1630000 | PA      | $1524432.04   | 0.04%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1805000 | PA      | $1762483.78   | 0.05%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3001757.82   | 0.08%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60807000 | PA      | $60460210.38  | 1.62%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16944270 | PA      | $16318759.44  | 0.44%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7150000 | PA      | $7075986.35   | 0.19%             | 2030-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37340000 | PA      | $35570725.87  | 0.95%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15198000 | PA      | $15488899.14  | 0.41%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24325000 | PA      | $25272344.67  | 0.68%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120570000 | PA      | $123066175.18 | 3.29%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43079400 | PA      | $42493789.41  | 1.14%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $21221484.48  | 0.57%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18830000 | PA      | $18351158.94  | 0.49%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28840000 | PA      | $29076577.98  | 0.78%             | 2029-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15295000 | PA      | $15290817.74  | 0.41%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    745000 | PA      | $762693.75    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47970000 | PA      | $48309162.77  | 1.29%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11026000 | PA      | $11165547.81  | 0.30%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52655000 | PA      | $53551780.47  | 1.43%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6492890.63   | 0.17%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35590000 | PA      | $35535780.77  | 0.95%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1288000 | PA      | $1289509.38   | 0.03%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $20964726.51  | 0.56%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59000000 | PA      | $58702695.46  | 1.57%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27616000 | PA      | $27380832.64  | 0.73%             | 2029-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CQD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1530000 | PA      | $1500356.25   | 0.04%             | 2031-02-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13355000 | PA      | $10758592.08  | 0.29%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $300767.24    | 0.01%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $73408.72     | 0.00%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $554645.16    | 0.01%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $44268.02     | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23050000 | PA      | $14902929.79  | 0.40%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3608000 | PA      | $2268401.23   | 0.06%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4011000 | PA      | $2452172.34   | 0.07%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3705000 | PA      | $3085747.45   | 0.08%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6835000 | PA      | $5569991.46   | 0.15%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7475000 | PA      | $5955198.62   | 0.16%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | PA      | $873118.00    | 0.02%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $743429.96    | 0.02%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $34480.14     | 0.00%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $290673.21    | 0.01%             | 2027-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    725000 | PA      | $695379.86    | 0.02%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $237335.35    | 0.01%             | 2027-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $168131.34    | 0.00%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3400000 | PA      | $2982527.23   | 0.08%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3465000 | PA      | $2916012.54   | 0.08%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9830000 | PA      | $8096291.45   | 0.22%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1369000 | PA      | $849327.53    | 0.02%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5474000 | PA      | $3302997.59   | 0.09%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    528000 | PA      | $313894.83    | 0.01%             | 2037-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $415518.10    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    545134 | PA      | $262281.95    | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $1495832.10   | 0.04%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $46010.92     | 0.00%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21405000 | PA      | $8737212.77   | 0.23%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24295000 | PA      | $7249512.84   | 0.19%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    138000 | PA      | $112808.30    | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $60846.29     | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                              | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    980000 | PA      | $975885.94    | 0.03%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1272879.87   | 0.03%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    490000 | PA      | $341857.45    | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    380000 | PA      | $236558.86    | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $47555.65     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $107554.27    | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $92226.23     | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137881.38    | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $281502.39    | 0.01%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MIAMI                                   | University of Miami                                                             | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    120000 | PA      | $93167.12     | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                              | University of Southern California                                               | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    110000 | PA      | $61005.13     | 0.00%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                           | UPX HIL 2025-1 Issuer Trust                                                     | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6155810 | PA      | $6130255.66   | 0.16%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                           | VFI ABS 2025-1 LLC                                                              | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1716517.09   | 0.05%             | 2030-12-24      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                     | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $956314.00    | 0.03%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                      | Ventas Realty LP                                                                | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     25000 | PA      | $24862.26     | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                      | Ventas Realty LP                                                                | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     49000 | PA      | $48693.94     | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $541932.81    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    690000 | PA      | $656857.40    | 0.02%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    480000 | PA      | $381813.36    | 0.01%             | 2046-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    430000 | PA      | $424841.18    | 0.01%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2599422.32   | 0.07%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $513461.74    | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    647000 | PA      | $392367.04    | 0.01%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | PA      | $153564.01    | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8728.53      | 0.00%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    475000 | PA      | $475585.74    | 0.01%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                  | Verizon Master Trust                                                            | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1473000 | PA      | $1492421.95   | 0.04%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                           | Viatris Inc                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    589000 | PA      | $571125.16    | 0.02%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |    255000 | PA      | $250699.31    | 0.01%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    748000 | PA      | $746803.64    | 0.02%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                  | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $75360.04     | 0.00%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2680393.60   | 0.07%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1660452.81   | 0.04%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $1112260.29   | 0.03%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    425000 | PA      | $427555.53    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1090685.75   | 0.03%             | 2036-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                            | VMware LLC                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    404000 | PA      | $399750.28    | 0.01%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                    | Vodafone Group PLC                                                              | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     35000 | PA      | $32684.03     | 0.00%             | 2053-02-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                         | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1300267.29   | 0.03%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                           | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2565881 | PA      | $2573859.38   | 0.07%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                 | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19814 | PA      | $19814.25     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498442 | PA      | $473258.69    | 0.01%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2003-AR8 Trust                   | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1678 | PA      | $1590.32      | 0.00%             | 2033-08-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                   | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8955 | PA      | $8374.00      | 0.00%             | 2033-09-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2887 | PA      | $2643.42      | 0.00%             | 2034-06-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust  | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13072 | PA      | $11198.53     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                    | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    245000 | PA      | $244886.70    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    180000 | PA      | $149345.07    | 0.00%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                  | WEC Energy Group Inc                                                            | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155780.93    | 0.00%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                             | WRKCo Inc                                                                       | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34574.44     | 0.00%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                           | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    180000 | PA      | $159461.44    | 0.00%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216806 | PA      | $9928.91      | 0.00%             | 2035-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63188 | PA      | $2648.64      | 0.00%             | 2035-04-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust  | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67350 | PA      | $12007.75     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50448 | PA      | $46414.63     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1052715.33   | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    684000 | PA      | $680174.80    | 0.02%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   7899527 | PA      | $25201.07     | 0.00%             | 2049-08-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |  22091512 | PA      | $39181.51     | 0.00%             | 2059-11-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1282749.62   | 0.03%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1311435.71   | 0.04%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1219373.55   | 0.03%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $6431249.48   | 0.17%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $732042.02    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $982458.71    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    269000 | PA      | $267624.36    | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    325000 | PA      | $329867.26    | 0.01%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    276000 | PA      | $282340.42    | 0.01%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317708.21    | 0.01%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4860000 | PA      | $4947230.00   | 0.13%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1314162.02   | 0.04%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    489000 | PA      | $498477.42    | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    913000 | PA      | $934298.10    | 0.02%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    671000 | PA      | $682464.65    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust          | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     50226 | PA      | $43553.28     | 0.00%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $252614.88    | 0.01%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                    | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1722374 | PA      | $1592974.23   | 0.04%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                              | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    990000 | PA      | $834984.50    | 0.02%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                              | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106818.21    | 0.00%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                 | Westlake Automobile Receivables Trust 2023-3                                    | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005616.10   | 0.03%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD                               | Westpac New Zealand Ltd                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |    560000 | PA      | $565804.31    | 0.02%             | 2028-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                                  | Woodside Finance Ltd                                                            | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    570000 | PA      | $590768.10    | 0.02%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                             | Xylem Inc/NY                                                                    | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99018.53     | 0.00%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN HLTH SRVC                              | Yale-New Haven Health Services Corp                                             | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $115744.14    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2107832.13   | 0.06%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US LONG BOND(CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       168 | NC      | $-627658.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US ULTRA BOND CBT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       103 | NC      | $-402651.06   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR NOTE (CBT)JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       290 | NC      | $-543758.80   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       441 | NC      | $-734499.61   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 2YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       575 | NC      | $-738763.67   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR ULTRA FUT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       931 | NC      | $-1362351.97  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                               | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   1030000 | PA      | $809674.35    | 0.02%             | 2049-09-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP